“...This paper develops methods for estimating and forecasting in Bayesian panel vector autoregressions of large dimensions with time‐varying parameters and...”

“...Bayesian shrinkage priors have been very popular in estimating vector autoregressions (VARs) of possibly large dimensions. Many of these priors are not...”

“...This article proposes two distinct contributions to econometric analysis of large information sets and structural instabilities. First, it treats a regression...”

“...This article proposes two distinct contributions to econometric analysis of large information sets and structural instabilities. First, it treats a regression...”

“...This paper proposes a variational Bayes algorithm for computationally efficient posterior and predictive inference in time-varying parameter (TVP) models...”

“...This article proposes two distinct contributions to econometric analysis of large information sets and structural instabilities. First, it treats a regression...”