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 …

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 …

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 …

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 …

forecasting model to change over time. We find that dynamic model averaging leads to substantial forecasting improvements over … provide evidence on which sets of predictors are relevant for forecasting in each period. …

with CPI inflation we find the model to work well, yielding more sensible measures of trend inflation and forecasting …