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  • Hierarchical Shrinkage in Time-Varying Parameter Models 

    Belmonte, Miguel A; Koop, Gary; Korobilis, Dimitris (University of Strathclyde, 2011-06)
    In this paper, we forecast EU-area inflation with many predictors using time-varying parameter models. The facts that time-varying parameter models are parameter-rich and the time span of our data is relatively short ...

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