Affiliation: | 1. Norwegian Business School, Norway;2. Federal Reserve Bank of Chicago, U.S.A.;3. Indiana University Federal Reserve Bank of Richmond, U.S.A. We thank Jesus Fernandez Villaverde (the editor), two anonymous referees, Stephane Bonhomme, Francesco Bianchi, Ferre de Graeve, Marco del Negro, James Hamilton, Lars Hansen, Michele Lenza, Frank Schorfheide, Harald Uhlig, and Tao Zha, as well as participants of many seminars and conferences for their comments and suggestions. Canova acknowledges the financial support from the Spanish Ministerio de Economia y Competitividad through the grants ECO2012-33247, ECO2015-68136-P, and FEDER, UE. The views presented in this article are not necessarily those of the Federal Reserve Bank of Richmond, the Federal Reserve Bank of Chicago, or the Federal Reserve System. Earlier versions of this article circulated under the title “Approximating Time Varying Structural Models with Time Invariant Structures.” |