Hierarchical Shrinkage in Time‐Varying Parameter Models
From MaRDI portal
Publication:4687492
DOI10.1002/for.2276zbMath1397.62090OpenAlexW2106954805MaRDI QIDQ4687492
Gary Koop, Miguel A. G. Belmonte, Dimitris Korobilis
Publication date: 12 October 2018
Published in: Journal of Forecasting (Search for Journal in Brave)
Full work available at URL: http://eprints.gla.ac.uk/80412/1/80412.pdf
Microeconomic theory (price theory and economic markets) (91B24) Statistical ranking and selection procedures (62F07)
Related Items (21)
Measuring dynamic pandemic-related policy effects: a time-varying parameter multi-level dynamic factor model approach ⋮ Parsimony inducing priors for large scale state-space models ⋮ Fast computation of the deviance information criterion for latent variable models ⋮ Bayesian Approaches to Shrinkage and Sparse Estimation ⋮ Relevant parameter changes in structural break models ⋮ Reducing the state space dimension in a large TVP-VAR ⋮ BAYESIAN DYNAMIC VARIABLE SELECTION IN HIGH DIMENSIONS ⋮ Specification tests for time-varying coefficient models ⋮ Synthetic Control with Time Varying Coefficients A State Space Approach with Bayesian Shrinkage ⋮ Detecting time variation in the price puzzle: a less informative prior choice for time varying parameter VAR models ⋮ Constrained interest rates and changing dynamics at the zero lower bound ⋮ Dynamic Bayesian predictive synthesis in time series forecasting ⋮ Achieving shrinkage in a time-varying parameter model framework ⋮ Sparse Bayesian time-varying covariance estimation in many dimensions ⋮ Predicting crypto‐currencies using sparse non‐Gaussian state space models ⋮ Comparing hybrid time-varying parameter VARs ⋮ Time-varying sparsity in dynamic regression models ⋮ Dynamic regression models for time-ordered functional data ⋮ Dynamic variable selection with spike-and-slab process priors ⋮ Specification tests for time-varying parameter models with stochastic volatility ⋮ Stochastic Model Specification Search for Time-Varying Parameter VARs
This page was built for publication: Hierarchical Shrinkage in Time‐Varying Parameter Models