IDEAS home Printed from https://ideas.repec.org/r/eee/econom/v210y2019i1p75-97.html
   My bibliography  Save this item

Achieving shrinkage in a time-varying parameter model framework

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Pfarrhofer, Michael, 2023. "Measuring International Uncertainty Using Global Vector Autoregressions with Drifting Parameters," Macroeconomic Dynamics, Cambridge University Press, vol. 27(3), pages 770-793, April.
  2. Annalisa Cadonna & Sylvia Fruhwirth-Schnatter & Peter Knaus, 2019. "Triple the gamma -- A unifying shrinkage prior for variance and variable selection in sparse state space and TVP models," Papers 1912.03100, arXiv.org.
  3. Yuo-Hsien Shiau & Su-Fen Yang & Rishan Adha & Syamsiyatul Muzayyanah, 2022. "Modeling Industrial Energy Demand in Relation to Subsector Manufacturing Output and Climate Change: Artificial Neural Network Insights," Sustainability, MDPI, vol. 14(5), pages 1-18, March.
  4. Gary Koop & Dimitris Korobilis, 2023. "Bayesian Dynamic Variable Selection In High Dimensions," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 64(3), pages 1047-1074, August.
  5. Tsionas, Mike G. & Izzeldin, Marwan & Trapani, Lorenzo, 2022. "Estimation of large dimensional time varying VARs using copulas," European Economic Review, Elsevier, vol. 141(C).
  6. Arnaud Dufays & Elysee Aristide Houndetoungan & Alain Coën, 2022. "Selective Linear Segmentation for Detecting Relevant Parameter Changes [Risks and Portfolio Decisions Involving Hedge Funds]," Journal of Financial Econometrics, Oxford University Press, vol. 20(4), pages 762-805.
  7. David Kohns & Arnab Bhattacharjee, 2020. "Nowcasting Growth using Google Trends Data: A Bayesian Structural Time Series Model," Papers 2011.00938, arXiv.org, revised May 2022.
  8. Dimitris Korobilis & Kenichi Shimizu, 2022. "Bayesian Approaches to Shrinkage and Sparse Estimation," Foundations and Trends(R) in Econometrics, now publishers, vol. 11(4), pages 230-354, June.
  9. Niko Hauzenberger, 2020. "Flexible Mixture Priors for Large Time-varying Parameter Models," Papers 2006.10088, arXiv.org, revised Nov 2020.
  10. Niko Hauzenberger & Florian Huber & Gary Koop & James Mitchell, 2020. "Bayesian Modelling of TVP-VARs Using Regression Trees," Working Papers 2308, University of Strathclyde Business School, Department of Economics, revised Aug 2023.
  11. Dufays, Arnaud & Rombouts, Jeroen V.K., 2020. "Relevant parameter changes in structural break models," Journal of Econometrics, Elsevier, vol. 217(1), pages 46-78.
  12. Yu Bai & Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2022. "Macroeconomic forecasting in a multi‐country context," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(6), pages 1230-1255, September.
  13. Annalisa Cadonna & Sylvia Frühwirth-Schnatter & Peter Knaus, 2020. "Triple the Gamma—A Unifying Shrinkage Prior for Variance and Variable Selection in Sparse State Space and TVP Models," Econometrics, MDPI, vol. 8(2), pages 1-36, May.
  14. Yong Song & Tomasz Wo'zniak, 2020. "Markov Switching," Papers 2002.03598, arXiv.org.
  15. Sylvia Fruhwirth-Schnatter & Peter Knaus, 2022. "Sparse Bayesian State-Space and Time-Varying Parameter Models," Papers 2207.12147, arXiv.org.
  16. Igor Ferreira Batista Martins & Hedibert Freitas Lopes, 2023. "Stochastic volatility models with skewness selection," Papers 2312.00282, arXiv.org.
  17. Magnus Reif, 2022. "Time‐Varying Dynamics of the German Business Cycle: A Comprehensive Investigation," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(1), pages 80-102, February.
  18. Bian, Zhicun & Liao, Yin & O’Neill, Michael & Shi, Jing & Zhang, Xueyong, 2020. "Large-scale minimum variance portfolio allocation using double regularization," Journal of Economic Dynamics and Control, Elsevier, vol. 116(C).
  19. Florian Huber & Michael Pfarrhofer & Philipp Piribauer, 2020. "A multi‐country dynamic factor model with stochastic volatility for euro area business cycle analysis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(6), pages 911-926, September.
  20. Hauzenberger, Niko, 2021. "Flexible Mixture Priors for Large Time-varying Parameter Models," Econometrics and Statistics, Elsevier, vol. 20(C), pages 87-108.
  21. Helmut Lutkepohl & Fei Shang & Luis Uzeda & Tomasz Wo'zniak, 2024. "Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference," Papers 2404.11057, arXiv.org.
  22. Polbin, Andrey & Shumilov, Andrei, 2023. "Прогнозирование Инфляции В России С Помощью Tvp-Модели С Байесовским Сжатием Параметров [Forecasting inflation in Russia using a TVP model with Bayesian shrinkage]," MPRA Paper 118650, University Library of Munich, Germany.
  23. Emanuela Ciapanna & Marco Taboga, 2019. "Bayesian Analysis of Coefficient Instability in Dynamic Regressions," Econometrics, MDPI, vol. 7(3), pages 1-32, June.
  24. Matteo Mogliani & Anna Simoni, 2024. "Bayesian Bi-level Sparse Group Regressions for Macroeconomic Forecasting," Papers 2404.02671, arXiv.org.
  25. Mike West, 2020. "Reply to Discussion of “Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions”," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 72(1), pages 41-44, February.
  26. Niaz Bashiri Behmiri, Maryam Ahmadi, Juha-Pekka Junttila, and Matteo Manera, 2021. "Financial Stress and Basis in Energy Markets," The Energy Journal, International Association for Energy Economics, vol. 0(Number 5).
  27. Peter Knaus & Sylvia Fruhwirth-Schnatter, 2023. "The Dynamic Triple Gamma Prior as a Shrinkage Process Prior for Time-Varying Parameter Models," Papers 2312.10487, arXiv.org.
  28. Florian Huber & Gary Koop & Michael Pfarrhofer, 2020. "Bayesian Inference in High-Dimensional Time-varying Parameter Models using Integrated Rotated Gaussian Approximations," Papers 2002.10274, arXiv.org.
  29. Franz Xaver Zobl & Martin Ertl, 2021. "The Condemned Live Longer – New Evidence of the New Keynesian Phillips Curve in Central and Eastern Europe," Open Economies Review, Springer, vol. 32(4), pages 671-699, September.
  30. Florian Huber, 2023. "Bayesian Nonlinear Regression using Sums of Simple Functions," Papers 2312.01881, arXiv.org.
  31. Jiasheng Yu & Maojun Zhang & Ruoyu Liu & Guodong Wang, 2023. "Dynamic Effects of Climate Policy Uncertainty on Green Bond Volatility: An Empirical Investigation Based on TVP-VAR Models," Sustainability, MDPI, vol. 15(2), pages 1-17, January.
  32. Theodoros Daglis, 2024. "The Tourism Industry’s Performance During the Years of the COVID-19 Pandemic," Computational Economics, Springer;Society for Computational Economics, vol. 63(3), pages 1173-1189, March.
  33. Nikita Moiseev & Aleksander Sorokin & Natalya Zvezdina & Alexey Mikhaylov & Lyubov Khomyakova & Mir Sayed Shah Danish, 2021. "Credit Risk Theoretical Model on the Base of DCC-GARCH in Time-Varying Parameters Framework," Mathematics, MDPI, vol. 9(19), pages 1-12, September.
  34. Joshua C.C. Chan & Rodney W. Strachan, 2023. "Bayesian State Space Models In Macroeconometrics," Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 58-75, February.
  35. Michael Stanley Smith, 2021. "Implicit Copulas: An Overview," Papers 2109.04718, arXiv.org.
  36. Hu, Guanyu, 2021. "Spatially varying sparsity in dynamic regression models," Econometrics and Statistics, Elsevier, vol. 17(C), pages 23-34.
  37. Peter Knaus & Angela Bitto-Nemling & Annalisa Cadonna & Sylvia Fruhwirth-Schnatter, 2019. "Shrinkage in the Time-Varying Parameter Model Framework Using the R Package shrinkTVP," Papers 1907.07065, arXiv.org, revised Nov 2020.
  38. Niko Hauzenberger & Daniel Kaufmann & Rebecca Stuart & Cédric Tille, 2022. "What Drives Long-Term Interest Rates? Evidence from the Entire Swiss Franc History 1852-2020," IRENE Working Papers 22-03, IRENE Institute of Economic Research.
  39. Florian Huber & Luca Rossini, 2020. "Inference in Bayesian Additive Vector Autoregressive Tree Models," Papers 2006.16333, arXiv.org, revised Mar 2021.
  40. Belomestny, Denis & Krymova, Ekaterina & Polbin, Andrey, 2021. "Bayesian TVP-VARX models with time invariant long-run multipliers," Economic Modelling, Elsevier, vol. 101(C).
  41. Nadja Klein & Michael Stanley Smith & David J. Nott, 2020. "Deep Distributional Time Series Models and the Probabilistic Forecasting of Intraday Electricity Prices," Papers 2010.01844, arXiv.org, revised May 2021.
  42. Kohns, David & Bhattacharjee, Arnab, 2023. "Nowcasting growth using Google Trends data: A Bayesian Structural Time Series model," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1384-1412.
  43. Luis Gruber & Gregor Kastner, 2022. "Forecasting macroeconomic data with Bayesian VARs: Sparse or dense? It depends!," Papers 2206.04902, arXiv.org, revised Jul 2023.
  44. Fu, Zhonghao & Hong, Yongmiao & Su, Liangjun & Wang, Xia, 2023. "Specification tests for time-varying coefficient models," Journal of Econometrics, Elsevier, vol. 235(2), pages 720-744.
  45. Matteo Iacopini & Luca Rossini, 2019. "Bayesian nonparametric graphical models for time-varying parameters VAR," Papers 1906.02140, arXiv.org.
  46. Fu, Liang & Ho, Chun-Yu, 2022. "Monetary policy surprises and interest rates under China's evolving monetary policy framework," Emerging Markets Review, Elsevier, vol. 52(C).
  47. Tony Chernis, 2023. "Combining Large Numbers of Density Predictions with Bayesian Predictive Synthesis," Staff Working Papers 23-45, Bank of Canada.
  48. Marco Berrettini & Giuliano Galimberti & Saverio Ranciati, 2023. "Semiparametric finite mixture of regression models with Bayesian P-splines," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 17(3), pages 745-775, September.
  49. Gribisch, Bastian & Hartkopf, Jan Patrick, 2023. "Modeling realized covariance measures with heterogeneous liquidity: A generalized matrix-variate Wishart state-space model," Journal of Econometrics, Elsevier, vol. 235(1), pages 43-64.
  50. Smith, Michael Stanley, 2023. "Implicit Copulas: An Overview," Econometrics and Statistics, Elsevier, vol. 28(C), pages 81-104.
  51. Lopes, Hedibert F. & McCulloch, Robert E. & Tsay, Ruey S., 2022. "Parsimony inducing priors for large scale state–space models," Journal of Econometrics, Elsevier, vol. 230(1), pages 39-61.
  52. Sercan Gür & Klaus Pötzelberger, 2021. "On the empirical estimator of the boundary in inverse first-exit problems," Computational Statistics, Springer, vol. 36(3), pages 1809-1820, September.
  53. Uddin, Md Nazir & Gaskins, Jeremy T., 2023. "Shared Bayesian variable shrinkage in multinomial logistic regression," Computational Statistics & Data Analysis, Elsevier, vol. 177(C).
  54. Mauro Bernardi & Daniele Bianchi & Nicolas Bianco, 2022. "Variational inference for large Bayesian vector autoregressions," Papers 2202.12644, arXiv.org, revised Jun 2023.
  55. Polbin, Andrey & Shumilov, Andrei, 2024. "Прогнозирование Основных Российских Макроэкономических Показателей С Помощью Tvp-Модели С Байесовским Сжатием Параметров [Forecasting key Russian macroeconomic variables using a TVP model with Baye," MPRA Paper 120170, University Library of Munich, Germany.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.