Fast and Flexible Bayesian Inference in Time-varying Parameter Regression Models

Journal of Business and Economic Statistics ◽

10.1080/07350015.2021.1990772 ◽

2021 ◽

pp. 1-38

Author(s):

Niko Hauzenberger ◽

Florian Huber ◽

Gary Koop ◽

Luca Onorante

Keyword(s):

Bayesian Inference ◽

Regression Models ◽

Time Varying ◽

Time Varying Parameter

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Semiparametric Bayesian inference for time-varying parameter regression models with stochastic volatility

Economics Letters ◽

10.1016/j.econlet.2016.10.035 ◽

2017 ◽

Vol 150 ◽

pp. 10-14 ◽

Cited By ~ 3

Author(s):

Stefanos Dimitrakopoulos

Keyword(s):

Bayesian Inference ◽

Stochastic Volatility ◽

Regression Models ◽

Time Varying ◽

Time Varying Parameter ◽

Semiparametric Bayesian Inference

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Time Dependent Shrinkage of Time-Varying Parameter Regression Models

SSRN Electronic Journal ◽

10.2139/ssrn.3881907 ◽

2021 ◽

Author(s):

Zhongfang He

Keyword(s):

Regression Models ◽

Time Dependent ◽

Time Varying ◽

Time Varying Parameter

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Time-Varying Parameter Regression Models

American Journal of Political Science ◽

10.2307/2110985 ◽

1983 ◽

Vol 27 (3) ◽

pp. 557 ◽

Cited By ~ 36

Author(s):

Nathaniel Beck

Keyword(s):

Regression Models ◽

Time Varying ◽

Time Varying Parameter

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Model Switching and Model Averaging in Time-Varying Parameter Regression Models

Advances in Econometrics - Bayesian Model Comparison ◽

10.1108/s0731-905320140000034004 ◽

2014 ◽

pp. 45-69 ◽

Cited By ~ 9

Author(s):

Miguel Belmonte ◽

Gary Koop

Keyword(s):

Regression Models ◽

Model Averaging ◽

Time Varying ◽

Time Varying Parameter

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Estimating Time-Varying Parameter Models with Stochastic Volatility: An Application to Inflation Forecasting

SSRN Electronic Journal ◽

10.2139/ssrn.3236806 ◽

2018 ◽

Author(s):

Douglas E. Turatti

Keyword(s):

Stochastic Volatility ◽

Time Varying ◽

Inflation Forecasting ◽

Time Varying Parameter

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Estimation of a Time-Varying Parameter from Long Range Dependent Data

SSRN Electronic Journal ◽

10.2139/ssrn.3653458 ◽

2020 ◽

Author(s):

Michael Tseng

Keyword(s):

Long Range ◽

Dependent Data ◽

Time Varying ◽

Time Varying Parameter

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Estimation of a Forward-Looking Monetary Policy Rule: A Time-Varying Parameter Model using Ex-Post Data

SSRN Electronic Journal ◽

10.2139/ssrn.607663 ◽

2004 ◽

Author(s):

Chang-Jin Kim ◽

Charles R. Nelson

Keyword(s):

Monetary Policy ◽

Time Varying ◽

Policy Rule ◽

Ex Post ◽

Time Varying Parameter ◽

Monetary Policy Rule ◽

Forward Looking

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Is euro area lowflation here to stay? Insights from a time‐varying parameter model with survey data

Journal of Applied Econometrics ◽

10.1002/jae.2813 ◽

2021 ◽

Author(s):

Arnoud Stevens ◽

Joris Wauters

Keyword(s):

Survey Data ◽

Euro Area ◽

Time Varying ◽

Time Varying Parameter

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An alternative numerical method for estimating large-scale time-varying parameter seemingly unrelated regressions models

Econometrics and Statistics ◽

10.1016/j.ecosta.2020.11.003 ◽

2021 ◽

Author(s):

Stella Hadjiantoni ◽

Erricos John Kontoghiorghes

Keyword(s):

Numerical Method ◽

Large Scale ◽

Time Varying ◽

Seemingly Unrelated Regressions ◽

Time Varying Parameter

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Bayesian inference of linear time-varying systems based on Hilbert-Huang transform

PAMM ◽

10.1002/pamm.201210082 ◽

2012 ◽

Vol 12 (1) ◽

pp. 183-184

Author(s):

Han Hu ◽

Carsten Proppe

Keyword(s):

Bayesian Inference ◽

Linear Time ◽

Time Varying ◽

Hilbert Huang Transform ◽

Time Varying Systems

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