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: https://orcid.org/0000-0002-6091-378X;-
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Item type: Monograph(Discussion paper) ID code: 68110 Dates: DateEvent14 January 2013PublishedNotes: 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: 03 Oct 2024 00:10 URI: https://strathprints.strath.ac.uk/id/eprint/68110