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Bayesian model averaging in vector autoregressive processes with an investigation of stability of the US great ratios and risk of a liquidity trap in the USA, UK and Japan
Strachan, Rodney; van Dijk, Herman K. - Faculteit der Economische Wetenschappen, Erasmus … - 2007
A Bayesian model averaging procedure is presented within the class of vector autoregressive (VAR) processes and applied to two empirical issues. First, stability of the "Great Ratios" in U.S. macro-economic time series is investigated, together with the presence and e¤ects of permanent shocks....
Persistent link: https://www.econbiz.de/10010731708
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Model uncertainty and Bayesian model averaging in vector autoregressive processes
Strachan, Rodney; van Dijk, Herman K. - Faculteit der Economische Wetenschappen, Erasmus … - 2006
Economic forecasts and policy decisions are often informed by empirical analysis based on econometric models. However, inference based upon a single model, when several viable models exist, limits its usefulness. Taking account of model uncertainty, a Bayesian model averaging procedure is...
Persistent link: https://www.econbiz.de/10010731910
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Bayesian model averaging in vector autoregressive processes with an investigation of stability of the US great ratios and risk of a liquidity trap in the USA, UK and Japan
Strachan, R.W.; Dijk, H.K. van - Erasmus University Rotterdam, Econometric Institute - 2007
A Bayesian model averaging procedure is presented within the class of vector autoregressive (VAR) processes and applied to two empirical issues. First, stability of the "Great Ratios" in U.S. macro-economic time series is investigated, together with the presence and e¤ects of permanent...
Persistent link: https://www.econbiz.de/10005450863
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Model uncertainty and Bayesian model averaging in vector autoregressive processes
Strachan, R.W.; Dijk, H.K. van - Erasmus University Rotterdam, Econometric Institute - 2006
Economic forecasts and policy decisions are often informed by empirical analysis based on econometric models. However, inference based upon a single model, when several viable models exist, limits its usefulness. Taking account of model uncertainty, a Bayesian model averaging procedure is...
Persistent link: https://www.econbiz.de/10005450886
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Valuing structure, model uncertainty and model averaging in vector autoregressive processes
Strachan, Rodney; van Dijk, Herman K. - Faculteit der Economische Wetenschappen, Erasmus … - 2004
uniform priors on subspaces defined by particular structural features of VARs. The features considered are cointegration …
Persistent link: https://www.econbiz.de/10010837836
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Bayesian Model Selection in the Analysis of Cointegration
Wróblewska, Justyna - In: Central European Journal of Economic Modelling and … 1 (2009) 1, pp. 57-69
make inference about the cointegration space we use the class of Matrix Angular Central Gaussian distributions. To carry …
Persistent link: https://www.econbiz.de/10005064791
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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 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...
Persistent link: https://www.econbiz.de/10009320949
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The value of structural information in the VAR model
Strachan, Rodney; van Dijk, Herman K. - Faculteit der Economische Wetenschappen, Erasmus … - 2003
features of a model, such as cointegration, can improve policy analysis as it can improve estimation, inference and forecast … features of the VAR model. The features considered are cointegration, exogeneity, deterministic processes and …
Persistent link: https://www.econbiz.de/10010837862
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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
Autoregressive models) for Vector Error Correction models where there are many possible restrictions on the cointegration space. We …
Persistent link: https://www.econbiz.de/10008629508
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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
Autoregressive models) for Vector Error Correction models where there are many possible restrictions on the cointegration space. We …
Persistent link: https://www.econbiz.de/10008487518