Inducing sparsity and shrinkage in time-varying parameter models
Year of publication: |
2021
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Authors: | Huber, Florian ; Koop, Gary ; Onorante, Luca |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 39.2021, 3, p. 669-683
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Subject: | Hierarchical priors | Shrinkage | Sparsity | Time-varying parameter regression | Vector autoregressions | VAR-Modell | VAR model | Schätztheorie | Estimation theory | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Modellierung | Scientific modelling | Prognoseverfahren | Forecasting model | Bayes-Statistik | Bayesian inference | Regressionsanalyse | Regression analysis |
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