Chan, Joshua C.C.; Koop, Garry; Gonzales, Roberto Leon; … - College of Business and Economics, Australian National … - 2010
Abstract: Time varying parameter (TVP) models have enjoyed an increasing popularity in empirical macroeconomics. However, TVP models are parameter-rich and risk over-fitting unless the dimension of the model is small. Motivated by this worry, this paper proposes several Time Varying dimension...