Achieving shrinkage in a time-varying parameter model framework
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Publication:89526
DOI10.1016/J.JECONOM.2018.11.006zbMATH Open1452.62216arXiv1611.01310OpenAlexW2962886695WikidataQ128960330 ScholiaQ128960330MaRDI QIDQ89526FDOQ89526
Angela Bitto, Sylvia Frühwirth-Schnatter, Sylvia Frühwirth-Schnatter, Angela Bitto
Publication date: May 2019
Published in: Journal of Econometrics (Search for Journal in Brave)
Abstract: Shrinkage for time-varying parameter (TVP) models is investigated within a Bayesian framework, with the aim to automatically reduce time-varying parameters to static ones, if the model is overfitting. This is achieved through placing the double gamma shrinkage prior on the process variances. An efficient Markov chain Monte Carlo scheme is developed, exploiting boosting based on the ancillarity-sufficiency interweaving strategy. The method is applicable both to TVP models for univariate as well as multivariate time series. Applications include a TVP generalized Phillips curve for EU area inflation modelling and a multivariate TVP Cholesky stochastic volatility model for joint modelling of the returns from the DAX-30 index.
Full work available at URL: https://arxiv.org/abs/1611.01310
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Kalman filterBayesian inferencestate space modelBayesian Lassodouble gamma priorhierarchical priorslog predictive density scoresnormal-gamma priorsparsity
Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Ridge regression; shrinkage estimators (Lasso) (62J07) Inference from stochastic processes and prediction (62M20)
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Cited In (32)
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