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~institution:"Rimini Centre for Economic Analysis (RCEA)"
~subject:"cointegration"
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cointegration
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model averaging
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model selection
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Hodrick-Prescott (HP) smoothers
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model selection by marginal likelihoods
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Cowles Foundation for Research in Economics, Yale University
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Stochastic Search Variable Selection in Vector Error Correction Models with an Application to a Model of the UK Macroeconomy
Jochmann, Markus
;
Koop, Gary
;
Leon-Gonzalez, Roberto
; …
-
Rimini Centre for Economic Analysis (RCEA)
-
2009
show how this allows the researcher to begin with a single unrestricted model and either do
model
selection
or model …
Persistent link: https://www.econbiz.de/10008487518
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