Reducing the State Space Dimension in a Large TVP-VAR

Joshua Chan, Eric Eisenstat and Rodney Strachan (2020)
Journal of Econometrics, 218(1): 105-118
[ Journal Version | Working Paper | Online Appendix | Code ]

This code estimates a large time-varying parameter VAR with stochastic volatility. To reduce the state space dimension for parsimony and fast computation, the time-varying coefficients and volatilities are specified as a singular state space model.