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Hauzenberger et al., 2022 - Google Patents

Fast and flexible Bayesian inference in time-varying parameter regression models

Hauzenberger et al., 2022

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Document ID
11670647929404542226
Author
Hauzenberger N
Huber F
Koop G
Onorante L
Publication year
Publication venue
Journal of Business & Economic Statistics

External Links

Snippet

In this article, we write the time-varying parameter (TVP) regression model involving K explanatory variables and T observations as a constant coefficient regression model with KT explanatory variables. In contrast with much of the existing literature which assumes …
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