Empirical questions such as whether the Phillips curve or the Okun’s law is stable can often be framed as a model comparison—e.g., comparing a vector autoregression (VAR) in which the coefficients in one equation are constant versus one that has time-varying parameters. We develop Bayesian...

This paper develops a new methodology that decomposes shocks into homoscedastic and heteroscedastic components. This specification implies there exist linear combinations of heteroscedastic variables that eliminate heteroscedasticity. That is, these linear combinations are homoscedastic; a...

Time-varying parameter VARs with stochastic volatility are routinely used for structural analysis and forecasting in settings involving a few macroeconomic variables. Applying these models to high-dimensional datasets has proved to be challenging due to intensive computations and...