Matches in SemOpenAlex for { <https://semopenalex.org/work/W3038008421> ?p ?o ?g. }
Showing items 1 to 62 of
62
with 100 items per page.
- W3038008421 abstract "Change-point (CP) VAR models face a dimensionality curse due to the proliferation of parameters that arises when new breaks are detected. To handle large data sets, we introduce the Sparse CP-VAR model that determines which parameters truly vary when a break is detected. By doing so, the number of new parameters to estimate at each regime is drastically reduced and the CP dynamic becomes easier to interpret. The Sparse CP-VAR model disentangles the dynamics of the mean parameters and the covariance matrix. The former uses CP dynamics with shrinkage prior distributions while the latter is driven by an infinite hidden Markov framework. A simulation study highlights that the framework detects correctly the number of breaks per model parameter, and that it takes advantage of common breaks in the cross-sectional dimension to more precisely estimate them. Our applications on financial and macroeconomic systems highlight that the Sparse CP-VAR model helps interpreting the detected breaks. It turns out that many spillover effects have zero regimes meaning that they are zero for the entire sample period. Forecasting wise, the Sparse CP-VAR model is competitive against several recent time-varying parameter and CP-VAR models in terms of log predictive densities." @default.
- W3038008421 created "2020-07-02" @default.
- W3038008421 creator A5019147003 @default.
- W3038008421 creator A5057394081 @default.
- W3038008421 creator A5059521360 @default.
- W3038008421 creator A5077287445 @default.
- W3038008421 date "2019-01-01" @default.
- W3038008421 modified "2023-09-25" @default.
- W3038008421 title "Sparse Change-Point VAR models" @default.
- W3038008421 doi "https://doi.org/10.2139/ssrn.3461692" @default.
- W3038008421 hasPublicationYear "2019" @default.
- W3038008421 type Work @default.
- W3038008421 sameAs 3038008421 @default.
- W3038008421 citedByCount "0" @default.
- W3038008421 crossrefType "journal-article" @default.
- W3038008421 hasAuthorship W3038008421A5019147003 @default.
- W3038008421 hasAuthorship W3038008421A5057394081 @default.
- W3038008421 hasAuthorship W3038008421A5059521360 @default.
- W3038008421 hasAuthorship W3038008421A5077287445 @default.
- W3038008421 hasConcept C105795698 @default.
- W3038008421 hasConcept C111030470 @default.
- W3038008421 hasConcept C133029050 @default.
- W3038008421 hasConcept C149782125 @default.
- W3038008421 hasConcept C162324750 @default.
- W3038008421 hasConcept C175444787 @default.
- W3038008421 hasConcept C178650346 @default.
- W3038008421 hasConcept C202444582 @default.
- W3038008421 hasConcept C28826006 @default.
- W3038008421 hasConcept C33676613 @default.
- W3038008421 hasConcept C33923547 @default.
- W3038008421 hasConcept C41008148 @default.
- W3038008421 hasConcept C55527203 @default.
- W3038008421 hasConceptScore W3038008421C105795698 @default.
- W3038008421 hasConceptScore W3038008421C111030470 @default.
- W3038008421 hasConceptScore W3038008421C133029050 @default.
- W3038008421 hasConceptScore W3038008421C149782125 @default.
- W3038008421 hasConceptScore W3038008421C162324750 @default.
- W3038008421 hasConceptScore W3038008421C175444787 @default.
- W3038008421 hasConceptScore W3038008421C178650346 @default.
- W3038008421 hasConceptScore W3038008421C202444582 @default.
- W3038008421 hasConceptScore W3038008421C28826006 @default.
- W3038008421 hasConceptScore W3038008421C33676613 @default.
- W3038008421 hasConceptScore W3038008421C33923547 @default.
- W3038008421 hasConceptScore W3038008421C41008148 @default.
- W3038008421 hasConceptScore W3038008421C55527203 @default.
- W3038008421 hasLocation W30380084211 @default.
- W3038008421 hasOpenAccess W3038008421 @default.
- W3038008421 hasPrimaryLocation W30380084211 @default.
- W3038008421 hasRelatedWork W2034985991 @default.
- W3038008421 hasRelatedWork W2078790260 @default.
- W3038008421 hasRelatedWork W2089648156 @default.
- W3038008421 hasRelatedWork W2097487140 @default.
- W3038008421 hasRelatedWork W2203997332 @default.
- W3038008421 hasRelatedWork W2260772171 @default.
- W3038008421 hasRelatedWork W2922318504 @default.
- W3038008421 hasRelatedWork W3091800869 @default.
- W3038008421 hasRelatedWork W3131712552 @default.
- W3038008421 hasRelatedWork W4287324523 @default.
- W3038008421 isParatext "false" @default.
- W3038008421 isRetracted "false" @default.
- W3038008421 magId "3038008421" @default.
- W3038008421 workType "article" @default.