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econ.EM2019★ 1 cited
Fast and Flexible Bayesian Inference in Time-varying Parameter Regression Models
Niko Hauzenberger, Florian Huber, Gary Koop +1
In this paper, we write the time-varying parameter (TVP) regression model involving K explanatory variables and T observations as a constant coefficient regression model with KT ex…
econ.EM2019
Inducing Sparsity and Shrinkage in Time-Varying Parameter Models
Florian Huber, Gary Koop, Luca Onorante
Time-varying parameter (TVP) models have the potential to be over-parameterized, particularly when the number of variables in the model is large. Global-local priors are increasing…