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We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...
Persistent link: https://www.econbiz.de/10010325904
We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...
Persistent link: https://www.econbiz.de/10011383033
We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...
Persistent link: https://www.econbiz.de/10011257521
We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...
Persistent link: https://www.econbiz.de/10013130370
– 2010 I exhaustively evaluate the forecasting properties of Bayesian shrinkage in regressions with many predictors. Results …
Persistent link: https://www.econbiz.de/10010610451
– 2010 I exhaustively evaluate the forecasting properties of Bayesian shrinkage in regressions with many predictors. Results …
Persistent link: https://www.econbiz.de/10009000949
-- 2010 I exhaustively evaluate the forecasting properties of Bayesian shrinkage in regressions with many predictors. Results …
Persistent link: https://www.econbiz.de/10009004835
, thus, making them appropriate for models of large dimensions. A comprehensive forecasting exercise involving TVP-VARs of …
Persistent link: https://www.econbiz.de/10011109841
terms of the forecasting performance of the FCI. Additionally, Bayesian model averaging can improve in specific cases the …
Persistent link: https://www.econbiz.de/10011111484
, thus, making them appropriate for models of large dimensions. A comprehensive forecasting exercise involving TVP-VARs of …
Persistent link: https://www.econbiz.de/10010896988