Time-varying sparsity in dynamic regression models

DOI10.1016/j.jeconom.2013.10.012zbMath1293.62191MaRDI QIDQ2512529

Maria Kalli, Jim E. Griffin

Publication date: 7 August 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://create.canterbury.ac.uk/12075/1/dynamic_sparsity_rev.pdf

zbMATH Keywords

Markov chain Monte Carlo; inflation; equity premium; shrinkage priors; time-varying regression; normal-gamma priors

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M20: Inference from stochastic processes and prediction

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62J05: Linear regression; mixed models

62F15: Bayesian inference

Related Items

Bayesian Approaches to Shrinkage and Sparse Estimation, Specification tests for time-varying parameter models with stochastic volatility, BAYESIAN DYNAMIC VARIABLE SELECTION IN HIGH DIMENSIONS, Achieving shrinkage in a time-varying parameter model framework, Complete subset regressions, Dynamic variable selection with spike-and-slab process priors, Parsimony inducing priors for large scale state-space models, Relevant parameter changes in structural break models, An adaptive truncation method for inference in Bayesian nonparametric models

Uses Software

• bvarsv

Cites Work

• Making and Evaluating Point Forecasts
• A general framework for the parametrization of hierarchical models
• Limit theorems for some adaptive MCMC algorithms with subgeometric kernels
• On adaptive Markov chain Monte Carlo algorithms
• Stochastic model specification search for Gaussian and partial non-Gaussian state space models
• Inference with normal-gamma prior distributions in regression problems
• G-7 INFLATION FORECASTS: RANDOM WALK, PHILLIPS CURVE OR WHAT ELSE?
• The horseshoe estimator for sparse signals
• DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
• On Gibbs sampling for state space models
• Constructing First Order Stationary Autoregressive Models via Latent Processes
• Efficient Bayesian Inference for Dynamic Mixture Models
• FORECASTING INFLATION USING DYNAMIC MODEL AVERAGING*
• Hierarchical Shrinkage in Time‐Varying Parameter Models
• Coupling and Ergodicity of Adaptive Markov Chain Monte Carlo Algorithms
• Time Varying Structural Vector Autoregressions and Monetary Policy
• Constructing Stationary Time Series Models Using Auxiliary Variables With Applications
• An adaptive Metropolis algorithm