Large mixed-frequency VARs with a parsimonious time-varying parameter structure

DOI10.1093/ECTJ/UTAB001MaRDI QIDQ5083285zbMATH OpenOpenAlexFDO

Authors Klemens Hauzenberger, Thomas B. Götz

Publication date 22 June 2022

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/ectj/utab001

zbMATH Keywords

forecastingBayesian methodsreal-time dataCOVID-19 case studycommon stochastic volatilitytime-varying intercepts

Mathematics Subject Classification ID

Statistics (62-XX)

Cited in

(4)

• Large Hybrid Time-Varying Parameter VARs
• A new approach for estimating VAR systems in the mixed-frequency case
• A random forest-based approach to combining and ranking seasonality tests
• Comparing stochastic volatility specifications for large Bayesian VARs

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