Achieving shrinkage in a time-varying parameter model framework

Published 2018 View Full Article

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Title
Achieving shrinkage in a time-varying parameter model framework
Authors
Keywords
Bayesian inference, Bayesian Lasso, Double gamma prior, Hierarchical priors, Kalman filter, Log predictive density scores, Normal–gamma prior, Sparsity, State space model
Journal
JOURNAL OF ECONOMETRICS
Volume -, Issue -, Pages -
Publisher
Elsevier BV
Online
2018-11-12
DOI
10.1016/j.jeconom.2018.11.006

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