Research Output per year
This paper builds a model which has two extensions over a standard VAR. The first of these is stochastic search variable selection, which is an automatic model selection device that allows coefficients in a possibly over-parameterized VAR to be set to zero. The second extension allows for an unknown number of structural breaks in the VAR parameters. We investigate the in-sample and forecasting performance of our model in an application involving a commonly-used US macroeconomic data set. In a recursive forecasting exercise, we find moderate improvements over a standard VAR, although most of these improvements are due to the use of stochastic search variable selection rather than to the inclusion of breaks.
- vector autoregressive model
- predictive density
- structural break
Koop, G. & Strachan, R. W., Jun 2008, (Unpublished) Glasgow: University of Strathclyde, 34 p.
Research output: Working paper
Jochmann, M., Koop, G., & Strachan, R. W. (2010). Bayesian forecasting using stochastic search variable selection in a VAR subject to breaks. International Journal of Forecasting, 26(2), 326-347. https://doi.org/10.1016/j.ijforecast.2009.11.002