Large TVP VARs

This code estimates large time-varying parameter VARs with Dynamic Prior Selection (DPS, i.e. selection of the Minnesota shrinkage coefficient at each point in time) and Dynamic Dimension Selection (DDS, i.e. selection of the optimal VAR size from a pool of small, medium and large models). The code replicates the results in the working paper (see my IDEAS page) version of the paper:

Koop, G. and Korobilis, D. (2013). Large Time-Varying Parameter VARs, Journal of Econometrics, 177, pp. 185-198.

Download code here: LARGE_TVP_VAR.zip