Large time-varying parameter VARs

In this paper, we develop methods for estimation and forecasting in large time-varying parameter vector autoregressive models (TVP-VARs). To overcome computational constraints, we draw on ideas from the dynamic model averaging literature which achieve reductions in the computational burden through t...

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Bibliographic details
Volume: 177
Main Author: Koop, Gary
Korobilis, Dimitris
Format: Journal Article
Language: English
Zielgruppe: Academic
Place of publication: LAUSANNE Elsevier B.V 01.12.2013
ELSEVIER SCIENCE SA
Elsevier Science Publishers
published in: Journal of econometrics Vol. 177; no. 2; pp. 185 - 198
ORCID: 0000-0002-6091-378X
0000-0001-9146-3008
Data of publication: December 2013
ISSN: 0304-4076
1872-6895
EISSN: 1872-6895
Discipline: Economics
Statistics
Mathematics
Subjects:
C52
C11
E37
E27
Online Access: available in Bonn?
Database: Social Sciences Citation Index
Web of Science - Science Citation Index Expanded - 2013
Web of Knowledge
Science Citation Index Expanded
Web of Science - Social Sciences Citation Index - 2013
Web of Science
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