shrinkTVP

swMATH29787CRANshrinkTVPMaRDI QIDQ41501FDOQ41501

Efficient Bayesian Inference for Time-Varying Parameter Models with Shrinkage

Sylvia Frühwirth-Schnatter, Peter Knaus, Angela Bitto-Nemling, Annalisa Cadonna

Last update: 18 February 2024

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 2.0.6, 1.0.0, 1.0.1, 1.0.2, 1.1.0, 1.1.1, 2.0.1, 2.0.2, 2.0.3, 2.0.4, 2.0.5, 2.0.6, 2.0, 2.1.1, 3.0.1

Source code repository: https://github.com/cran/shrinkTVP

Description

Efficient Markov chain Monte Carlo (MCMC) algorithms for fully Bayesian estimation of time-varying parameter models with shrinkage priors, both dynamic and static. Details on the algorithms used are provided in Bitto and Frühwirth-Schnatter (2019) <doi:10.1016/j.jeconom.2018.11.006> and Cadonna et al. (2020) <doi:10.3390/econometrics8020020> and Knaus and Frühwirth-Schnatter (2023) <doi:10.48550/arXiv.2312.10487>. For details on the package, please see Knaus et al. (2021) <doi:10.18637/jss.v100.i13>.

Cites work

• The Dynamic Triple Gamma Prior as a Shrinkage Process Prior for Time-Varying Parameter Models
• Achieving shrinkage in a time-varying parameter model framework
• Triple the Gamma—A Unifying Shrinkage Prior for Variance and Variable Selection in Sparse State Space and TVP Models
• Shrinkage in the Time-Varying Parameter Model Framework Using the R Package shrinkTVP

Cited In (2)

• The condemned live longer -- new evidence of the New Keynesian Phillips curve in central and Eastern Europe
• shrinkDSM

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