Title:Forecasting with a state space time-varying parameter VAR model : evidence from the Euro area Author(s):BEKIROS, Stelios D.Date:2014Citation:
- Economic modelling, 2014, Vol. 38, pp. 619-626
Type:ArticleAbstract:Standard VAR and Bayesian VAR models are proven to be reliable tools for modeling and forecasting, yet they are still linear and they do not consider time-variation in parameters. VAR modeling is subject to the Lucas ...