Bayesian Forecasting using Stochastic Search Variable Selection in a VAR Subject to Breaks

Jochmann, Markus; Koop, Gary; Strachan, Rodney

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Bayesian Forecasting using Stochastic Search Variable Selection in a VAR Subject to Breaks

Date

2010

Authors

Jochmann, Markus

Koop, Gary

Strachan, Rodney

Publisher

Elsevier

Abstract

This paper builds a model which has two extensions over a standard VAR. The first of these is stochastic search variable selection, which is an automatic model selection device that allows coefficients in a possibly over-parameterized VAR to be set to ze