Stochastic Search Variable Selection in Vector Error Correction Models with an Application to a Model of the UK Macroeconomy

Markus Jochmann, Gary Koop, Roberto Leon-Gonzalez, Rodney W. Strachan

Research output: Working paperDiscussion paper

Abstract

This paper develops methods for Stochastic Search Variable Selection
(currently popular with regression and Vector Autoregressive models)
for Vector Error Correction models where there are many possible restrictions on the cointegration space. We show how this allows the researcher to begin with a single unrestricted model and either do model
selection or model averaging in an automatic and computationally efficient manner. We apply our methods to a large UK macroeconomic
model.
LanguageEnglish
Place of PublicationGlasgow
PublisherUniversity of Strathclyde
Pages1-46
Number of pages47
Volume04
Publication statusPublished - Sep 2009

Fingerprint

Variable selection
Vector error correction model
Macroeconomy
Vector autoregressive model
Model averaging
Cointegration

Keywords

  • bayesian
  • cointegration
  • model averaging
  • model selection
  • Markov chain Monte Carlo

Cite this

Jochmann, M., Koop, G., Leon-Gonzalez, R., & Strachan, R. W. (2009). Stochastic Search Variable Selection in Vector Error Correction Models with an Application to a Model of the UK Macroeconomy. (19 ed.) (pp. 1-46). Glasgow: University of Strathclyde.
Jochmann, Markus ; Koop, Gary ; Leon-Gonzalez, Roberto ; Strachan, Rodney W. / Stochastic Search Variable Selection in Vector Error Correction Models with an Application to a Model of the UK Macroeconomy. 19. ed. Glasgow : University of Strathclyde, 2009. pp. 1-46
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Jochmann, M, Koop, G, Leon-Gonzalez, R & Strachan, RW 2009 'Stochastic Search Variable Selection in Vector Error Correction Models with an Application to a Model of the UK Macroeconomy' 19 edn, University of Strathclyde, Glasgow, pp. 1-46.

Stochastic Search Variable Selection in Vector Error Correction Models with an Application to a Model of the UK Macroeconomy. / Jochmann, Markus; Koop, Gary; Leon-Gonzalez, Roberto; Strachan, Rodney W.

19. ed. Glasgow : University of Strathclyde, 2009. p. 1-46.

Research output: Working paperDiscussion paper

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KW - cointegration

KW - model averaging

KW - model selection

KW - Markov chain Monte Carlo

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BT - Stochastic Search Variable Selection in Vector Error Correction Models with an Application to a Model of the UK Macroeconomy

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Jochmann M, Koop G, Leon-Gonzalez R, Strachan RW. Stochastic Search Variable Selection in Vector Error Correction Models with an Application to a Model of the UK Macroeconomy. 19 ed. Glasgow: University of Strathclyde. 2009 Sep, p. 1-46.