Research Output per year
This paper builds a model which has two extensions over a standard VAR. The …rst of these is stochastic search variable selection, which is an automatic model selection device which allows for coefficients in a possibly over-parameterized VAR to be set to zero. The second allows for an unknown number of structual breaks in the VAR parameters. We investigate the in-sample and forecasting performance of our model in an application involving a commonly-used US macro-economic data set. We …nd that, in-sample, these extensions clearly are warranted. In a recursive forecasting exercise, we …nd moderate improvements over a standard VAR, although most of these improvements are due to the use of stochastic search variable selection rather than the inclusion of breaks.
|Place of Publication||Glasgow|
|Publisher||University of Strathclyde|
|Number of pages||34|
|Publication status||Unpublished - Jun 2008|
- Bayesian forecasting
- stochastic search
- variable selection
- economic theory
Koop, G. & Strachan, R. W., Apr 2010, In : International Journal of Forecasting. 26, 2, p. 326-347 21 p.
Research output: Contribution to journal › Article