Should I stay or should I go? A latent threshold approach to large‐scale mixture innovation models
该留还是该走？大规模混合创新模型的潜在阈值方法
Summary We propose a straightforward algorithm to estimate large Bayesian time‐varying parameter vector autoregressions with mixture innovation components for each coefficient in the system. The computational burden becomes manageable by approximating the mixture indicators driving the time‐variation in the coefficients with a latent threshold process that depends on the absolute size of the shocks. Two applications illustrate the merits of our approach. First, we forecast…