Stochastic Search Variable Selection in Vector Error Correction Models with an Application to a Model of the UK Macroeconomy
Year of publication: |
2009-01
|
---|---|
Authors: | Jochmann, Markus ; Koop, Gary ; Leon-Gonzalez, Roberto ; Strachan, Rodney W. |
Institutions: | Rimini Centre for Economic Analysis (RCEA) |
Subject: | Bayesian | cointegration | model averaging | model selection | Markov chain Monte Carlo |
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