@techreport{fe492121f66e4fc8bd78443d5193eb4a,
title = "Stochastic Search Variable Selection in Vector Error Correction Models with an Application to a Model of the UK Macroeconomy",
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.",
keywords = "bayesian, cointegration, model averaging, model selection, Markov chain Monte Carlo",
author = "Markus Jochmann and Gary Koop and Roberto Leon-Gonzalez and Strachan, \{Rodney W.\}",
note = "Published as a paper within the Discussion Papers in Economics, No. 09-19 (2009)",
year = "2009",
month = sep,
day = "30",
language = "English",
series = "Strathclyde Discussion Papers in Economics",
publisher = "University of Strathclyde",
type = "WorkingPaper",
institution = "University of Strathclyde",
}