{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,5,20]],"date-time":"2026-05-20T02:46:26Z","timestamp":1779245186105,"version":"3.51.4"},"reference-count":19,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2021,1,6]],"date-time":"2021-01-06T00:00:00Z","timestamp":1609891200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"funder":[{"DOI":"10.13039\/501100002428","name":"Austrian Science Fund","doi-asserted-by":"publisher","award":["ZK 35"],"award-info":[{"award-number":["ZK 35"]}],"id":[{"id":"10.13039\/501100002428","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["J of Applied Econometrics"],"published-print":{"date-parts":[[2021,3]]},"abstract":"<jats:title>Summary<\/jats:title><jats:p>Successful forecasting models strike a balance between parsimony and flexibility. This is often achieved by employing suitable shrinkage priors that penalize model complexity but also reward model fit. In this article, we modify the stochastic volatility in mean (SVM) model by introducing state\u2010of\u2010the\u2010art shrinkage techniques that allow for time variation in the degree of shrinkage. Using a real\u2010time inflation forecast exercise, we show that employing more flexible prior distributions on several key parameters sometimes improves forecast performance for the United States, the United Kingdom, and the euro area (EA). Comparing in\u2010sample results reveals that our proposed model yields qualitatively similar insights to the original version of the model.<\/jats:p>","DOI":"10.1002\/jae.2804","type":"journal-article","created":{"date-parts":[[2020,12,4]],"date-time":"2020-12-04T07:01:46Z","timestamp":1607065306000},"page":"262-270","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":11,"title":["Dynamic shrinkage in time\u2010varying parameter stochastic volatility in mean models"],"prefix":"10.1002","volume":"36","author":[{"given":"Florian","family":"Huber","sequence":"first","affiliation":[{"name":"Department of Economics Salzburg Centre of European Union Studies University of Salzburg  M\u00f6nchsberg 2A Salzburg 5020 Austria"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Michael","family":"Pfarrhofer","sequence":"additional","affiliation":[{"name":"Department of Economics Salzburg Centre of European Union Studies University of Salzburg  M\u00f6nchsberg 2A Salzburg 5020 Austria"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","published-online":{"date-parts":[[2021,1,6]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/81.3.541"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/asq017"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2015.1052459"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbw002"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912324"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.1057\/9780230280830_17"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9892.1994.tb00184.x"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2009.07.003"},{"key":"e_1_2_7_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2009.10.007"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/obes.12327"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/jmcb.12496"},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.csda.2013.01.002"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-937X.00050"},{"key":"e_1_2_7_15_1","volume-title":"Bayesian Econometrics","author":"Koop G.","year":"2003"},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.652"},{"key":"e_1_2_7_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/rssb.12325"},{"key":"e_1_2_7_18_1","doi-asserted-by":"publisher","DOI":"10.1109\/LSP.2015.2503725"},{"key":"e_1_2_7_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9868.00353"},{"key":"e_1_2_7_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1538-4616.2007.00014.x"}],"container-title":["Journal of Applied Econometrics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/jae.2804","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/jae.2804","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/jae.2804","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,1]],"date-time":"2023-09-01T04:37:12Z","timestamp":1693543032000},"score":1,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/jae.2804"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2021,1,6]]},"references-count":19,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2021,3]]}},"alternative-id":["10.1002\/jae.2804"],"URL":"https:\/\/doi.org\/10.1002\/jae.2804","archive":["Portico"],"relation":{},"ISSN":["0883-7252","1099-1255"],"issn-type":[{"value":"0883-7252","type":"print"},{"value":"1099-1255","type":"electronic"}],"subject":[],"published":{"date-parts":[[2021,1,6]]},"assertion":[{"value":"2020-05-15","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-09-27","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2021-01-06","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]}}