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Time Varying Dimension Models

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Chan, Chi Chun (Joshua); Koop, Gary; Leon-Gonzalez, Roberto; Strachan, Rodney

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Time varying parameter (TVP) models have enjoyed an increasing popularity in empirical macroeconomics. However, TVP models are parameter-rich and risk over-fitting unless the dimension of the model is small. Motivated by this worry, this article proposes

CollectionsANU Research Publications
Date published: 2012
Type: Journal article
URI: http://hdl.handle.net/1885/37736
Source: Journal of Business and Economic Statistics
DOI: 10.1080/07350015.2012.663258

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