  @Manual{kna-etal:shr,
  	title = {shrinkTVP: Efficient Bayesian Inference for Time-Varying Parameter Models
  	with Shrinkage},
  	author = {Peter Knaus and Angela Bitto-Nemling and Annalisa Cadonna and Sylvia Frühwirth-Schnatter},
  	year = {2020},
  	note = {R package version 2.0},
  	url = {https://CRAN.R-project.org/package=shrinkTVP},
  }

@article{cad-etal:tri,
  title={{T}riple the {G}amma—{A} {U}nifying {S}hrinkage {P}rior for {V}ariance and {V}ariable {S}election in {S}parse {S}tate {S}pace and {TVP} {M}odels},
  author={Cadonna, Annalisa and Fr{\"u}hwirth-Schnatter, Sylvia and Knaus, Peter},
  journal={Econometrics},
  volume={8},
  number={2},
  pages={20},
  year={2020},
  publisher={Multidisciplinary Digital Publishing Institute}
}

  @ARTICLE{bit-fru:ach,
  author =       {Bitto, Angela and  Fr\"{u}hwirth-Schnatter, Sylvia},
  title =        {Achieving Shrinkage in a Time-Varying Parameter Model Framework},
  journal =      {Journal of Econometrics},
  year =         {2019},
  volume =       {210},
  pages =        {75--97 },}

@ARTICLE{pri:tim,
  AUTHOR =       {Primiceri, G.},
  TITLE =        {Time Varying Structural Vector Autoregressions and Monetary Policy},
  JOURNAL =     REcS,
  YEAR =         {2005},
  volume =       {72},
  pages =        {821--852},}

  @ARTICLE{dan-hal:pre,
  AUTHOR =       {Thomas Dangl and Michael Halling},
  TITLE =        {Predictive Regressions with Time-Varying Coefficients},
  JOURNAL =      {Journal of Financial Economics},
  YEAR =         {2012},
  volume =       {106},
  pages =        {157--181},}

  @Article{bel-etal:hie_tv,
  AUTHOR =       {Belmonte, M. A. G. and Gary Koop and Dimitris Korobolis},
  TITLE =        {Hierarchical Shrinkage in Time-Varying Parameter Models},
  journal                  = {Journal of Forecasting},
  year                     = {2014},
  pages                    = {80--94},
  volume                   = {33},}

  @ARTICLE{fru-wag:sto,
  AUTHOR =       {Fr{\"u}hwirth-Schnatter, S. and Wagner, Helga},
  TITLE =        {Stochastic Model Specification Search for {G}aussian and Partially Non-{G}aussian State Space Models},
  JOURNAL =      JE,
  YEAR =         {2010},
  volume =       {154},
  pages =        {85--100},}

  @ARTICLE{bha-etal:las,
  author =       {Bhadra, A. and Datta, J. and Polson, N. and Willard, B.},
  title =        {Lasso Meets Horsheshoe},
  journal =     {  https://arxiv.org/abs/1706.10179},
  year =         {2017},}

  @Manual{R,
	title = {\proglang{R}: {A} Language and Environment for Statistical Computing},
	author = {{\proglang{R} Core Team}},
	organization = {\proglang{R} Foundation for Statistical Computing},
	address = {Vienna, Austria},
	year = {2017},
	url = {https://www.R-project.org/},
}

@article{edd-bal:ext,
  	title = {{Extending 	extit{R} with 	extit{C++}: A Brief Introduction to 	extit{Rcpp}}},
  	author = {Dirk Eddelbuettel and James Joseph Balamuta},
  	journal = {PeerJ Preprints},
  	year = {2017},
  	month = {aug},
  	volume = {5},
  	pages = {e3188v1},
  	issn = {2167-9843},
  	url = {https://doi.org/10.7287/peerj.preprints.3188v1},
  	doi = {10.7287/peerj.preprints.3188v1},
}

 @article{edd-san:acc,
 	title = {RcppArmadillo: Accelerating R With High-Performance C++ Linear Algebra},
 	author = {Dirk Eddelbuettel and Conrad Sanderson},
 	journal = {Computational	Statistics and Data Analysis},
 	year = {2014},
 	volume = {71},
 	month = {March},
 	pages = {1054--1063},
 	url = {http://dx.doi.org/10.1016/j.csda.2013.02.005},
}

@article{pet:anr,
	title = {An {R} Package for Dynamic Linear Models},
	author = {Giovanni Petris},
	journal = {Journal of Statistical Software},
	year = {2010},
	volume = {36},
	number = {12},
	pages = {1--16},
	url = {https://www.jstatsoft.org/v36/i12/},
}

 @Manual{sco:bst,
    title = {bsts: Bayesian Structural Time Series},
    author = {Steven L. Scott},
    year = {2019},
    note = {R package version 0.9.1},
    url = {https://CRAN.R-project.org/package=bsts},
 }

 @Article{dun-etal:shr,
    title = {Global, Parameterwise and Joint Shrinkage Factor Estimation},
    author = {Daniela Dunkler and Willi Sauerbrei and Georg Heinze},
    journal = {Journal of Statistical Software},
    year = {2016},
    volume = {69},
    number = {8},
    pages = {1--19},
    doi = {10.18637/jss.v069.i08},
  }

  @Article{zen:big,
    author = {Yaohui Zeng and Patrick Breheny},
    title = {The biglasso Package: A Memory- and Computation-Efficient Solver for Lasso Model Fitting with Big Data in R},
    journal = {ArXiv e-prints},
    year = {2017},
    url = {https://arxiv.org/abs/1701.05936},
  }

    @Article{sim-etal:reg,
    title = {Regularization Paths for Generalized Linear Models via
      Coordinate Descent},
    author = {Jerome Friedman and Trevor Hastie and Robert Tibshirani},
    journal = {Journal of Statistical Software},
    year = {2010},
    volume = {33},
    number = {1},
    pages = {1--22},
    url = {https://www.jstatsoft.org/v33/i01/},
  }

  @Manual{bai:nor,
    title = {NormalBetaPrime: Normal Beta Prime Prior},
    author = {Ray Bai and Malay Ghosh},
    year = {2019},
    note = {R package version 2.2},
    url = {https://CRAN.R-project.org/package=NormalBetaPrime},
  }

    @Manual{pas:hor,
    title = {horseshoe: Implementation of the Horseshoe Prior},
    author = {Stephanie {van der Pas} and James Scott and Antik Chakraborty and Anirban Bhattacharya},
    year = {2016},
    note = {R package version 0.1.0},
    url = {https://CRAN.R-project.org/package=horseshoe},
  }

    @Manual{kru:bva,
    	title = {bvarsv: Bayesian Analysis of a Vector Autoregressive Model with
    	Stochastic Volatility and Time-Varying Parameters},
    	author = {Fabian Krueger},
    	year = {2015},
    	note = {R package version 1.1},
    	url = {https://CRAN.R-project.org/package=bvarsv},
    }

    @article{jac-etal:bayJBES  ,
       author = {Jacquier, E. and Polson, N. G. and Rossi, P. E. },
       title = {Bayesian Analysis of Stochastic Volatility Models},
       journal =JBES,
       year = 1994,
       volume = 12,
       pages = {371--417},     }

    @ARTICLE{kas-fru:anc,
 AUTHOR =       {Kastner, Gregor  and Fr\"{u}hwirth-Schnatter, S.},
   Title                    = {Ancillarity-Sufficiency Interweaving Strategy {(ASIS)} for Boosting {MCMC} Estimation of Stochastic Volatility Models},
  JOURNAL =      {Computational Statistics and Data Analysis},
  YEAR =         {2014},
  volume =       {76},
  pages =        {408--423},}

   @ARTICLE{kas:dea,
 AUTHOR =       {Kastner, Gregor},
  TITLE =        {Dealing with Stochastic Volatility in Time Series Using the R Package stochvol},
  JOURNAL =      {Journal of Statistical Software},
  YEAR =         {2016},
  volume =       {69},
  pages =        {1--30},}

  @ARTICLE{nak:tim,
  AUTHOR =       {Nakajima, J.},
  TITLE =        {Time-Varying Parameter {VAR} Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications},
  JOURNAL =      {Monetary and Economic Studies},
  YEAR =         {2011},
  volume =       {29},
  pages =        {107-142},}

  @article{sim:com,
 ISSN = {08893365, 15372642},
 URL = {http://www.jstor.org/stable/3585376},
 author = {Christopher A. Sims},
 journal = {NBER Macroeconomics Annual},
 pages = {373--379},
 publisher = {University of Chicago Press},
 title = {Evolving Post-World War II U.S. Inflation Dynamics: Comment},
 volume = {16},
 year = {2001}
}

@article{gri-bro:inf,
       author = {Griffin, J. E. and P. J. Brown},
       title = {Inference with Normal-Gamma Prior Distributions in Regression Problems},
       journal ={Bayesian Analysis},
       year = 2010,
       volume = {5},
       pages = {171--188},     }

  @ARTICLE{par-cas:bay,
  AUTHOR =       {Park, Trevor and George Casella},
  TITLE =        {The {B}ayesian {L}asso},
  JOURNAL =      JASA,
  YEAR =         {2008},
  volume =       {103},
  pages =        {681--686},}

  @Manual{hoe-ley:gig,
    title = {\pkg{GIGrvg}: Random Variate Generator for the GIG Distribution},
    author = {Josef Leydold and Wolfgang H{\"o}rmann},
    year = {2017},
    note = {R package version 0.5},
    url = {https://CRAN.R-project.org/package=GIGrvg},
  }
@ARTICLE{mcc-etal:sim,
  AUTHOR =       {{McC}ausland, W. J. and Shirley Miller and Denis Pelletier},
  TITLE =        {Simulation Smoothing for  State Space Models: {A} Computational Efficiency Analysis},
  JOURNAL =      CSDA,
  YEAR =         {2011},
  volume =       {55},
  pages =        {199--212},}

  @ARTICLE{yu-men:cen,
  AUTHOR =       {Yu, Y. and Meng, X.-L.},
  TITLE =        {To Center or Not to Center: That is Not the Question - An Ancillarity-Suffiency Interweaving Strategy {(ASIS)} for Boosting {MCMC} Efficiency},
  JOURNAL =      JCGS,
  YEAR =         {2011},
  volume =       {20},
  pages =        {531--615},}

  @article{kas-etal:eff,
  AUTHOR =       {Kastner, Gregor and  Fr\"{u}hwirth-Schnatter, Sylvia and  Lopes, Hedibert Freitas},
  TITLE =        {Efficient {B}ayesian Inference for Multivariate Factor Stochastic Volatility Models},
  journal =    JCGS,
  volume =       {26},
  YEAR =         {2017},
  pages={905--917},}

  @article{sim-etal:int,
author = {Matthew Simpson and Jarad Niemi and Vivekananda Roy},
title = {Interweaving Markov Chain Monte Carlo Strategies for Efficient Estimation of Dynamic Linear Models},
journal = {Journal of Computational and Graphical Statistics},
volume = {26},
number = {1},
pages = {152-159},
year  = {2017}}

 @Article{plu:cod,
    title = {CODA: Convergence Diagnosis and Output Analysis for MCMC},
    author = {Martyn Plummer and Nicky Best and Kate Cowles and Karen Vines},
    journal = {R News},
    year = {2006},
    volume = {6},
    number = {1},
    pages = {7--11},
    url = {https://journal.r-project.org/index.html},
    pdf = {https://www.r-project.org/doc/Rnews/Rnews_2006-1.pdf},
  }

  @Manual{wes:for,
    title = {foreach: Provides Foreach Looping Construct for R},
    author = {{Microsoft} and Steve Weston},
    year = {2017},
    note = {R package version 1.4.4},
    url = {https://CRAN.R-project.org/package=foreach},
  }

   @Manual{wes:doP,
    title = {doParallel: Foreach Parallel Adaptor for the 'parallel' Package},
    author = {{Microsoft}  and Steve Weston},
    year = {2018},
    note = {R package version 1.0.14},
    url = {https://CRAN.R-project.org/package=doParallel},
  }

   @Article{zei:zoo,
    title = {zoo: S3 Infrastructure for Regular and Irregular Time Series},
    author = {Achim Zeileis and Gabor Grothendieck},
    journal = {Journal of Statistical Software},
    year = {2005},
    volume = {14},
    number = {6},
    pages = {1--27},
    doi = {10.18637/jss.v014.i06},
  }


@Manual{Nak:Rhp,
    title = {RhpcBLASctl: Control the Number of Threads on 'BLAS'},
    author = {Nakano, J. and Nakama, E.},
    year = {2018},
    note = {R package version 0.18-205},
    url = {https://CRAN.R-project.org/package=RhpcBLASctl},
  }

 @Manual{xts,
    title = {\pkg{xts}: eXtensible Time Series},
    author = {Jeffrey A. Ryan and Joshua M. Ulrich},
    year = {2018},
    note = {R package version 0.11-2},
    url = {https://CRAN.R-project.org/package=xts},
  }

@BOOK{pet-etal:dyn,
  author =       {Petris, Giovanni and Petrone, Sonia and Campagnoli, Patrizia},
  title =        {Dynamic Linear Models with R},
  publisher =    SPR,
  year =         {2009},
  address= SPR:NY,
}

@ARTICLE{del-pro:tim2,
	title = {Time Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum},
	author = {Del Negro, Marco and Primiceri, Giorgio},
	year = {2015},
	journal = {Review of Economic Studies},
	volume = {82},
	number = {4},
	pages = {1342-1345},
	abstract = {This note shows how to apply the procedure of Kim et al. (1998) to the estimation of VAR, DSGE, factor, and unobserved components models with stochastic volatility. In particular, it revisits the estimation algorithm of the time-varying VAR model of Primiceri (2005). The main difference of the new algorithm is the ordering of the various MCMC steps, with each individual step remaining the same.},
	keywords = {Bayesian Methods; Time-varying Volatility},
	url = {https://EconPapers.repec.org/RePEc:oup:restud:v:82:y:2015:i:4:p:1342-1345.}
}

@Manual{tvreg,
	title = {\pkg{tvReg}: Time-Varying Coefficients Linear Regression for
	Single and Multi-Equations},
	author = {Isabel Casas and Ruben Fernandez-Casal},
	year = {2019},
	note = {R package version 0.4.2},
	url = {https://CRAN.R-project.org/package=tvReg},
}

@Manual{walker,
	title = {\pkg{walker}: Bayesian Regression with Time-Varying
	Coefficients},
	author = {Jouni Helske},
	year = {2019},
	note = {R package version 0.3.0},
	url = {https://github.com/helske/walker},
}

@article{carpenter2017stan,
title={Stan: A Probabilistic Programming Language},
author={Carpenter, Bob and Gelman, Andrew and Hoffman, Matthew D and Lee, Daniel and Goodrich, Ben and Betancourt, Michael and Brubaker, Marcus and Guo, Jiqiang and Li, Peter and Riddell, Allen},
journal={Journal of statistical software},
volume={76},
number={1},
year={2017},
publisher={Columbia Univ., New York, NY (United States); Harvard Univ., Cambridge, MA (United States)}
}

@Article{ISMCMC,
	author = {Matti Vihola and Jouni Helske and Jordan Franks},
	title = {Importance Sampling Type Estimators Based on Approximate
	Marginal {MCMC}},
	journal = {Ar{X}iv e-prints},
	url = {https://arxiv.org/abs/1609.02541},
	primaryclass = {stat.CO},
	year = {2017},
}

 @Article{ncvreg,
    author = {Patrick Breheny and Jian Huang},
    title = {Coordinate Descent Algorithms for Nonconvex Penalized Regression,
	with Applications to Biological Feature Selection},
    journal = {Annals of Applied Statistics},
    year = {2011},
    volume = {5},
    pages = {232--253},
    number = {1},
  }

 @Manual{MBSP,
    title = {\pkg{MBSP}: Multivariate Bayesian Model with Shrinkage Priors},
    author = {Ray Bai and Malay Ghosh},
    year = {2018},
    note = {R package version 1.0},
    url = {https://CRAN.R-project.org/package=MBSP},
  }

@Manual{monomvn,
    title = {\pkg{monomvn}: Estimation for Multivariate Normal and Student-t Data with
Monotone Missingness},
    author = {Robert B. Gramacy},
    year = {2019},
    note = {R package version 1.9-10},
    url = {https://CRAN.R-project.org/package=monomvn},
  }

@article{gri-bro:hie,
author = "Griffin, Jim E.  and Brown, Phil J.",
journal = "Bayesian Analysis",
pages = "135--159",
title = "Hierarchical Shrinkage Priors for Regression Models",
volume = "12",
year = "2017"
}

  @ARTICLE{car-etal:han,
  AUTHOR =       {Carvalho, Carlos M. and Nicholas G. Polson and James G. Scott},
  TITLE =        {Handling sparsity via the horseshoe},
  JOURNAL =      {Journal of Machine Learning Research W\&CP},
  YEAR =         {2009},
  volume =       {5},
  pages =        {73--80}}

   @article{rob-ros:exa,
    author = {Roberts, Gareth O. and Rosenthal, Jeffrey S.},
    title = {Examples of adaptive {MCMC}},
    year = {2009},
    journal = {Journal of Computational and Graphical Statistics},
    volume = {18},
    pages = {349--367}}