TVP-VAR Model

Reference sources

Reference material used for orientation; read primary and academic sources first when claims conflict.

1. [S1] Reference

   Primiceri (2005) -- canonical TVP-VAR with stochastic volatility and triangular factorization

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2. [S2] Reference

   Cogley and Sargent (2005) -- drifting coefficients without time-varying A_t; US inflation persistence

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3. [S3] Reference

   Carter and Kohn (1994) -- forward-filtering, backward-sampling simulation smoother for Gaussian state-space models

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4. [S4] Reference

   Kim, Shephard, and Chib (1998) -- mixture-of-normals approximation for stochastic volatility

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5. [S5] Reference

   Koop and Korobilis (2013) -- computationally light TVP-VAR via forgetting factors

   Reference

6. [S6] Reference

   D'Agostino, Gambetti, and Giannone (2013) -- forecasting with TVP-VARs

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7. [S7] Reference

   Chan and Eisenstat (2018) -- equation-by-equation estimation for large TVP-VARs

   Reference