Bayesian forecasting using stochastic search variable selection in a VAR subject to breaks

Jochmann, Markus., Koop, Gary. and Strachan, Rodney W. (2010) Bayesian forecasting using stochastic search variable selection in a VAR subject to breaks. International Journal of Forecasting, 26 2: 326-347. doi:10.1016/j.ijforecast.2009.11.002


Author Jochmann, Markus.
Koop, Gary.
Strachan, Rodney W.
Title Bayesian forecasting using stochastic search variable selection in a VAR subject to breaks
Journal name International Journal of Forecasting   Check publisher's open access policy
ISSN 0169-2070
1872-8200
Publication date 2010-04-01
Sub-type Article (original research)
DOI 10.1016/j.ijforecast.2009.11.002
Volume 26
Issue 2
Start page 326
End page 347
Total pages 22
Place of publication Amsterdam, The Netherlands
Publisher Elsevier BV
Collection year 2011
Language eng
Abstract This paper builds a model which has two extensions over a standard VAR. The first of these is stochastic search variable selection, which is an automatic model selection device that allows coefficients in a possibly over-parameterized VAR to be set to zero. The second extension allows for an unknown number of structural breaks in the VAR parameters. We investigate the in-sample and forecasting performance of our model in an application involving a commonly-used US macroeconomic data set. In a recursive forecasting exercise, we find moderate improvements over a standard VAR, although most of these improvements are due to the use of stochastic search variable selection rather than to the inclusion of breaks. © 2009 International Institute of Forecasters.
Keyword Vector autoregressive model
Predictive density
Over-parameterization
Structural break
Shrinkage
Q-Index Code C1
Q-Index Status Confirmed Code
Institutional Status UQ
Additional Notes Published Apr-Jun 2010

Document type: Journal Article
Sub-type: Article (original research)
Collections: Official 2011 Collection
School of Economics Publications
 
Versions
Version Filter Type
Citation counts: TR Web of Science Citation Count  Cited 10 times in Thomson Reuters Web of Science Article | Citations
Scopus Citation Count Cited 13 times in Scopus Article | Citations
Google Scholar Search Google Scholar
Created: Sun, 02 May 2010, 10:05:56 EST