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Do bubbles have an explosive signature in markov switching models?
Balcombe, Kelvin G.; Fraser, Iain M. - In: Economic modelling 66 (2017), pp. 81-100
Persistent link: https://www.econbiz.de/10011813660
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Bayesian nonparametric vector autoregressive models
Kalli, Maria; Griffin, Jim E. - In: Journal of econometrics 203 (2018) 2, pp. 267-282
Persistent link: https://www.econbiz.de/10011974694
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Large time-varying parameter VARs
Koop, Gary; Korobilis, Dimitris - In: Journal of econometrics 177 (2013) 2, pp. 185-198
Persistent link: https://www.econbiz.de/10010254877
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Time-varying sparsity in dynamic regression models
Kalli, Maria; Griffin, Jim E. - In: Journal of econometrics 178 (2014) 2, pp. 779-793
Persistent link: https://www.econbiz.de/10010257660
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Bayesian compressed vector autoregressions
Koop, Gary; Korobilis, Dimitris; Pettenuzzo, Davide - In: Journal of econometrics 210 (2019) 1, pp. 135-154
Persistent link: https://www.econbiz.de/10012303386
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Adaptive hierarchical priors for high-dimensional vector autoregressions
Korobilis, Dimitris; Pettenuzzo, Davide - In: Journal of econometrics 212 (2019) 1, pp. 241-271
Persistent link: https://www.econbiz.de/10012303926