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The computational burden becomes manageable by approximating the mixture indicators driving the time\u2010variation 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 the US term structure of interest rates and demonstrate forecast gains relative to benchmark models. Second, we apply our approach to US macroeconomic data and find significant evidence for time\u2010varying effects of a monetary policy tightening.<\/jats:p>","DOI":"10.1002\/jae.2680","type":"journal-article","created":{"date-parts":[[2019,1,7]],"date-time":"2019-01-07T02:53:21Z","timestamp":1546829601000},"page":"621-640","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":31,"title":["Should I stay or should I go? 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