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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Bibliographic details
Main Author: Korobilis, Dimitris
Belmonte, Miguel A. G
Koop, Gary
Format: Publication
Language: English
Place of publication: Wiley 01.09.2011
ORCID: 0000-0001-9146-3008
Data of publication: 2011-09-01
Classification Codes:

Discipline: Statistics
Online Access: available in Bonn?
Database: OpenAIRE (Open Access)
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