Markus, Jochmann; Gary, Koop - In: Studies in Nonlinear Dynamics & Econometrics 19 (2015) 1, pp. 35-48
We develop methods for Bayesian inference in vector error correction models which are subject to a variety of switches in regime (e.g., Markov switches in regime or structural breaks). An important aspect of our approach is that we allow both the cointegrating vectors and the number of...