Stochastic search variable selection in vector error correction models with an application to a model of the UK macroeconomy

Jochmann, Marcus, Koop, Gary, Leon-Gonzalez, Roberto and Strachan, Rodney W. (2013) Stochastic search variable selection in vector error correction models with an application to a model of the UK macroeconomy. Journal of Applied Econometrics, 28 1: 62-81. doi:10.1002/jae.1238

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Author Jochmann, Marcus
Koop, Gary
Leon-Gonzalez, Roberto
Strachan, Rodney W.
Title Stochastic search variable selection in vector error correction models with an application to a model of the UK macroeconomy
Journal name Journal of Applied Econometrics   Check publisher's open access policy
ISSN 0883-7252
1099-1255
Publication date 2013-01
Sub-type Article (original research)
DOI 10.1002/jae.1238
Open Access Status
Volume 28
Issue 1
Start page 62
End page 81
Total pages 20
Place of publication Chichester, West Sussex, United Kingdom
Publisher John Wiley & Sons
Collection year 2014
Language eng
Formatted 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.
Q-Index Code C1
Q-Index Status Provisional Code
Institutional Status Non-UQ

Document type: Journal Article
Sub-type: Article (original research)
Collections: Non HERDC
School of Economics Publications
 
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Citation counts: TR Web of Science Citation Count  Cited 5 times in Thomson Reuters Web of Science Article | Citations
Scopus Citation Count Cited 4 times in Scopus Article | Citations
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Created: Tue, 03 Dec 2013, 13:20:32 EST by Alys Hohnen on behalf of School of Economics