@ARTICLE{Koop_Gary_Using_2012,
 author={Koop, Gary},
 number={No 3},
 journal={Central European Journal of Economic Modelling and Econometrics},
 pages={143-167},
 howpublished={online},
 year={2012},
 publisher={Oddział PAN w Łodzi},
 abstract={This paper discusses the challenges faced by the empirical macroeconomist and methods for surmounting them. These challenges arise due to the fact that macroeconometric models potentially include a large number of variables and allow for time variation in parameters. These considerations lead to models which have a large number of parameters to estimate relative to the number of observations. A wide range of approaches are surveyed which aim to overcome the resulting problems. We stress the related themes of prior shrinkage, model averaging and model selection. Subsequently, we consider a particular modelling approach in detail. This involves the use of dynamic model selection methods with large TVP-VARs. A forecasting exercise involving a large US macroeconomic data set illustrates the practicality and empirical success of our approach.},
 type={Artykuły / Articles},
 title={Using VARs and TVP-VARs with Many Macroeconomic Variables},
 URL={http://journals.pan.pl/Content/103775/PDF/mainFile.pdf},
 doi={10.24425/cejeme.2012.119281},
 keywords={Bayesian VAR, forecasting, time-varying coefficients, state-space model},
}