Niko Hauzenberger, Michael Pfarrhofer, Luca Rossini
arXiv 9 Nov 2020 · Econometrics · publishedInternational Journal of Forecasting (2024) · 1 citations (OpenAlex)
arXiv:2011.04577 · PDF · DOI · OpenAlex · Extracted main text
In this paper we propose a time-varying parameter (TVP) vector error correction model (VECM) with heteroskedastic disturbances. We propose tools to carry out dynamic model specification in an automatic fashion. This involves using global-local priors, and postprocessing the parameters to achieve truly sparse solutions. Depending on the respective set of coefficients, we achieve this via minimizing auxiliary loss functions. Our two-step approach limits overfitting and reduces parameter estimation uncertainty. We apply this framework to modeling European electricity prices. When considering daily electricity prices for different markets jointly, our model highlights the importance of explicitly addressing cointegration and nonlinearities. In a forecast exercise focusing on hourly prices for Germany, our approach yields competitive metrics of predictive accuracy.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Chakraborty A, Bhattacharya A, and Mallick BK (2020) Bayesian sparse multiple regression for simultaneous rank reduction and variable selection | 0.956 | 8 | 4 | 88% |
| 2 | Hahn PR, and Carvalho CM (2015) Decoupling Shrinkage and Selection in Bayesian Linear Models: A Posterior Summary Perspective | 0.874 | 6 | 2 | 100% |
| 3 | Huber F, Koop G, and Onorante L (2021) Inducing sparsity and shrinkage in time-varying parameter models | 0.737 | 3 | 2 | 100% |
| 4 | Ray P, and Bhattacharya A (2018) Signal Adaptive Variable Selector for the Horseshoe Prior | 0.693 | 6 | 1 | 100% |
| 5 | Carvalho CM, Polson NG, and Scott JG (2010) The horseshoe estimator for sparse signals | 0.644 | 2 | 2 | 100% |
| 6 | Eisenstat E, Chan JC, and Strachan RW (2016) Stochastic model specification search for time-varying parameter VARs | 0.644 | 2 | 2 | 100% |
| 7 | Geweke J (1996) Bayesian reduced rank regression in econometrics | 0.644 | 2 | 2 | 100% |
| 8 | Gianfreda A, Ravazzolo F, and Rossini L (in-press), Large time-varyi… | 0.644 | 2 | 2 | 100% |
| 9 | Giannone D, Lenza M, and Primiceri GE (2019) Priors for the long run | 0.644 | 2 | 2 | 100% |
| 10 | Huber F, and Zörner TO (2019) Threshold cointegration in international exchange rates: a Bayesian approach | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 66 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | 2512.16521 | 0.405 | 1 | 1 |