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...
