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Triple the gamma : a unifying shrinkage prior for variance and variable selection in sparse state space and TVP models

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...

Persistent link: https://www.econbiz.de/10012265494

A DSGE model for the Slovenian economy : model estimates and application

Kuštrin, Andrej - In: Economic and business review : EBR 21 (2019) 2, pp. 143-211

Persistent link: https://www.econbiz.de/10012268543

Forecasting cryptocurrencies under model and parameter instability

Catania, Leopoldo; Grassi, Stefano; Ravazzolo, Francesco - In: International journal of forecasting 35 (2019) 2, pp. 485-501

Persistent link: https://www.econbiz.de/10012300691

Bayesian model averaging under regime switching with application to cyclical macro variable forecasting

Shi, Jianmin - In: Journal of forecasting 35 (2016) 3, pp. 250-262

Persistent link: https://www.econbiz.de/10011580285

A multiple DSGE-VAR approach : priors from a combination of DSGE models and evidence from Japan

Iiboshi, Hirokuni - In: Japan and the world economy : international journal of … 40 (2016), pp. 1-8

Persistent link: https://www.econbiz.de/10011700706

Methods for accurate and efficient Bayesian analysis of time series

Borowska, Agnieszka - 2019

Persistent link: https://www.econbiz.de/10012005775

Forecasting economic activity by Bayesian bridge model averaging

Bencivelli, Lorenzo; Marcellino, Massimiliano; Moretti, … - In: Empirical economics : a journal of the Institute for … 53 (2017) 1, pp. 21-40

Persistent link: https://www.econbiz.de/10011929333

Multi-model forecasts of the West Texas intermediate crude oil spot price

Ryan, Laura; Whiting, Bronwen - In: Journal of forecasting 36 (2017) 4, pp. 395-406

Persistent link: https://www.econbiz.de/10011860454

How to Improve the model selection procedure in a stress-testing framework

Panoš, Jiří; Polák, Petr - 2019

Persistent link: https://www.econbiz.de/10012197060

Quantile regression forecasts of inflation under model uncertainty

Korobilis, Dimitris - In: International journal of forecasting 33 (2017) 1, pp. 11-20

Persistent link: https://www.econbiz.de/10011754680

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