Fast and Flexible Bayesian Inference in Time-varying Parameter Regression Models
提出一种新的时变参数回归模型，通过分层混合模型替代传统随机游走假设，并基于奇异值分解开发高效贝叶斯计算方法，在人工数据和通胀预测实证中均表现更优。
In this article, we write the time-varying parameter (TVP) regression model involving K explanatory variables and T observations as a constant coefficient regression model with KT explanatory variables. In contrast with much of the existing literature which assumes coefficients to evolve according to a random walk, a hierarchical mixture model on the TVPs is introduced. The resulting model closely mimics a random coefficients specification which groups the TVPs into several regimes. These flexible mixtures allow for TVPs that feature a small, moderate or large number of structural breaks. We develop computationally efficient Bayesian econometric methods based on the singular value decomposition of the KT regressors. In artificial data, we find our methods to be accurate and much faster than standard approaches in terms of computation time. In an empirical exercise involving inflation forecasting using a large number of predictors, we find our models to forecast better than alternative approaches and document different patterns of parameter change than are found with approaches which assume random walk evolution of parameters.