Shrinkage Priors

This code implements hierarchical shrinkage priors in a general, possibly dynamic, regression model. The code generates data from regression models with known coefficients with small number of observations and a (possibly) larger number of predictors. There are 4 hierarchical shrinkage priors examined (Adaptive Student-t, LASSO, Fused LASSO, Elastic Net), as in my paper:

Korobilis, D. (2013). Hierarchical Shrinkage Priors for Dynamic Regressions with Many Predictors. International Journal of Forecasting, 29, 43-59.

Download code here: Bayes_shrinkage.zip