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Large time-varying parameter VARs. (2012). Koop, Gary ; Korobilis, Dimitris.
In: Working Papers.
RePEc:gla:glaewp:2012_04.

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  1. Aggregate density forecasting from disaggregate components using Bayesian VARs. (2020). Cobb, Marcus.
    In: Empirical Economics.
    RePEc:spr:empeco:v:58:y:2020:i:1:d:10.1007_s00181-019-01720-6.

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  2. Time-Varying Vector Autoregressions: Efficient Estimation, Random Inertia and Random Mean. (2018). Legrand, Romain.
    In: MPRA Paper.
    RePEc:pra:mprapa:88925.

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  3. FACTOR MODELS AND TIME€ VARYING PARAMETER FRAMEWORK FOR FORECASTING EXCHANGE RATES AND INFLATION: A SURVEY. (2018). Mokhtari, Manouchehr ; Kavtaradze, Lasha.
    In: Journal of Economic Surveys.
    RePEc:bla:jecsur:v:32:y:2018:i:2:p:302-334.

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  4. BAYESIAN FORECASTS COMBINATION TO IMPROVE THE ROMANIAN INFLATION PREDICTIONS BASED ON ECONOMETRIC MODELS. (2014). Simionescu, Mihaela.
    In: UTMS Journal of Economics.
    RePEc:ris:utmsje:0106.

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  5. Adaptive Models and Heavy Tails. (2014). Petrella, Ivan ; Delle Monache, Davide.
    In: Working Papers.
    RePEc:qmw:qmwecw:wp720.

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  6. Adaptive Models and Heavy Tails. (2014). Petrella, Ivan ; Delle Monache, Davide.
    In: Working Papers.
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  7. Adaptive Models and Heavy Tails. (2014). Petrella, Ivan ; Delle Monache, Davide.
    In: Birkbeck Working Papers in Economics and Finance.
    RePEc:bbk:bbkefp:1409.

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  8. Using VARs and TVP-VARs with Many Macroeconomic Variables. (2013). Koop, Gary.
    In: Working Papers.
    RePEc:str:wpaper:1303.

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  9. Model Switching and Model Averaging in Time-Varying Parameter Regression Models. (2013). Koop, Gary ; Gonzalez Belmonte, Miguel Angel.
    In: Working Papers.
    RePEc:str:wpaper:1302.

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  10. A New Index of Financial Conditions. (2013). Koop, Gary ; Korobilis, Dimitris.
    In: MPRA Paper.
    RePEc:pra:mprapa:45463.

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  11. Time-varying combinations of predictive densities using nonlinear filtering. (2013). van Dijk, Herman ; Ravazzolo, Francesco ; Casarin, Roberto ; Billio, Monica.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:177:y:2013:i:2:p:213-232.

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  12. Advances in Forecasting under Instability. (2013). Rossi, Barbara.
    In: Handbook of Economic Forecasting.
    RePEc:eee:ecofch:2-1203.

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  13. Using VARs and TVP-VARs with Many Macroeconomic Variables. (2013). Koop, Gary ; Gary, Koop.
    In: SIRE Discussion Papers.
    RePEc:edn:sirdps:443.

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  14. Panel Vector Autoregressive Models: A Survey. (2013). Ciccarelli, Matteo ; Canova, Fabio.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:9380.

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  15. Time-varying Combinations of Predictive Densities using Nonlinear Filtering. (2012). van Dijk, Herman ; Ravazzolo, Francesco ; Casarin, Roberto ; Billio, Monica.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20120118.

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  16. Using VARs and TVP-VARs with Many Macroeconomic Variables. (2012). Koop, Gary.
    In: Central European Journal of Economic Modelling and Econometrics.
    RePEc:psc:journl:v:4:y:2012:i:3:p:143-167.

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  17. Was the Recent Downturn in US GDP Predictable?. (2012). Miller, Stephen ; Majumdar, Anandamayee ; GUPTA, RANGAN ; Balcilar, Mehmet.
    In: Working Papers.
    RePEc:pre:wpaper:201230.

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  18. The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility. (2012). Ravazzolo, Francesco ; Clark, Todd.
    In: Working Papers (Old Series).
    RePEc:fip:fedcwp:1218.

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  19. Common drifting volatility in large Bayesian VARs. (2012). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea.
    In: Working Papers (Old Series).
    RePEc:fip:fedcwp:1206.

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  20. Common Drifting Volatility in Large Bayesian VARs. (2012). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea.
    In: Economics Working Papers.
    RePEc:eui:euiwps:eco2012/08.

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  21. Common Drifting Volatility in Large Bayesian VARs. (2012). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8894.

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  22. The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility. (2012). Ravazzolo, Francesco ; Clark, Todd.
    In: Working Paper.
    RePEc:bno:worpap:2012_09.

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References

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  1. A Data Appendix All series were downloaded from Federal Reserve Bank of St. Louisâ FRED database and cover the quarters 1959:Q1 to 2010:Q2. Some series in the database were observed only on a monthly basis and quarterly values were computed by averaging the monthly values over the quarter. All variables are transformed to be approximately stationary following Stock and Watson (2008). In particular, if zi;t is the original untransformed series, the transformation codes are (column Tcode below): 1 - no transformation (levels), xi;t = zi;t; 2 - ïrst difference, xi;t = zi;t zi;t 1; 3 - second difference, xi;t = zi;t zi;t 2; 4 - logarithm, xi;t = log zi;t; 5 - ïrst difference of logarithm, xi;t = ln zi;t ln zi;t 1; 6 - second difference of logarithm, xi;t = ln zi;t ln zi;t 2.
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