General Bayesian time-varying parameter VARs for predicting government bond yields
用于政府债券收益率预测的一般贝叶斯时变参数 VAR
Time-varying parameter (TVP) regressions commonly assume that time-variation in the coefficients is determined by a simple stochastic process such as a random walk. While such models are capable of capturing a wide range of dynamic patterns, the true nature of time variation might stem from other sources, or arise from different laws of motion. In this paper, we propose a flexible TVP VAR that assumes the TVPs to depend on a panel of partially latent covariates. The latent…