Time-varying parameter (TVP) models often assume that the TVPs evolve according to a
random walk. This assumption, however, might be questionable since it implies that …

Time-varying parameters (TVPs) models are frequently used in economics to capture
structural change. I highlight a rather underutilized fact--that these are actually ridge …

I discuss a framework to allow dynamic sparsity in time-varying parameter regression
models. The conditional variances of the innovations of time-varying parameters are time …

The mixture innovation (MI) model places a spike-and-slab mixture distribution for the
innovations of time-varying regression coefficients and permits flexible time variation …

This article studies the time-varying parameter (TVP) regression model in which the
regression coefficients are random walk latent states with time-dependent conditional …

MACHINE LEARNING ECONOMETRICS Philippe Goulet Coulombe A DISSERTATION in
Economics Presented to the Faculties of the University Page 1 MACHINE LEARNING …