Econ 18 JAN, 2019

Inducing Sparsity and Shrinkage in Time-Varying Parameter Models

Inducing Sparsity and Shrinkage in Time-Varying Parameter Models
DL LASSO NG horse SSVS DL LASSO NG horse SSVS
X1 1.00 1.04 1.00 1.01 1.01 1.01 1.02 1.01 1.03 1.02
X2 1.03 1.06 1.04 1.04 1.04 1.06 1.09 1.07 1.08 1.06
X3 1.01 1.05 1.02 1.02 1.04 0.99 1.00 1.00 1.00 1.00
X1.1 0.95 0.97 0.95 0.95 0.95 1.02 1.01 1.02 1.02 1.03
X2.1 1.01 1.02 1.01 1.01 1.01 1.02 1.02 1.02 1.02 1.01
X3.1 0.92 0.94 0.91 0.90 0.94 0.94 0.91 0.91 0.92 0.94
DL LASSO NG horse SSVS DL LASSO NG horse SSVS
X1 0.72 0.61 0.64 0.59 0.72 0.46 0.42 0.46 0.38 0.57
X12 0.77 0.88 0.88 0.78 0.92 0.70 0.88 0.89 0.72 0.93
X15 0.43 0.74 0.55 0.44 0.61 0.34 0.71 0.53 0.38 0.59
X1.1 0.12 0.12 0.09 0.07 0.17 0.09 0.09 0.08 0.08 0.13
X12.1 0.15 0.18 0.22 0.16 0.18 0.15 0.17 0.21 0.15 0.16
X15.1 0.06 0.10 0.21 0.06 0.09 0.05 0.07 0.17 0.05 0.08
DL LASSO NG horse SSVS DL LASSO NG horse SSVS
X1 1.11 1.14 1.12 1.07 1.16 0.84 0.84 0.84 0.84 0.88
X6 0.96 1.00 0.97 0.94 1.00 0.97 1.01 0.98 0.99 0.99
X8 0.98 1.07 0.99 0.96 1.05 0.90 0.99 0.92 0.91 0.97
X1.1 1.04 1.03 1.05 1.00 1.06 0.93 0.91 0.93 0.93 0.94
X6.1 0.99 1.00 1.00 0.98 0.99 1.00 1.00 0.99 0.99 1.00
X8.1 0.94 1.03 0.94 0.90 1.04 0.89 0.88 0.86 0.85 0.94