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
Volume: 2011/36
Main Author: Belmonte, Miguel A
Koop, Gary
Korobilis, Dimitris
Format: Paper
Language: English
Place of publication: 2011
Data of publication: 2011
Bibliography: Accès libre
Online Access: available in Bonn?
Database: Université Catholique de Louvain Institutional Repository DIAL
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