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:	Bayesian VAR Forecasting State-space model Time-varying coefficients Economics Mathematics, Interdisciplinary Applications Physical Sciences Social Sciences Social Sciences, Mathematical Methods Business & Economics Mathematics Mathematical Methods In Social Sciences Science & Technology Value-added resellers Analysis Models C52 Bayesian VAR C11 Time-varying coefficients E37 E27 Forecasting State-space model UNCERTAINTY INFLATION
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 CrossRef Academic OneFile (A&I only) OpenAIRE OpenAIRE (Open Access) Database information Databases - DBIS