Score contribution per author:
α: calibrated so average coauthorship-adjusted count equals average raw count
This paper builds a model which has two extensions over a standard VAR. The first of these is stochastic search variable selection, which is an automatic model selection device that allows coefficients in a possibly over-parameterized VARÂ to be set to zero. The second extension allows for an unknown number of structural breaks in the VARÂ parameters. We investigate the in-sample and forecasting performance of our model in an application involving a commonly-used US macroeconomic data set. In a recursive forecasting exercise, we find moderate improvements over a standard VAR, although most of these improvements are due to the use of stochastic search variable selection rather than to the inclusion of breaks.