Time Varying Dimension Models
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
|Collections||ANU Research Publications|
|Source:||Journal of Business and Economic Statistics|
|01_Chan_Time_Varying_Dimension_M_2012.pdf||161.57 kB||Adobe PDF||Request a copy|
|02_Chan_Time_Varying_Dimension_M_2012.pdf||161.47 kB||Adobe PDF||Request a copy|
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