shrinkTVP

Efficient Markov chain Monte Carlo (MCMC) algorithms for fully Bayesian estimation of time-varying parameter models with shrinkage priors, both dynamic and static. Details on the algorithms used are provided in Bitto and Frühwirth-Schnatter (2019) doi:10.1016/j.jeconom.2018.11.006 and Cadonna et al. (2020) doi:10.3390/econometrics8020020 and Knaus and Frühwirth-Schnatter (2023) doi:10.48550/arXiv.2312.10487. For details on the package, please see Knaus et al. (2021) doi:10.18637/jss.v100.i13.