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Time Varying Dimension Models

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dc.contributor.authorChan, Chi Chun (Joshua)
dc.contributor.authorKoop, Gary
dc.contributor.authorLeon-Gonzalez, Roberto
dc.contributor.authorStrachan, Rodney
dc.date.accessioned2015-12-08T22:45:13Z
dc.date.issued2012
dc.date.updated2016-02-24T12:00:30Z
dc.description.abstractTime 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
dc.identifier.issn0735-0015
dc.identifier.urihttp://hdl.handle.net/1885/37736
dc.publisherAmerican Statistical Association
dc.sourceJournal of Business and Economic Statistics
dc.subjectKeywords: Bayesian; Dynamic mixture; Equality restrictions; State space model; Time varying dimension
dc.titleTime Varying Dimension Models
dc.typeJournal article
local.bibliographicCitation.issue3
local.bibliographicCitation.lastpage367
local.bibliographicCitation.startpage358
local.contributor.affiliationChan, Chi Chun (Joshua), College of Business and Economics, ANU
local.contributor.affiliationKoop, Gary, University of Strathclyde
local.contributor.affiliationLeon-Gonzalez, Roberto, National Graduate Institute of Policy Studies
local.contributor.affiliationStrachan, Rodney, College of Business and Economics, ANU
local.contributor.authoruidChan, Chi Chun (Joshua), u4935553
local.contributor.authoruidStrachan, Rodney, u4823922
local.description.embargo2037-12-31
local.description.notesImported from ARIES
local.identifier.absfor140302 - Econometric and Statistical Methods
local.identifier.absseo910108 - Monetary Policy
local.identifier.ariespublicationU9501697xPUB152
local.identifier.citationvolume30
local.identifier.doi10.1080/07350015.2012.663258
local.identifier.scopusID2-s2.0-84864203165
local.identifier.thomsonID000306683900003
local.type.statusPublished Version

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