BELMONTE, Miguel A.G.; KOOP, Gary; KOROBILIS, Dimitris - Center for Operations Research and Econometrics (CORE), … - 2011
In this paper, we forecast EU-area inflation with many predictors using time-varying parameter models. The facts that time-varying parameter models are parameter-rich and the time span of our data is relatively short motivate a desire for shrinkage. In constant coefficient regression models, the...
