Berninger, Christoph; Stöcker, Almond; Rügamer, David - In: Journal of Forecasting 41 (2021) 1, pp. 181-200
Motivated by the application to German interest rates, we propose a time‐varying autoregressive model for short‐term and long‐term prediction of time series that exhibit a temporary nonstationary behavior but are assumed to mean revert in the long run. We use a Bayesian formulation to...