shrinkTVP

R package shrinkTVP: Efficient Bayesian Inference for Time-Varying Parameter Models with Shrinkage. Efficient Markov chain Monte Carlo (MCMC) algorithms for fully Bayesian estimation of time-varying parameter models with shrinkage priors. Details on the algorithms used are provided in Bitto and Frühwirth-Schnatter (2019) <doi:10.1016/j.jeconom.2018.11.006>.

Keywords for this software

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References in zbMATH (referenced in 3 articles , 1 standard article )

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  1. Hosszejni, D.; Kastner, G: Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol (2021) not zbMATH
  2. Zobl, Franz Xaver; Ertl, Martin: The condemned live longer -- new evidence of the New Keynesian Phillips curve in central and Eastern Europe (2021)
  3. Angela Bitto-Nemling, Annalisa Cadonna, Sylvia Frühwirth-Schnatter, Peter Knaus: Shrinkage in the Time-Varying Parameter Model Framework Using the R Package shrinkTVP (2019) arXiv