Eickmeier, Sandra; Lemke, Wolfgang; Marcellino, Massimiliano - Deutsche Bundesbank - 2011
in the factor loadings, in the factor dynamics, and in the variance-covariance matrix of innovations. When the time-varying … from the time-varying FAVAR are more accurate than those from a constant parameter FAVAR for most variables and horizons … when computed insample, for some variables in pseudo real time, mostly financial indicators. Finally, we use the time-varying …