shrinkTVPVAR (version 0.1.1)
Efficient Bayesian Inference for TVP-VAR-SV Models with
Shrinkage
Description
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) and Knaus et al. (2021) .