Block factor methods offer an attractive approach to forecasting with many predictors. These extract the information in … block, etc.). However, a forecasting model which simply includes all blocks as predictors risks being over …-parameterized. Thus, it is desirable to use a methodology which allows for different parsimonious forecasting models to hold at different …

Block factor methods offer an attractive approach to forecasting with many predictors. These extract the information in … block, etc.). However, a forecasting model which simply includes all blocks as predictors risks being over …-parameterized. Thus, it is desirable to use a methodology which allows for different parsimonious forecasting models to hold at different …

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 …

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 …

approach in detail. This involves the use of dynamic model selection methods with large TVP-VARs. A forecasting exercise …

approach in detail. This involves the use of dynamic model selection methods with large TVP-VARs. A forecasting exercise …