The standard time-varying VAR workhorse suffers from overparameterization, which is a serious problem as it limits the number of variables and lags that can be incorporated in the model. Read also: <a href="http://www.cpb.nl/en/publication/time-variation-dynamic-effects-in-the-unanticipated-changes-in-tax-policy">CPB Discussion Paper 271</a> '<em>Time variation in the dynamic effects of unanticipated changes in tax...</em>

Using a structural vector autoregression with time-varying parameters, I analyze to what extent the dynamic effects of unanticipated changes in tax policy have changed structurally over the post World War II period in the United States. Read also: <a href="http://www.cpb.nl/en/publication/reduced-rank-time-varying-vector-autoregressions">CPB Discussion Paper 270</a> '<em>Reduced-rank...</em>

We construct a new-Keynesian DSGE model tailored to the Netherlands and interpret it as a multivariate unobserved components model. We identify three major stochastic trends in the data—trends in general-purpose technology, investment-specific technology, and labor supply—and model them...