English, Article, Journal or magazine article edition: Bayesian Forecasting using Stochastic Search Variable Selection in a VAR Subject to Breaks Gary Koop; Markus Jochmann; Rodney W. Strachan

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Bookmark: http://trove.nla.gov.au/version/145300
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Bayesian Forecasting using Stochastic Search Variable Selection in a VAR Subject to Breaks
Author
  • Gary Koop
  • Markus Jochmann
  • Rodney W. Strachan
Physical Description
  • preprint
Notes
  • 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 which allows for coefficients in a possibly over-parameterized VAR to be set to zero. The second allows for an unknown number of structual breaks in the VAR parameters. We investigate the in-sample and forecasting performance of our model in an application involving a commonly-used US macro-economic data set. We find that, in-sample, these extensions clearly are warranted. In a recursive forecasting exercise, we find moderate improvements over a standard VAR, although most of these improvements are due to the use of stochastic search variable selection rather than the inclusion of breaks. Classification-JEL:
  • RePEc:rim:rimwps:19-08
Language
  • English
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