Cadonna, Annalisa; Frühwirth-Schnatter, Sylvia; Knaus, … - In: Econometrics : open access journal 8 (2020) 2/20, pp. 1-36
. We propose a new prior for variance shrinkage in TVP models, called triple gamma. The triple gamma prior encompasses a … number of priors that have been suggested previously, such as the Bayesian Lasso, the double gamma prior and the Horseshoe … selection. The features of the triple gamma prior are then illustrated in the context of time varying parameter vector …