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: Koop, Gary
Korobilis, Dimitris
Gonzalez Belmonte, Miguel Angel
Format: Paper
Language: English
Place of publication: 01.06.2011
Related: University of Strathclyde Business School, Department of Economics
Data of publication: 2011/06
Series: Working Papers
Online Access: available in Bonn?
Database: RePEc IDEAS
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