Inducing Sparsity and Shrinkage in Time-Varying Parameter Models
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Publication:6617787
DOI10.1080/07350015.2020.1713796zbMATH Open1547.62765MaRDI QIDQ6617787
Gary Koop, Florian Huber, Luca Onorante
Publication date: 11 October 2024
Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)
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Related Items (4)
Fast and Flexible Bayesian Inference in Time-varying Parameter Regression Models ⋮ Modeling and Forecasting Macroeconomic Downside Risk ⋮ Variational Inference for Large Bayesian Vector Autoregressions ⋮ Dynamic shrinkage priors for large time-varying parameter regressions using scalable Markov chain Monte Carlo methods
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