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Markus Jochmann
;
Gary Koop
;
Roberto Leon-Gonzalez
;
Rodney W. Strachan

stochastic search variable selection in vector error correction models with an application to a model of the uk macroeconomy (replication data)

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.

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Jochmann, Markus; Koop, Gary; Leon-Gonzalez, Roberto; Strachan, Rodney W. (2013): Stochastic search variable selection in vector error correction models with an application to a model of the UK macroeconomy (replication data). Version: 1. Journal of Applied Econometrics. Dataset. http://dx.doi.org/10.15456/jae.2022320.0731858134

Related Publication

Jochmann, M., Koop, G., Leon-Gonzalez, R. and Strachan, R. (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. https://doi.org/10.1002/jae.1238