Achieving shrinkage in a time-varying parameter model framework
Work
Year: 2018
Type: article
Abstract: Shrinkage for time-varying parameter (TVP) models is investigated within a Bayesian framework, with the aim to automatically reduce time-varying parameters to static ones, if the model is overfitting.... more
Source: Journal of Econometrics
Institution Vienna University of Economics and Business
Cites: 54
Cited by: 145
Related to: 10
FWCI: 34.93
Citation percentile (by year/subfield): 99.99
Domain: Social Sciences
Open Access status: hybrid
APC paid (est): $3,700