Bayesian inference in a time varying cointegration model
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]
|Collections||ANU Research Publications|
|Source:||Journal of Econometrics|
|01_Koop_Bayesian_inference_in_a_time_2011.pdf||343.42 kB||Adobe PDF||Request a copy|
|02_Koop_Bayesian_inference_in_a_time_2011.pdf||403.68 kB||Adobe PDF||Request a copy|
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