Using VARs and TVP-VARs with Many Macroeconomic Variables

Koop, Gary (2013) Using VARs and TVP-VARs with Many Macroeconomic Variables. Discussion paper. University of Strathclyde, Glasgow.

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Abstract

This paper discusses the challenges faced by the empirical macroeconomist and methods for surmounting them. These challenges arise due to the fact that macroeconometric models potentially include a large number of variables and allow for time variation in parameters. These considerations lead to models which have a large number of parameters to estimate relative to the number of observations. A wide range of approaches are surveyed which aim to overcome the resulting problems. We stress the related themes of prior shrinkage, model averaging and model selection. Subsequently, we consider a particular modelling approach in detail. This involves the use of dynamic model selection methods with large TVP-VARs. A forecasting exercise involving a large US macroeconomic data set illustrates the practicality and empirical success of our approach.

ORCID iDs

Koop, Gary ORCID logoORCID: https://orcid.org/0000-0002-6091-378X;
  • Item type:Monograph(Discussion paper)
    ID code:68110
    Dates:
    Date
    Event
    14 January 2013
    Published
    Notes:Published as a paper within the Discussion Papers in Economics, No. 13-03 (2013)
    Subjects:Social Sciences > Economic Theory
    Department:Strathclyde Business School > Economics
    Depositing user: Pure Administrator
    Date deposited:29 May 2019 13:09
    Last modified:15 Nov 2024 12:08
    Related URLs:
    URI:https://strathprints.strath.ac.uk/id/eprint/68110
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