Achieving shrinkage in a time-varying parameter model framework-Reference-Cited by-同舟云学术

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Achieving shrinkage in a time-varying parameter model framework

Published:2019-05 Issue:1 Volume:210 Page:75-97
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Bitto Angela,Frühwirth-Schnatter Sylvia

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference48 articles.

1. Hierarchical shrinkage in time-varying parameter models;Belmonte;J. Forecast.,2014

2. Lasso meets horsheshoe;Bhadra,2017

3. Sparse Bayesian nonparametric regression;Caron,2008

4. On Gibbs sampling for state space models;Carter;Biometrika,1994

5. The horseshoe estimator for sparse signals;Carvalho;Biometrika,2010

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