@techreport{34387fef411548e782d8a0881bf6966b,
title = "Bayesian forecasting using stochastic search variable selection in a VAR subject to breaks",
abstract = "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.",
keywords = "Bayesian forecasting, forecasting, stochastic search, variable selection, economic theory",
author = "Markus Jochmann and Gary Koop and Strachan, {Rodney W.}",
year = "2008",
month = jun,
language = "English",
publisher = "University of Strathclyde",
type = "WorkingPaper",
institution = "University of Strathclyde",
}