Hierarchical Shrinkage in Time-varying Parameter Models
In 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, the Bay...
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| Main Author: |
Belmonte, Miguel
Koop, Gary Korobilis, Dimitris |
|---|---|
| Format: | Publication |
| Language: | English |
| Place of publication: |
University of Strathclyde |
| Online Access: | available in Bonn? |
| Database: | OpenAIRE (Open Access) OpenAIRE Database information Databases - DBIS |