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Journal of Business & Economic Statistics Volume 38, 2020 - Issue 1
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Original Articles

Choosing Prior Hyperparameters: With Applications to Time-Varying Parameter Models

Pooyan Amir-AhmadiDepartment of Economics, University of Illinois at Urbana-Champaign, Urbana, IL61820 ([email protected])
,
Christian MatthesFederal Reserve Bank of Richmond, Richmond, VA23219 ([email protected])
&
Mu-Chun WangDepartment of Economics, University of Hamburg, Hamburg20146, Germany ([email protected])
Pages 124-136 | Received 01 Mar 2017, Published online: 18 Jun 2018

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Adel Ahmadi Nadi, Robab Afshari & Bahram Sadeghpour Gildeh. (2023) Control charts for monitoring relative risk rate in the presence of Weibull competing risks with censored and masked data. Quality Technology & Quantitative Management 0:0, pages 1-23.
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Wenting Liao, Jun Ma & Chengsi Zhang. (2023) Identifying exchange rate effects and spillovers of US monetary policy shocks in the presence of time‐varying instrument relevance. Journal of Applied Econometrics 38:7, pages 989-1006.
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Gary Koop & Dimitris Korobilis. (2023) BAYESIAN DYNAMIC VARIABLE SELECTION IN HIGH DIMENSIONS. International Economic Review 64:3, pages 1047-1074.
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Joshua C.C. Chan. (2023) Comparing stochastic volatility specifications for large Bayesian VARs. Journal of Econometrics 235:2, pages 1419-1446.
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Jonas E. Arias, Juan F. Rubio-Ramírez & Minchul Shin. (2023) Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models. Journal of Econometrics 235:2, pages 1054-1086.
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Jin-Seong Choi, So-Won Choi & Eul-Bum Lee. (2023) Modeling of Predictive Maintenance Systems for Laser-Welders in Continuous Galvanizing Lines Based on Machine Learning with Welder Control Data. Sustainability 15:9, pages 7676.
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HAROON MUMTAZ & KATERINA PETROVA. (2022) Changing Impact of Shocks: A Time‐Varying Proxy SVAR Approach. Journal of Money, Credit and Banking 55:2-3, pages 635-654.
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HUACHEN LI. (2022) The Time‐Varying Response of Hours Worked to a Productivity Shock. Journal of Money, Credit and Banking.
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So-Won Choi & Eul-Bum Lee. (2022) Contractor’s Risk Analysis of Engineering Procurement and Construction (EPC) Contracts Using Ontological Semantic Model and Bi-Long Short-Term Memory (LSTM) Technology. Sustainability 14:11, pages 6938.
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Jan Prüser. (2021) The horseshoe prior for time-varying parameter VARs and Monetary Policy. Journal of Economic Dynamics and Control 129, pages 104188.
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Su Choi, So Choi, Jong Kim & Eul-Bum Lee. (2021) AI and Text-Mining Applications for Analyzing Contractor’s Risk in Invitation to Bid (ITB) and Contracts for Engineering Procurement and Construction (EPC) Projects. Energies 14:15, pages 4632.
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Joshua C.C. Chan. (2021) Minnesota-type adaptive hierarchical priors for large Bayesian VARs. International Journal of Forecasting 37:3, pages 1212-1226.
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Peter T. BryantPeter T. Bryant. 2021. Augmented Humanity. Augmented Humanity 1 38 .
Jamie L. Cross & Aubrey Poon. (2019) On the contribution of international shocks in Australian business cycle fluctuations. Empirical Economics 59:6, pages 2613-2637.
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Jan Prüser & Alexander Schlösser. (2020) On the Time‐Varying Effects of Economic Policy Uncertainty on the US Economy. Oxford Bulletin of Economics and Statistics 82:5, pages 1217-1237.
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Jan Prüser & Alexander Schlösser. (2019) The effects of economic policy uncertainty on European economies: evidence from a TVP-FAVAR. Empirical Economics 58:6, pages 2889-2910.
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Y. Englezou, S. Timotheou & C.G. Panayiotou. (2019) Bayesian estimation of the Origin-Destination matrix using traffic flow dynamics. Bayesian estimation of the Origin-Destination matrix using traffic flow dynamics.
Dimitris Korobilis, Bettina Landau, Alberto Musso & Anthoulla Phella. (2021) The Time-Varying Evolution of Inflation Risks. SSRN Electronic Journal.
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Philippe Goulet Coulombe. (2020) The Macroeconomy as a Random Forest. SSRN Electronic Journal.
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Wenting Liao, Jun Ma & Chengsi Zhang. (2019) Exchange Rate Dynamics and Global Monetary Policy Spillovers: Time-Varying Dynamic Causal Effects. SSRN Electronic Journal.
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Benny Hartwig. (2019) The DC-Cholesky Multivariate Stochastic Volatility Model. SSRN Electronic Journal.
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Dimitris Korobilis. (2018) High-Dimensional Macroeconomic Forecasting Using Message Passing Algorithms. SSRN Electronic Journal.
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Gary Koop & Dimitris Korobilis. (2018) Variational Bayes Inference in High-Dimensional Time-Varying Parameter Models. SSRN Electronic Journal.
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