the variables and milder evidence of nonlinearity in the conditional mean. …

This paper compares the forecasting performance of different models which have been proposed for forecasting in the … macroeconomic time series, we demonstrate the presence of structural breaks and their importance for forecasting in the vast … majority of cases. We find no single forecasting model consistently works best in the presence of structural breaks. In many …

In this paper, we develop methods for estimation and forecasting in large time-varying parameter vector autoregressive … dimension can change over time. For instance, we can have a large TVP-VAR as the forecasting model at some points in time, but a … use of forgetting factor methods and are, thus, computationally simple. An empirical application involving forecasting …

In this paper we develop methods for estimation and forecasting in large time-varying parameter vector autoregressive … application involving forecasting inflation, real output, and interest rates demonstrates the feasibility and usefulness of our …