Regime-Switching Cointegration

Markus Jochmann () and Gary Koop

Working Paper series from Rimini Centre for Economic Analysis

Abstract: 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 cointegrating relationships to change when the regime changes. We show how Bayesian model averaging r model selection methods can be used to deal with the high-dimensional model space that results. Our methods are used in an empirical study of the Fisher effect.

Keywords: Bayesian; Markov switching; structural breaks; cointegration; model averaging (search for similar items in EconPapers)
JEL-codes: C11 C32 C52 (search for similar items in EconPapers)
Date: 2011-09
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Regime-switching cointegration (2015)
Working Paper: Regime-Switching Cointegration (2011)
Working Paper: Regime-Switching Cointegration (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:rim:rimwps:40_11

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