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: Miguel, Belmonte
Gary, Koop
Dimitris, Korobilis
Format: Publication
Language: English
Place of publication: 20.06.2011
Data of publication: 2011-06-20
Discipline: Statistics
Subjects:
Online Access: available in Bonn?
Database: OpenAIRE
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