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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/10012042480
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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
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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/10012031047
Cover Image
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/10012117683
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Should I stay or should I go? : Bayesian inference in the threshold time varying parameter (TTVP) model
Huber, Florian; Kastner, Gregor; Feldkircher, Martin - 2016
Persistent link: https://www.econbiz.de/10011558068
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Inducing sparsity and shrinkage in time-varying parameter models
Huber, Florian; Koop, Gary; Onorante, Luca - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 3, pp. 669-683
Persistent link: https://www.econbiz.de/10012588006