Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors

Funding

We thank Zhongjun Qu, Ana Beatriz Galv\u00E3o, Bernd Schwaab, Dennis Fok, Tara Sinclair, participants of the NBER-NSF Conference 2022, Barcelona Workshop in Financial Econometrics, Tinbergen Institute Econometrics Workshop, ECB workshop on Advances in Short-Term Forecasting, EABCN-PWC-EUI Conference: Time-varying Models for Monetary Policy and Financial Stability, as well as seminar participants at Maastricht University, University of Cologne, Tilburg University, University of Duisburg\u2013Essen, Heidelberg University, George Washington University, and University of Exeter for valuable comments. Schaumburg thanks the Netherlands Organization for Scientific Research (NWO, grant VI.VIDI.191.169) for financial support.