Accounting for time-varying and nonlinear relationships in macroeconomic models

This dissertation consists of (i) methodological papers introducing new ways to deal with time variation and nonlinearities in macroeconomic models and (ii) applied papers on various macroeconomic topics in which time variation and nonlinearities are key elements of the analysis.
Regarding the methodological papers, contributions include a new model setup for Vector Autoregressive models with time-varying parameters and a new simulation method for nonlinear Dynamic Stochastic General Equilibrium (DSGE) models.
Regarding the applied papers, topics include the time variation in the dynamic effects of unanticipated changes in tax policy and the effects of employment protection legislation on the sectoral allocation of firms and workers.
Finally, a non-stationary DSGE model is developed for the Dutch economy in which the co-integrating properties of the data are carefully accounted for.