Stochastic search variable selection in vector error correction models with an application to a model of the UK macroeconomy
向量误差修正模型中的随机搜索变量选择及英国宏观应用
SUMMARY 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 a single unrestricted model and either do model selection or model averaging in an automatic and computationally efficient manner. We apply our methods to a large UK…