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Stochastic Model Specification Search for Time-Varying Parameter VARs

Eisenstat, Eric; Chan, Chi Chun (Joshua); Strachan, Rodney

Description

This article develops a new econometric methodology for performing stochastic model specification search (SMSS) in the vast model space of time-varying parameter vector autoregressions (VARs) with stochastic volatility and correlated state transitions. This is motivated by the concern of overfitting and the typically imprecise inference in these highly parameterized models. For each VAR coefficient, this new method automatically decides whether it is constant or time-varying. Moreover, it can...[Show more]

CollectionsANU Research Publications
Date published: 2016
Type: Journal article
URI: http://hdl.handle.net/1885/103518
Source: Econometric Reviews
DOI: 10.1080/07474938.2015.1092808

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