Time-varying sparsity in dynamic regression models
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DOI: 10.1016/j.jeconom.2013.10.012
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Citations
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Cited by:
- Gary Koop & Dimitris Korobilis, 2020.
"Bayesian dynamic variable selection in high dimensions,"
Working Papers
2020_11, Business School - Economics, University of Glasgow.
- Korobilis, Dimitris & Koop, Gary, 2020. "Bayesian dynamic variable selection in high dimensions," MPRA Paper 100164, University Library of Munich, Germany.
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"Variational Bayes inference in high-dimensional time-varying parameter models,"
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- Joscha Beckmann & Rainer Schüssler, 2014. "Forecasting Exchange Rates under Model and Parameter Uncertainty," CQE Working Papers 3214, Center for Quantitative Economics (CQE), University of Muenster.
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- Dimitris Korobilis, 2019. "High-dimensional macroeconomic forecasting using message passing algorithms," Working Paper series 19-17, Rimini Centre for Economic Analysis.
- Korobilis, Dimitris, 2019. "High-dimensional macroeconomic forecasting using message passing algorithms," MPRA Paper 96079, University Library of Munich, Germany.
- Korobilis, Dimitris, 2019.
"High-dimensional macroeconomic forecasting using message passing algorithms,"
MPRA Paper
96079, University Library of Munich, Germany.
- Dimitris Korobilis, 2019. "High-dimensional macroeconomic forecasting using message passing algorithms," Working Papers 2019-07, Business School - Economics, University of Glasgow.
- Dimitris Korobilis, 2020. "High-dimensional macroeconomic forecasting using message passing algorithms," Papers 2004.11485, arXiv.org.
- Dimitris Korobilis, 2019. "High-dimensional macroeconomic forecasting using message passing algorithms," Working Paper series 19-17, Rimini Centre for Economic Analysis.
- Joshua C. C. Chan, 2018.
"Specification tests for time-varying parameter models with stochastic volatility,"
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More about this item
Keywords
Time-varying regression; Shrinkage priors; Normal-gamma priors; Markov chain Monte Carlo; Equity premium; Inflation;JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
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