Time Varying Dimension Models

By Joshua C. C. Chan, Gary Koop, Roberto Leon-Gonzalez, Rodney W. Strachan. 2012

82 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/a32844b726a4e7edb7129dd4cea9d0c84d5fbdcc

Citations in the corpus

• Large time-varying parameter VARs (2013, unknown): “Second, there also may be a need for model change: to allow for switches between different restricted TVPmodels so as tomitigate over-parametrizationworrieswhich can arisewith parameter-rich unrestricted TVP-VARs (e.g. Chan et al. (2012)).”
• Bayesian Model Comparison for Time-Varying Parameter VARs with Stochastic Volatility (2018, unknown): “Chan and Kroese (2012) later show that the optimal importance sampling density can be obtained more accurately in one step using MCMC.”
• Time-varying sparsity in dynamic regression models (2014, unknown): “There are three versions of TVD which make different assumptions about the evolution of the regression coefficients and which are fully described in (Chan et al., 2012).”
• The Stochastic Volatility in Mean Model With Time-Varying Parameters: An Application to Inflation Modeling (2017, unknown): “Recent articles include Canova (2007), Koop and Potter (2007), Stock and Watson (2007, 2010), Clark and Doh (2014), Chan et al. (2012), Koop and Korobilis (2012), Koop and Korobilis (2013), Chan (2013), D’Agostino, Gambetti, and Giannone (2013), and Clark and Ravazzolo (2015).”