Fast and Flexible Bayesian Inference in Time-varying Parameter Regression Models

@article{Hauzenberger2021FastAF,
  title={Fast and Flexible Bayesian Inference in Time-varying Parameter Regression Models},
  author={Niko Hauzenberger and Florian Huber and Gary Koop and Luca Onorante},
  journal={Journal of Business \& Economic Statistics},
  year={2021}
}
In this paper, we write the time-varying parameter regression model involving K explanatory variables and T observations as a constant coefficient regression model with TK explanatory variables. In contrast with much of the existing literature which assumes coefficients to evolve according to a random walk, this specification does not restrict the form that the time-variation in coefficients can take. We develop computationally efficient Bayesian econometric methods based on the singular value… 

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