Showing 1 - 1 of 1
In light of widespread evidence of parameter instability in macroeconomic models, many time-varying parameter (TVP) models have been proposed. This paper proposes a nonparametric TVP-VAR model using Bayesian additive regression trees (BART). The novelty of this model stems from the fact that the...
Persistent link: https://www.econbiz.de/10014263474