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Bayesian Inference in a Time Varying Cointegration Model

Gary Koop (), Roberto Leon-Gonzales and Rodney Strachan ()
Authors registered in the RePEc Author Service: Roberto Leon-Gonzalez ()

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: There are both theoretical and empirical reasons for believing that the parameters of macroeconomic models may vary over time. However, work with time-varying parameter models has largely involved Vector autoregressions (VARs), ignoring cointegration. This is despite the fact that cointegration plays an important role in informing macroeconomists on a range of issues. In this paper we develop a new time varying parameter model which permits cointegration. We use a specification which allows for the cointegrating space to evolve over time in a manner comparable to the random walk variation used with TVP-VARs. The properties of our approach are investigated before developing a method of posterior simulation. We use our methods in an empirical investigation involving the Fisher effect.

Date: 2011-08
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Related works:
Journal Article: Bayesian inference in a time varying cointegration model (2011) Downloads
Working Paper: Bayesian Inference in the Time Varying Cointegration Model* (2011) Downloads
Working Paper: Bayesian Inference in the Time Varying Cointegration Model (2008) Downloads
Working Paper: Bayesian Inference in the Time Varying Cointegration Model (2008) Downloads
Working Paper: Bayesian Inference in the Time Varying Cointegration Model (2008) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2011-25

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