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Bayesian inference in a time varying cointegration model

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


There are both theoretical and empirical reasons for believing that the parameters of macroeconomic models may vary over time. However, work with time-varying parameter models has largely involved vector autoregressions (VARs), ignoring cointegration. This is despite the fact that cointegration plays an important role in informing macroeconomists on a range of issues. In this paper, we develop a new time varying parameter model which permits cointegration. We use a specification which allows...[Show more]

CollectionsANU Research Publications
Date published: 2011
Type: Journal article
Source: Journal of Econometrics
DOI: 10.1016/j.jeconom.2011.07.007


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