EconPapers    
Economics at your fingertips  
 

Time Varying Dimension Models

Joshua Chan, Gary Koop (), Roberto Leon-Gonzalez () and Rodney Strachan ()

No 2012-33, SIRE Discussion Papers from Scottish Institute for Research in Economics (SIRE)

Abstract: Time varying parameter (TVP) models have enjoyed an increasing popularity in empirical macroeconomics. However, TVP models are parameter-rich and risk over-fitting unless the dimension of the model is small. Motivated by this worry, this paper proposes several Time Varying dimension (TVD) models where the dimension of the model can change over time, allowing for the model to automatically choose a more parsimonious TVP representation, or to switch between different parsimonious representations. Our TVD models all fall in the category of dynamic mixture models. We discuss the properties of these models and present methods for Bayesian inference. An application involving US inflation forecasting illustrates and compares the different TVD models. We find our TVD approaches exhibit better forecasting performance than several standard benchmarks and shrink towards parsimonious specifications.

Date: 2010-05
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/10943/663

Related works:
Journal Article: Time Varying Dimension Models (2012) Downloads
Working Paper: Time Varying Dimension Models (2011) Downloads
Working Paper: Time Varying Dimension Models (2011) Downloads
Working Paper: Time Varying Dimension Models (2010) Downloads
Working Paper: Time Varying Dimension Models (2010) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:edn:sirdps:663

Access Statistics for this paper

More papers in SIRE Discussion Papers from Scottish Institute for Research in Economics (SIRE) 31 Buccleuch Place, EH8 9JT, Edinburgh. Contact information at EDIRC.
Bibliographic data for series maintained by Research Office ().

 
Page updated 2019-09-22
Handle: RePEc:edn:sirdps:663