Hierarchical shrinkage in time-varying parameter models

Journal of Forecasting

Volumn 33, Issue 1, 2014, Pages 80-94

  Belmonte, Miguel A G ^a   Koop, Gary ^a   Korobilis, Dimitris ^b  

^a UNIVERSITY OF STRATHCLYDE   (United Kingdom)

^b UNIVERSITY OF GLASGOW   (United Kingdom)

Author keywords

Bayesian Lasso; forecasting; hierarchical prior; time varying parameters

Indexed keywords

REGRESSION ANALYSIS; TIME VARYING CONTROL SYSTEMS;

BAYESIAN; BAYESIAN LASSO; CONSTANT COEFFICIENTS; EFFECTIVE TOOL; HIERARCHICAL PRIOR; REGRESSION MODELLING; TIME SPAN; TIME VARYING; TIME VARYING PARAMETER; TIME-VARYING PARAMETER MODELS;

SHRINKAGE;

EID: 84890943525     PISSN: 02776693     EISSN: 1099131X     Source Type: Journal    
DOI: 10.1002/for.2276     Document Type: Article

References (26)

1. Banbura M, Giannone D, Reichlin L,. 2010. Large Bayesian vector auto regressions. Journal of Applied Econometrics 25: 71-92.
2. Carriero A, Clark T, Marcellino M,. 2011. Bayesian VARs: specification choices and forecast accuracy, Technical Report Working Paper 1112, Federal Reserve Bank of Cleveland: Cleveland, U.S.
3. Carter C, Kohn R,. 1994. On Gibbs sampling for state space models. Biometrika 81: 541-553.
4. Chipman H, George E, McCulloch R,. 2001. The practical implementation of Bayesian model selection. Institute of Mathematical Statistics Lecture Notes: Monograph Series 38: 65-134.
5. Clements M, Hendry D,. 1998. Forecasting Economic Time Series, Cambridge University Press: Cambridge, UK.
6. Clements M, Hendry D,. 1999. Forecasting Non-stationary Economic Time Series, MIT Press: Cambridge, UK.
7. Cogley T, Sargent T,. 2001. Evolving post World War II inflation dynamics. NBER Macroeconomics Annual 16: 331-373.
8. Cogley T, Sargent T,. 2005. Drifts and volatilities: monetary policies and outcomes in the post WWII U.S. Review of Economic Dynamics 8: 262-302.
9. Cogley T, Morozov S, Sargent T,. 2005. Bayesian fan charts for U.K. inflation: forecasting and sources of uncertainty in an evolving monetary system. Journal of Economic Dynamics and Control 29: 1893-1925.
10. D'Agostino A, Gambetti L, Giannone D,. 2009. Macroeconomic forecasting and structural change, Technical Report Working Paper 2009-020, ECARES, Brussels, Belgium.
11. De Mol C, Giannone D, Reichlin L,. 2008. Forecasting using a large number of predictors: is Bayesian shrinkage a valid alternative to principal components? Journal of Econometrics 146: 318-328.
12. Frühwirth-Schnatter S,. 2001. Markov chain Monte Carlo estimation of classical and dynamic switching and mixture models. Journal of the American Statistical Association 96: 194-209.
13. Frühwirth-Schnatter S,. 2006. Finite Mixture and Markov Switching Models, Springer: New York.
14. Frühwirth-Schnatter S, Wagner H,. 2010. Stochastic model specification search for Gaussian and partial non-Gaussian state space models. Journal of Econometrics 154: 85-100.
15. George E, McCulloch R,. 1997. Approaches for Bayesian variable selection. Statistica Sinica 7: 339-373.
16. Kim S, Shephard N, Chib S,. 1998. Stochastic volatility: likelihood inference and comparison with ARCH models. Review of Economic Studies 65: 361-393.
17. Koop G, Korobilis D,. 2009. Forecasting Inflation Using Dynamic Model Averaging, Technical Report RCFEA WP 09-34, Rimini Center for Economic Analysis, Rimini, Italy.
18. Koop G, Leon-Gonzalez R, Strachan R,. 2009. On the evolution of the monetary policy transmission mechanism. Journal of Economic Dynamics and Control 33: 997-1017.
19. Marcellino M, Stock JH, Watson MW,. 2006. A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series. Journal of Econometrics 135: 499-526.
20. Park T, Casella G,. 2008. The Bayesian Lasso. Journal of the American Statistical Association 103: 681-686.
21. Pesaran M, Pettenuzzo D, Timmerman A,. 2006. Forecasting time series subject to multiple structural breaks. Review of Economic Studies 73: 1057-1084.
22. Primiceri G,. Time varying structural vector autoregressions and monetary policy. 2005. Review of Economic Studies 72: 821-852.
23. Sims C, Zha T,. 2006. Were there regime switches in macroeconomic policy? American Economic Review 96: 54-81.
24. Stock J, Watson M,. 1996. Evidence on structural instability in macroeconomic time series relations. Journal of Business and Economic Statistics 14: 11-30.
25. Stock J, Watson M,. 2007. Why has U.S. inflation become harder to forecast? Journal of Monetary Credit and Banking 39: 3-33.
26. Stock J, Watson M,. 2011. Generalized shrinkage methods for forecasting using many predictors. Available: http://www.princeton.edu/~mwatson/papers/ stock-watson-generalized-shrinkage-February-2011.pdf [accessed on 4 August 2013].