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Dynamic nonparametric clustering of multivariate panel data
João, Igor Custodio
;
Lucas, André
;
Schaumburg, Julia
; …
-
2023
, substantially reduces flickering, and enhances the economic interpretability of the outcome. We choose the
shrinkage
parameter in a …
Persistent link: https://www.econbiz.de/10014374468
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2
Inducing sparsity and
shrinkage
in time-varying parameter models
Huber, Florian
;
Koop, Gary
;
Onorante, Luca
-
2019
variables in the model is large. Global-local priors are increasingly used to induce
shrinkage
in such models. But the estimates … relative to
shrinkage
alone. …
Persistent link: https://www.econbiz.de/10012142169
Saved in:
3
Economic predictions with big data: The illusion of sparsity
Giannone, Domenico
;
Lenza, Michele
;
Primiceri, Giorgio E.
-
2021
with a large number of possible predictors, we specify a prior that allows for both variable selection and
shrinkage
. The …
Persistent link: https://www.econbiz.de/10012515463
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