In this paper we develop methods for estimation and forecasting in large time-varying parameter vector autoregressive … models (TVP-VARs). To overcome computational constraints with likelihood-based estimation of large systems, we rely on Kalman … filter estimation with forgetting factors. We also draw on ideas from the dynamic model averaging literature and extend the …

identification strategy provides improved estimates of output gap with better real time properties and lower sensitivity to temporary … time, however, our results suggest caution in basing policy decisions on output gap estimates …