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Fisher, Gordon R.; Fisher, Gordon; MacAleer, Michael - 1984 - (Rev.)

Persistent link: https://www.econbiz.de/10000012602

Inducing sparsity and shrinkage in time-varying parameter models

Huber, Florian; Koop, Gary; Onorante, Luca - 2019

Time-varying parameter (TVP) models have the potential to be over-parameterized, particularly when the number of variables in the model is large. Global-local priors are increasingly used to induce shrinkage in such models. But the estimates produced by these priors can still have appreciable...

Persistent link: https://www.econbiz.de/10012031047

Inducing sparsity and shrinkage in time-varying parameter models

Huber, Florian; Koop, Gary; Onorante, Luca - 2019

Persistent link: https://www.econbiz.de/10012117683

Inducing sparsity and shrinkage in time-varying parameter models

Huber, Florian; Koop, Gary; Onorante, Luca - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 3, pp. 669-683

Persistent link: https://www.econbiz.de/10012588006

Bayesian Modeling of Time-Varying Parameters Using Regression Trees

Hauzenberger, Niko; Huber, Florian; Koop, Gary; … - 2023

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

Recent progress in applied Bayesian econometrics

Koop, Gary - In: Journal of economic surveys 8 (1994) 1, pp. 1-34

Persistent link: https://www.econbiz.de/10001156255

Bayesian econometrics

Koop, Gary - 2003

Bayesian Econometrics introduces the reader to the use of Bayesian methods in the field of econometrics at the advanced … undergraduate or graduate level. The book is self-contained and does not require previous training in econometrics. The focus is on … computational skills of modern Bayesian econometrics can be found at: www.wiley.co.uk/koopbayesian …

Persistent link: https://www.econbiz.de/10001728002

Analysis of economic data

Koop, Gary - 2005 - 2. ed.

Persistent link: https://www.econbiz.de/10002100222

Introduction for the annals issue of the Journal of econometrics on "Bayesian models, methods and applications"

Geweke, John; Koop, Gary; Paap, Richard - In: Journal of econometrics 171 (2012) 2, pp. 99-100

Persistent link: https://www.econbiz.de/10009691177

Analysis of economic data

Koop, Gary - 2009 - 3. ed.

Persistent link: https://www.econbiz.de/10003782011