Hierarchical Shrinkage in Time‐Varying Parameter Models
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- Miguel A. G. Belmonte & Gary Koop & Dimitris Korobilis, 2011. "Hierarchical Shrinkage in Time-Varying Parameter Models," Working Paper series 35_11, Rimini Centre for Economic Analysis.
- BELMONTE, Miguel A.G. & KOOP, Gary & KOROBILIS, Dimitris, 2011. "Hierarchical shrinkage in time-varying parameter models," LIDAM Discussion Papers CORE 2011036, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Miguel Belmonte & Gary Koop & Dimitris Korobilis, 2011. "Hierarchical Shrinkage in Time-Varying Parameter Models," Working Papers 1137, University of Strathclyde Business School, Department of Economics.
- Miguel, Belmonte & Gary, Koop & Dimitris, Korobilis, 2011. "Hierarchical shrinkage in time-varying parameter models," MPRA Paper 31827, University Library of Munich, Germany.
- Belmonte, Miguel A & Koop, Gary & Korobilis, Dimitris, 2011. "Hierarchical Shrinkage in Time-Varying Parameter Models," SIRE Discussion Papers 2012-68, Scottish Institute for Research in Economics (SIRE).
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JEL classification:
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
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