Semiparametric Bayesian inference for time-varying parameter regression models with stochastic volatility

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• 作者：Stefanos Dimitrakopoulos ^{s.dimitrakopoulos@warwick.ac.uk}
• 关键词：C11 ; C14 ; C15 ; C22
• 刊名：Economics Letters
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：150
• 期：Complete
• 页码：10-14
• 全文大小：481 K
• 卷排序：150

文摘

A semiparametric stochastic volatility model with time-varying parameters is considered. An efficient Markov Chain Monte Carlo estimation algorithm is proposed. The proposed model is applied to inflation modelling. The proposed model performs better than alternative specifications.