Regime-Switching Cointegration

Markus Jochmann () and Gary Koop

No 2011-36, SIRE Discussion Papers from Scottish Institute for Research in Economics (SIRE)

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 or 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)
Date: 2011
New Economics Papers: this item is included in nep-ets
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Citations: View citations in EconPapers (2)

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Journal Article: Regime-switching cointegration (2015)
Working Paper: Regime-Switching Cointegration (2011)
Working Paper: Regime-Switching Cointegration (2011)
Working Paper: Regime-Switching Cointegration* (2011)
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