2 citations · 3 across the 5 of their papers we have counts for
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econ.EM2020★ 1 cited
Sparse time-varying parameter VECMs with an application to modeling electricity prices
Niko Hauzenberger, Michael Pfarrhofer, Luca Rossini
In this paper we propose a time-varying parameter (TVP) vector error correction model (VECM) with heteroskedastic disturbances. We propose tools to carry out dynamic model specific…
econ.EM2020★ 2 cited
Inference in Bayesian Additive Vector Autoregressive Tree Models
Florian Huber, Luca Rossini
Vector autoregressive (VAR) models assume linearity between the endogenous variables and their lags. This assumption might be overly restrictive and could have a deleterious impact…