Hierarchical Shrinkage in Time‐Varying Parameter Models

ABSTRACTIn this paper, we forecast EU area inflation with many predictors using time‐varying parameter models. The facts that time‐varying parameter models are parameter rich and the time span of our data is relatively short motivate a desire for shrinkage. In constant coefficient regression models,...

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Bibliographic details
Volume:	33
Main Author:	Belmonte, Miguel A.G Koop, Gary Korobilis, Dimitris
Format:	Journal Article
Language:	English
Zielgruppe:	Academic
Place of publication:	HOBOKEN WILEY 01.01.2014 John Wiley & Sons, Inc
published in:	Journal of forecasting Vol. 33; no. 1; pp. 80 - 94
ORCID:	0000-0001-9146-3008
Data of publication:	January 2014
ISSN:	0277-6693 1099-131X
EISSN:	1099-131X
Discipline:	Economics Social Sciences (General) Business
Subjects:	hierarchical prior time‐varying parameters Bayesian Lasso forecasting Economics Business & Economics Social Sciences Management hierarchical prior Bayesian Lasso time-varying parameters INFLATION forecasting
Online Access:	available in Bonn?
Database:	Social Sciences Citation Index Web of Science - Social Sciences Citation Index - 2014 Web of Knowledge Web of Science CrossRef Gale General OneFile (A&I only) Academic OneFile (A&I only) Database information Databases - DBIS