- Tytuł:
- Using VARs and TVP-VARs with Many Macroeconomic Variables
- Autorzy:
- Koop, Gary
- Powiązania:
- https://bibliotekanauki.pl/articles/483265.pdf
- Data publikacji:
- 2012
- Wydawca:
- Polska Akademia Nauk. Czytelnia Czasopism PAN
- Tematy:
-
Bayesian VAR
forecasting
time-varying coefficients
state-space model - Opis:
- 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.
- Źródło:
-
Central European Journal of Economic Modelling and Econometrics; 2012, 4, 3; 143-167
2080-0886
2080-119X - Pojawia się w:
- Central European Journal of Economic Modelling and Econometrics
- Dostawca treści:
- Biblioteka Nauki
Artykuł