Koop, Gary; Potter, Simon M.; Strachan, Rodney W. - Federal Reserve Bank of New York - 2005
consumption. We investigate the robustness of these results to model uncertainty using Bayesian model averaging. We find that … there is model uncertainty with regard to the number of cointegrating vectors, the form of deterministic components, lag … length, and whether the cointegrating residuals affect consumption and income directly. Whether this uncertainty has …