Time-varying sparsity in dynamic regression models
From MaRDI portal
Publication:2512529
DOI10.1016/j.jeconom.2013.10.012zbMath1293.62191MaRDI QIDQ2512529
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
Markov chain Monte Carlo; inflation; equity premium; shrinkage priors; time-varying regression; normal-gamma priors
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
Cites Work
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