Time Varying Dimension Models
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Authors
Chan, Chi Chun (Joshua)
Koop, Gary
Leon-Gonzalez, Roberto
Strachan, Rodney
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American Statistical Association
Abstract
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
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Journal of Business and Economic Statistics
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Restricted until
2037-12-31