I introduce a factor structure on the parameters of a Bayesian TVP-VAR to reduce the dimension of the model's state space. To further limit the scope of over-fitting the estimation of the factor loadings uses a new generation of shrinkage priors. A Monte Carlo study illustrates the ability of...

We combine the factor augmented VAR framework with recently developed estimation and identification procedures for sparse dynamic factor models. Working with a sparse hierarchical prior distribution allows us to discriminate between zero and non-zero factor loadings. The non-zero loadings...

We combine the factor augmented VAR framework with recently developed estimation and identification procedures for sparse dynamic factor models. Working with a sparse hierarchical prior distribution allows us to discriminate between zero and non-zero factor loadings. The non-zero loadings...