TVP Shrinkage
The code provided can be used to replicate the results in:
Belmonte, M., Koop, G. and Korobilis, D. (2014). “Hierarchical Shrinkage in Time-Varying Coefficients Models”, Journal of Forecasting, 33, pp. 80-94.
There are two files. The file TVP_SHRINKAGE_LASSO.zip is an earlier and cleaner version of our code which can be used to understand how shrinkage works in time-varying parameter models. The file Replication_TVP.zip contains the (one of the) latest, not-so-clean version of our code used to create the results.
Download code here: TVP_SHRINKAGE_LASSO.zip and