Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models
We propose a straightforward algorithm to estimate large Bayesian time-varying parameter vector autoregressions with mixture innovation components for each coefficient in the system. The computational burden becomes manageable by approximating the mixture indicators driving the time-variation in the...
| Main Authors: | , , |
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| Format: | Others |
| Language: | en |
| Published: |
Wiley
2019
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| Online Access: | http://epub.wu.ac.at/7086/1/Huber_et_al%2D2019%2DJournal_of_Applied_Econometrics.pdf http://dx.doi.org/10.1002/jae.2680 |