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14-145/III - Vector Autoregressions with parsimoniously Time Varying Parameters and an Application to Monetary Policy


  • Authors
    Laurent Callot, VU University Amsterdam, the Netherlands; Johannes Tang Kristensen, University of Southern Denmark, Denmark
  • Publication date
    November 7, 2014
  • Keywords
    Parsimony, time varying parameters, VAR, structural break, Lasso
  • JEL
    C01, C13, C32, E52