Using VARs and TVP-VARs with Many Macroeconomic Variables

• Autorzy: Gary Koop
• Języki publikacji: EN

Abstrakty

EN

This paper discusses the challenges faced by the empirical macroeconomist and methods for surmounting them. These challenges arise due to the fact that macroeconometric models potentially include a large number of variables and allow for time variation in parameters. These considerations lead to models which have a large number of parameters to estimate relative to the number of observations. A wide range of approaches are surveyed which aim to overcome the resulting problems. We stress the related themes of prior shrinkage, model averaging and model selection. Subsequently, we consider a particular modelling approach in detail. This involves the use of dynamic model selection methods with large TVP-VARs. A forecasting exercise involving a large US macroeconomic data set illustrates the practicality and empirical success of our approach. (original abstract)

Słowa kluczowe

EN

Vector Autoregression Model (VAR); Forecasting

PL

Model wektorowej autoregresji; Prognozowanie

• Czasopismo: Central European Journal of Economic Modelling and Econometrics (CEJEME)
• Rocznik: 2012
• Tom: 4
• Numer: nr 3
• Strony: 143--167

Twórcy

autor

Gary Koop

• University of Strathclyde, United Kingdom

Bibliografia

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Identyfikatory

DOI

DOI: 10.24425/cejeme.2012.119281