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Bayesian model averaging in the instrumental variable regression model

Koop, Gary; Leon-Gonzalez, Roberto; Strachan, Rodney W. - In: Journal of econometrics 171 (2012) 2, pp. 237-250

Persistent link: https://www.econbiz.de/10009691152

Empirical Bayesian inference in a nonparametric regression model

Koop, Gary; Poirier, Dale J. - In: State space and unobserved component models : theory …, (pp. 152-170). 2004

Persistent link: https://www.econbiz.de/10009719926

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

Dynamic shrinkage priors for large time-varying parameter regressions using scalable Markov chain Monte Carlo methods

Hauzenberger, Niko; Huber, Florian; Koop, Gary - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 28 (2024) 2, pp. 201-225

Persistent link: https://www.econbiz.de/10014631913

Bayesian modelling of TVP-VARs using regression trees

Hauzenberger, Niko; Huber, Florian; Koop, Gary; … - 2023

Persistent link: https://www.econbiz.de/10014316040

Bayesian modeling of time-varying parameters using regression trees

Hauzenberger, Niko; Huber, Florian; Koop, Gary; … - 2023

Persistent link: https://www.econbiz.de/10014295302

Bayesian Modeling of Time-Varying Parameters Using Regression Trees

Hauzenberger, Niko; Huber, Florian; Koop, Gary; … - 2023

In light of widespread evidence of parameter instability in macroeconomic models, many time-varying parameter (TVP) models have been proposed. This paper proposes a nonparametric TVP-VAR model using Bayesian additive regression trees (BART). The novelty of this model stems from the fact that the...

Persistent link: https://www.econbiz.de/10014263474