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

Jochmann, Markus; Koop, Gary; Leon-Gonzalez, Roberto; Strachan, Rodney

Description

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.

CollectionsANU Research Publications
Date published: 2011
Type: Journal article
URI: http://hdl.handle.net/1885/25605
Source: Journal of Applied Econometrics
DOI: 10.1002/jae.1238

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