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Bayesian Inference in the Time Varying Cointegration Model

Koop, Gary; Leon-Gonzalez, Roberto; Strachan, Rodney W. - Scottish Institute for Research in Economics (SIRE) - 2008

There are both theoretical and empirical reasons for believing that the parameters of macroeconomic models may vary over time. However, work with time-varying parameter models has largely involved Vector autoregressions (VARs), ignoring cointegration. This is despite the fact that cointegration...

Persistent link: https://www.econbiz.de/10010550779

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; Strachan, … - Scottish Institute for Research in Economics (SIRE) - 2009

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...

Persistent link: https://www.econbiz.de/10010550784

Forecasting the European Carbon Market

Koop, Gary; Tole, Lise - Scottish Institute for Research in Economics (SIRE) - 2011

In an effort to meet its obligations under the Kyoto Protocol, in 2005 the European Union introduced a cap-and-trade scheme where mandated installations are allocated permits to emit CO2. Financial markets have developed that allow companies to trade these carbon permits. For the EU to achieve...

Persistent link: https://www.econbiz.de/10010550760

UK Macroeconomic Forecasting with Many Predictors: Which Models Forecast Best and When Do They Do So?

Koop, Gary; Korobilis, Dimitris - Scottish Institute for Research in Economics (SIRE) - 2009

Block factor methods offer an attractive approach to forecasting with many predictors. These extract the information in these predictors into factors reflecting different blocks of variables (e.g. a price block, a housing block, a financial block, etc.). However, a forecasting model which simply...

Persistent link: https://www.econbiz.de/10010550769

UK Macroeconomic Forecasting with Many Predictors: Which Models Forecast Best and When Do They Do So?

Koop, Gary; Korobilis, Dimitris - Scottish Institute for Research in Economics (SIRE) - 2011

Persistent link: https://www.econbiz.de/10010550801

Regime-Switching Cointegration

Jochmann, Markus; Koop, Gary - Scottish Institute for Research in Economics (SIRE) - 2011

We develop methods for Bayesian inference in vector error correction models which are subject to a variety of switches … Bayesian model averaging or model selection methods can be used to deal with the high-dimensional model space that results. Our …

Persistent link: https://www.econbiz.de/10010550819

What Belongs Where? Variable Selection for Zero-Inflated Count Models with an Application to the Demand for Health Care

Jochmann, Markus - Scottish Institute for Research in Economics (SIRE) - 2009

This paper develops stochastic search variable selection (SSVS) for zero-inflated count models which are commonly used in health economics. This allows for either model averaging or model selection in situations with many potential regressors. The proposed techniques are applied to a data set...

Persistent link: https://www.econbiz.de/10010550824

Forecasting with Medium and Large Bayesian VARs

Koop, Gary - Scottish Institute for Research in Economics (SIRE) - 2011

This paper is motivated by the recent interest in the use of Bayesian VARs for forecasting, even in cases where the … particular prior suggests that Bayesian VAR methods can forecast better. In this paper, we consider a range of alternative priors … examine their forecast performance using a US macroeconomic data set containing 168 variables. We nd that Bayesian VARs do …

Persistent link: https://www.econbiz.de/10010550825

Forecasting Inflation Using Dynamic Model Averaging

Koop, Gary; Korobilis, Dimitris - Scottish Institute for Research in Economics (SIRE) - 2011

We forecast quarterly US inflation based on the generalized Phillips curve using econometric methods which incorporate dynamic model averaging. These methods not only allow for coe¢ cients to change over time, but also allow for the entire forecasting model to change over time. We nd that...

Persistent link: https://www.econbiz.de/10010552386

Estimating Phillips Curves in Turbulent Times using the ECB’s Survey of Professional Forecasters

Koop, Gary; Onorante, Luca - Scottish Institute for Research in Economics (SIRE) - 2011

This paper uses forecasts from the European Central Bank's Survey of Professional Forecasters to investigate the relationship between inflation and inflation expectations in the euro area. We use theoretical structures based on the New Keynesian and Neoclassical Phillips curves to inform our...

Persistent link: https://www.econbiz.de/10010552396