86 citations · 156 across the 36 of their papers we have counts for
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stat.ME2017★ 6 cited
Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian VARs?
Martin Feldkircher, Luis Gruber, Florian Huber +1
We assess the relationship between model size and complexity in the time-varying parameter VAR framework via thorough predictive exercises for the Euro Area, the United Kingdom and…
stat.ME2016★ 33 cited
Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models
Florian Huber, Gregor Kastner, Martin Feldkircher
This paper proposes a straightforward algorithm to carry out inference in large time-varying parameter vector autoregressions (TVP-VARs) with mixture innovation components for each…