Large time-varying parameter VARs

By Gary Koop, Dimitris Korobilis. 2013

494 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/6f8668b408f2027ceee6c00903fae0d75fd4a92d

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

Citations in the corpus

A quasi-Bayesian local likelihood approach to time varying parameter VAR models (2019, methodology): “To address the dimensionality problems of state space models, Koop and Korobilis (2013) employ a forgetting factor approach, which involves discounting past observations in the Kalman lter prediction step.”
Bayesian VARs : specification choices and forecast accuracy (2011, unknown): “For example, RMSFE is lower with the optimal lag 13 Koop and Korobilis (2012) allow a computationally simpler form of time-varying volatility in large BVARs, through an exponentially weighted moving average filter.”
A new index of financial conditions (2014, unknown): “Koop and Korobilis (2013) uses a similar approach and additional motivation for use of EWMA estimates is provided there.”
Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020, methodology): “…that even though estimation procedures are available which allow the decay factors to vary over time, we keep them constant at fixed values, since Koop and Korobilis (2013) found that the value added by time-varying decay factors with respect to the forecasting performance was questionable and…”
Bayesian Model Comparison for Time-Varying Parameter VARs with Stochastic Volatility (2018, unknown): “On the other hand, other researchers such as Sims and Zha (2006) and Benati (2008) have emphasized that the volatility of exogenous shocks has changed over time, and this alone may be sufficient to explain the Great Moderation.”
Advances in Forecasting Under Instability (2012, unknown): “Carriero, Clark and Marcellino (2012) extend the analysis to large VARs where the volatilities are driven by a single common factor and Koop and Korobilis (2012) propose new methods to estimate large dimensional VARs with time-varying parameters (including time-varying volatilities), where the…”
The Stochastic Volatility in Mean Model With Time-Varying Parameters: An Application to Inflation Modeling (2017, background): “Recent articles include Canova (2007), Koop and Potter (2007), Stock and Watson (2007, 2010), Clark and Doh (2014), Chan et al. (2012), Koop and Korobilis (2012), Koop and Korobilis (2013), Chan (2013), D’Agostino, Gambetti, and Giannone (2013), and Clark and Ravazzolo (2015).”