Reducing the state space dimension in a large TVP-VAR
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DOI: 10.1016/j.jeconom.2019.11.006
Abstract: Abstract This paper proposes a new approach to estimating high dimensional time varying parameter structural vector autoregressive models (TVP-SVARs) by taking advantage of an empirical feature of TVP-(S)VARs. TVP-(S)VAR models are rarely used with more… read more here.
Keywords: state; state space; reducing state; tvp var ... See more keywords