Narrow search
Showing 1 - 10 of 12
Cover Image
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; … - Economics Department, University of Strathclyde - 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/10008629508
Cover Image
Regime-Switching Cointegration*
Jochmann, Markus; Koop, Gary - Economics Department, University of Strathclyde - 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/10009145710
Cover Image
Regime-Switching Cointegration
Jochmann, Markus; Koop, Gary - Rimini Centre for Economic Analysis (RCEA) - 2011
We develop methods for Bayesian inference in vector error correction models which are subject to a variety of switches … Bayesian model averaging r model selection methods can be used to deal with the high-dimensional model space that results. Our …
Persistent link: https://www.econbiz.de/10009320949
Cover Image
What belongs where? Variable selection for zero-inflated count models with an application to the demand for health care
Jochmann, Markus - In: Computational Statistics 28 (2013) 5, pp. 1947-1964
This paper develops a Bayesian spike and slab model for zero-inflated count models which are commonly used in health …
Persistent link: https://www.econbiz.de/10010698288
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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/10010565733
Cover Image
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
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/10008487518
Cover Image
What Belongs Where? Variable Selection for Zero-Inflated Count Models with an Application to the Demand for Health Care
Jochmann, Markus - Economics Department, University of Strathclyde - 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/10008496448