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A statistical inquiry into the plausibility of recursive utility

Gallant, A. Ronald; Hong, Han - In: Journal of financial econometrics : official journal of … 5 (2007) 4, pp. 523-559

Persistent link: https://www.econbiz.de/10003570720

Triple the gamma : a unifying shrinkage prior for variance and variable selection in sparse state space and TVP models

Cadonna, Annalisa; Frühwirth-Schnatter, Sylvia; Knaus, … - In: Econometrics : open access journal 8 (2020) 2/20, pp. 1-36

Time-varying parameter (TVP) models are very flexible in capturing gradual changes in the effect of explanatory variables on the outcome variable. However, in particular when the number of explanatory variables is large, there is a known risk of overfitting and poor predictive performance, since...

Persistent link: https://www.econbiz.de/10012265494

Comments on: reflections on the probability space induced by moment conditions with implications for Bayesian inference

Amengual, Dante; Sentana, Enrique - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 248-252

Persistent link: https://www.econbiz.de/10011591026

Comment on: reflections on the probability space induced by moment conditions with implications for Bayesian inference

Geweke, John - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 253-257

Persistent link: https://www.econbiz.de/10011591027

Comment on: reflections on the probability space induced by moment conditions with implications for Bayesian inference

Kim, Chae-yŏng - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 258-260

Persistent link: https://www.econbiz.de/10011591028

Comment on: reflections on the probability space induced by moment conditions with implications for Bayesian inference

Linton, Oliver; Wu, Ruochen - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 261-264

Persistent link: https://www.econbiz.de/10011591029

Comment on: reflections on the probability space induced by moment conditions with implications for Bayesian inference

Robert, Christian P. - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 265-271

Persistent link: https://www.econbiz.de/10011591030

Comment on: reflections on the probability space induced by moment conditions with implications for Bayesian inference

Sims, Christopher A. - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 272-277

Persistent link: https://www.econbiz.de/10011591031

Comment on: reflections on the probability space induced by moment conditions with implications for Bayesian inference

Wei, Wei; Lunde, Asger - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 278-283

Persistent link: https://www.econbiz.de/10011591033