Template-Type: ReDIF-Paper 1.0
Author-Name: Markus Jochmann
Author-Name-First: Markus
Author-Name-Last: Jochmann
Author-Email: markus.jochmann@ncl.ac.uk 
Author-Workplace-Name: Department of Economics, New~~#bad~~#badcastle University
Author-Name: Gary Koop
Author-Name-First: Gary
Author-Name-Last: Koop
Author-Email: gary.koop@strath.ac.uk
Author-Workplace-Name: Department of Economics, University of Strathclyde
Title: Regime-Switching Cointegration*
Abstract: We develop methods for Bayesian inference in vector error correction models which are subject to a variety of switches in regime (e.g. Markov switches in regime or structural breaks). An important aspect of our approach is that we allow both the cointegrating vectors and the number of cointegrating relationships to change when the regime changes. We show how Bayesian model averaging or model selection methods can be used to deal with the high-dimensional model space that results. Our methods are used in an empirical study of the Fisher effect.
Length: 23 pages
Creation-Date: 2011-05
Revision-Date: 
Publication-Status: 
File-URL: http://www.strath.ac.uk/media/1newwebsite/departmentsubject/economics/research/researchdiscussionpapers/2011/11-25_Final.pdf
File-Format: Application/pdf
Number: 1125
Classification-JEL: C11, C32, C52
Keywords: Bayesian, Markov switching, structural breaks, cointegration,
Handle: RePEc:str:wpaper:1125