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Monte Carlo inference in econometric models with symmetric stable disturbances

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  • Tsionas, Efthymios G.

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 88 (1998)
Issue (Month): 2 (November)
Pages: 365-401

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Handle: RePEc:eee:econom:v:88:y:1998:i:2:p:365-401

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Web page: http://www.elsevier.com/locate/jeconom

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References

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  1. Jacquier, Eric & Polson, Nicholas G & Rossi, Peter E, 2002. "Bayesian Analysis of Stochastic Volatility Models," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 20(1), pages 69-87, January.
  2. Schotman, Peter & van Dijk, Herman K., 1991. "A Bayesian analysis of the unit root in real exchange rates," Journal of Econometrics, Elsevier, Elsevier, vol. 49(1-2), pages 195-238.
  3. Lau, Amy Hing-Ling & Lau, Hon-Shiang & Wingender, John R, 1990. "The Distribution of Stock Returns: New Evidence against the Stable Model," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 8(2), pages 217-23, April.
  4. Albert, James H & Chib, Siddhartha, 1993. "Bayes Inference via Gibbs Sampling of Autoregressive Time Series Subject to Markov Mean and Variance Shifts," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 11(1), pages 1-15, January.
  5. John Geweke, 1992. "Priors for macroeconomic time series and their application," Discussion Paper / Institute for Empirical Macroeconomics 64, Federal Reserve Bank of Minneapolis.
  6. Boothe, Paul & Glassman, Debra, 1987. "The statistical distribution of exchange rates: Empirical evidence and economic implications," Journal of International Economics, Elsevier, vol. 22(3-4), pages 297-319, May.
  7. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
  8. de Vries, Casper G., 1991. "On the relation between GARCH and stable processes," Journal of Econometrics, Elsevier, Elsevier, vol. 48(3), pages 313-324, June.
  9. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, Econometric Society, vol. 57(6), pages 1361-1401, November.
  10. Benoit Mandelbrot, 1963. "New Methods in Statistical Economics," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 71, pages 421.
  11. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
  12. Jeffrey A. Frankel & Richard Meese, 1987. "Are Exchange Rates Excessively Variable?," NBER Working Papers 2249, National Bureau of Economic Research, Inc.
  13. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
  14. Chib, Siddhartha, 1993. "Bayes regression with autoregressive errors : A Gibbs sampling approach," Journal of Econometrics, Elsevier, Elsevier, vol. 58(3), pages 275-294, August.
  15. Benoit Mandelbrot, 1967. "The Variation of Some Other Speculative Prices," The Journal of Business, University of Chicago Press, vol. 40, pages 393.
  16. Geweke, J, 1993. "Bayesian Treatment of the Independent Student- t Linear Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 8(S), pages S19-40, Suppl. De.
  17. Fernández, C. & Steel, M.F.J., 1996. "On Bayesian Inference under Sampling from Scale Mixtures of Normals," Discussion Paper, Tilburg University, Center for Economic Research 1996-02, Tilburg University, Center for Economic Research.
  18. Baillie, Richard T. & Bollerslev, Tim, 1990. "A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets," Journal of International Money and Finance, Elsevier, Elsevier, vol. 9(3), pages 309-324, September.
  19. Blattberg, Robert C & Gonedes, Nicholas J, 1974. "A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices," The Journal of Business, University of Chicago Press, vol. 47(2), pages 244-80, April.
  20. Westerfield, Janice Moulton, 1977. "An examination of foreign exchange risk under fixed and floating rate regimes," Journal of International Economics, Elsevier, vol. 7(2), pages 181-200, May.
  21. John Geweke, 1991. "Evaluating the accuracy of sampling-based approaches to the calculation of posterior moments," Staff Report, Federal Reserve Bank of Minneapolis 148, Federal Reserve Bank of Minneapolis.
  22. Akgiray, Vedat & Lamoureux, Christopher G, 1989. "Estimation of Stable-Law Parameters: A Comparative Study," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 7(1), pages 85-93, January.
  23. DeJong, David N., 1992. "Co-integration and trend-stationarity in macroeconomic time series : Evidence from the likelihood function," Journal of Econometrics, Elsevier, Elsevier, vol. 52(3), pages 347-370, June.
  24. Jacquier, Eric & Polson, Nicholas G & Rossi, Peter E, 1994. "Bayesian Analysis of Stochastic Volatility Models: Comments: Reply," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 12(4), pages 413-17, October.
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Citations

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Cited by:
  1. Tsionas, Efthymios G., 2000. "Bayesian model comparison by Markov chain simulation: Illustration using stock market data," Research in Economics, Elsevier, Elsevier, vol. 54(4), pages 403-416, December.
  2. Marco J. Lombardi, 2004. "Bayesian inference for alpha-stable distributions: a random walk MCMC approach," Econometrics Working Papers Archive wp2004_11, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  3. Efthymios Tsionas, 2003. "Inflation and Productivity in Europe: An Empirical Investigation," Empirica, Springer, vol. 30(1), pages 39-62, March.
  4. John Bailey Jones & Eric French, 2002. "On the Distribution and Dynamics of Health Costs," Discussion Papers 02-03, University at Albany, SUNY, Department of Economics.
  5. Marco J. Lombardi & Simon J. Godsill, 2004. "On-line Bayesian estimation of AR signals in symmetric alpha-stable noise," Econometrics Working Papers Archive wp2004_05, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  6. Efthymios Tsionas, 2001. "Regional Convergence and Common, Stochastic Long-run Trends: A Re-examination of the US Regional Data," Regional Studies, Taylor & Francis Journals, Taylor & Francis Journals, vol. 35(8), pages 689-696.
  7. Unnikrishnan, N.K., 2010. "Bayesian analysis for outliers in survey sampling," Computational Statistics & Data Analysis, Elsevier, vol. 54(8), pages 1962-1974, August.
  8. Tsionas, Efthymios G., 2001. "Euro-land: any good for the European South?," Journal of Policy Modeling, Elsevier, Elsevier, vol. 23(1), pages 67-81, January.
  9. Efthymios Tsionas & George Halkos, 2000. "Posterior Analysis of Environmental Damage Evaluation in Europe," International Review of Applied Economics, Taylor & Francis Journals, vol. 14(3), pages 371-390.
  10. Halkos, George E. & Tsionas, Efthymios G., 2001. "Environmental Kuznets curves: Bayesian evidence from switching regime models," Energy Economics, Elsevier, vol. 23(2), pages 191-210, March.

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