Bayesian inference in the time varying cointegration model

Koop, Gary, Leon-Gonzalez, Roberto and Strachan, Rodney. W. (2011) Bayesian inference in the time varying cointegration model. Journal of Econometrics, 165 2: 210-220. doi:10.1016/j.jeconom.2011.07.007

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Author Koop, Gary
Leon-Gonzalez, Roberto
Strachan, Rodney. W.
Title Bayesian inference in the time varying cointegration model
Journal name Journal of Econometrics   Check publisher's open access policy
ISSN 0304-4076
Publication date 2011-12-01
Year available 2011
Sub-type Article (original research)
DOI 10.1016/j.jeconom.2011.07.007
Open Access Status
Volume 165
Issue 2
Start page 210
End page 220
Total pages 11
Place of publication Amsterdam, Netherlands
Publisher Elsevier
Language eng
Abstract 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 for the cointegrating space to evolve over time in a manner comparable to the random walk variation used with TVP-VARs. The properties of our approach are investigated before developing a method of posterior simulation. We use our methods in an empirical investigation involving the Fisher effect. Crown Copyright (C) 2011 Published by Elsevier B.V. All rights reserved.
Keyword Bayesian
Error correction model
Time varying cointegration
Reduced rank regression
Markov Chain Monte Carlo
Q-Index Code C1
Q-Index Status Provisional Code
Grant ID F/00 273/J
Institutional Status Non-UQ

Document type: Journal Article
Sub-type: Article (original research)
Collection: School of Economics Publications
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Citation counts: TR Web of Science Citation Count  Cited 8 times in Thomson Reuters Web of Science Article | Citations
Scopus Citation Count Cited 9 times in Scopus Article | Citations
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Created: Tue, 03 Dec 2013, 22:51:55 EST by Alys Hohnen on behalf of School of Economics