most citedVector Autoregressions with Parsimoniously Time Varying Parameters and an Application to Monetary Policy

7 citations · 7 across the 1 of their papers we have counts for

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1 paper

math.ST2014★ 7 cited

Vector Autoregressions with Parsimoniously Time Varying Parameters and an Application to Monetary Policy

Laurent Callot, Johannes Tang Kristensen

This paper proposes a parsimoniously time varying parameter vector autoregressive model (with exogenous variables, VARX) and studies the properties of the Lasso and adaptive Lasso…