shrinkTVPVAR

Efficient Bayesian Inference for TVP-VAR-SV Models with Shrinkage

CRAN Package

Efficient Markov chain Monte Carlo (MCMC) algorithms for fully Bayesian estimation of time-varying parameter vector autoregressive models with shrinkage priors. Details on the algorithms used are provided in Cadonna et al. (2020) doi:10.3390/econometrics8020020 and Knaus et al. (2021) doi:10.18637/jss.v100.i13.

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