Showing 1 - 10 of 140
This paper develops methods of Bayesian inference in a cointegrating panel data model. This model involves each cross-sectional unit having a vector error correction representation. It is flexible in the sense that different cross-sectional units can have different cointegration ranks and...
Persistent link: https://www.econbiz.de/10005385058
Abstract: Vector Autoregressive Moving Average (VARMA) models have many theoretical properties which should make them popular among empirical macroeconomists. However, they are rarely used in practice due to over-parameterization concerns, difficult - ties in ensuring identification and...
Persistent link: https://www.econbiz.de/10010929173
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/10010577519
This paper develops methods of Bayesian inference in a cointegrating panel data model. This model involves each cross-sectional unit having a vector error correction representation. It is flexible in the sense that different cross-sectional units can have different cointegration ranks and...
Persistent link: https://www.econbiz.de/10005091075
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/10005091123
There are both theoretical and empirical reasons for believing that the pa- rameters 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...
Persistent link: https://www.econbiz.de/10008514837
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
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/10009644008
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
Commonly used priors for Vector Autoregressions (VARs) induce shrinkage on the autoregressive coefficients. Introducing shrinkage on the error covariance matrix is sometimes done but, in the vast majority of cases, without considering the network structure of the shocks and by placing the prior...
Persistent link: https://www.econbiz.de/10015395756