Chan, Joshua C.C.; Koop, Gary; Leon-Gonzalez, Roberto; … - In: Journal of Business & Economic Statistics 30 (2012) 3, pp. 358-367
Time varying parameter (TVP) models have enjoyed an increasing popularity in empirical macroeconomics. However, TVP models are parameter-rich and risk over-fitting unless the dimension of the model is small. Motivated by this worry, this article proposes several Time Varying Dimension (TVD)...