文章基本信息

标题：Using VARs and TVP-VARs with Many Macroeconomic Variables
本地全文：下载
作者：Gary Koop
期刊名称：Discussion Papers / Business School, University of Strathclyde
出版年度：2013
卷号：2013
出版社：University of Strathclyde
摘要：This paper discusses the challenges faced by the empirical macroeconomist and meth-ods for surmounting them. These challenges arise due to the fact that macroeconometricmodels potentially include a large number of variables and allow for time variation in pa-rameters. These considerations lead to models which have a large number of parametersto estimate relative to the number of observations. A wide range of approaches are sur-veyed which aim to overcome the resulting problems. We stress the related themes of priorshrinkage, model averaging and model selection. Subsequently, we consider a particularmodelling approach in detail. This involves the use of dynamic model selection methodswith large TVP-VARs. A forecasting exercise involving a large US macroeconomic data setillustrates the practicality and empirical success of our approach
关键词：Bayesian VAR; forecasting; time-varying coefficients; state-space model