1. Kato, Hiroko & Naniwa, Sadao & Ishiguro, Makio, 1996. "A bayesian multivariate nonstationary time series model for estimating mutual relationships among variables," Journal of Econometrics, Elsevier, vol. 75(1), pages 147-161, November. [Downloadable!] (restricted)
2. Schotman, Peter & van Dijk, Herman K., 1991. "A Bayesian analysis of the unit root in real exchange rates," Journal of Econometrics, Elsevier, vol. 49(1-2), pages 195-238. [Downloadable!] (restricted)
   Other versions:
   • Schotman, P. & Van Dijk, H.K., 1990. "A Bayesian Analysis Of The Unit Root In Real Exchange Rates," Papers 9015-a, Erasmus University of Rotterdam - Econometric Institute.
3. Canova, Fabio & Hansen, Bruce E, 1995. "Are Seasonal Patterns Constant over Time? A Test for Seasonal Stability," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 237-52, July.
4. Koop, Gary & Potter, Simon M, 1999. "Dynamic Asymmetries in U.S. Unemployment," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(3), pages 298-312, July.
   Other versions:
   • Gary Koop & Simon M. Potter, 2004. "Dynamic asymmetries in US unemployment," ESE Discussion Papers 15, Edinburgh School of Economics, University of Edinburgh.
5. Chib, Siddhartha & Greenberg, Edward, 1994. "Bayes inference in regression models with ARMA (p, q) errors," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 183-206. [Downloadable!] (restricted)
6. Gary Koop & Simon M. Potter, 1999. "Are apparent findings of nonlinearity due to structural instability in economic time series?," Staff Reports 59, Federal Reserve Bank of New York. [Downloadable!]
   Other versions:
   • Gary Koop & Simon M. Potter, 2001. "Are apparent findings of nonlinearity due to structural instability in economic time series?," Econometrics Journal, Royal Economic Society, vol. 4(1), pages 38.
7. Phillips, P C B, 1991. "To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(4), pages 333-64, Oct.-Dec.. [Downloadable!] (restricted)
   Other versions:
   • Peter C.B. Phillips, 1990. "To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends," Cowles Foundation Discussion Papers 950, Cowles Foundation, Yale University. [Downloadable!]
8. Hylleberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988. "Seasonal, Integration And Cointegration," Papers 6-88-2, Pennsylvania State - Department of Economics.
   Other versions:
   • Hyllerberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988. "Seasonal Integration And Cointegration," Papers 0-88-2, Pennsylvania State - Department of Economics.
   • Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990. "Seasonal integration and cointegration," Journal of Econometrics, Elsevier, vol. 44(1-2), pages 215-238. [Downloadable!] (restricted)
9. Ghysels, E. & Harvey, A. & Renault, E., 1995. "Stochastic Volatility," Papers 95.400, Toulouse - GREMAQ.
   Other versions:
   • Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility," Cahiers de recherche 9613, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
   • Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility," Cahiers de recherche 9613, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
   • Eric Ghysels & Andrew Harvey & Éric Renault, 1995. "Stochastic Volatility," CIRANO Working Papers 95s-49, CIRANO. [Downloadable!]
10. Min, Chung-ki & Zellner, Arnold, 1993. "Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates," Journal of Econometrics, Elsevier, vol. 56(1-2), pages 89-118, March. [Downloadable!] (restricted)
    Other versions:
    • Min, C.K. & Zellner, A., 1992. "Bayesian and Non-Bayesian Methods for Combining Models and Forecasts with Applications to Forecasting International Growth Rates," Papers 90-92-23, California Irvine - School of Social Sciences.
11. Hylleberg, S. & Pagan, A. R., 1997. "Seasonal integration and the evolving seasonals model," International Journal of Forecasting, Elsevier, vol. 13(3), pages 329-340, September. [Downloadable!] (restricted)
    Other versions:
    • Hylleberg, S. & Pagan, A.R., 1995. "Seasonal Integration and the Evolving Seasonals Model," Papers 281, Australian National University - Department of Economics.
    • Hylleberg, S. & Pagan, A.R., 1996. "Seasonal Integration and the Evolving Seasonals Models," Economics Working Papers 1996-14, School of Economics and Management, University of Aarhus.
12. Neil Shephard, 2005. "Stochastic Volatility," Economics Papers 2005-W17, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
13. Schotman, Peter C & van Dijk, Herman K, 1991. "On Bayesian Routes to Unit Roots," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(4), pages 387-401, Oct.-Dec.. [Downloadable!] (restricted)
    Other versions:
    • Peter C. Schotman & Herman K. van Dijk, 1991. "On Bayesian routes to unit roots," Discussion Paper / Institute for Empirical Macroeconomics 43, Federal Reserve Bank of Minneapolis. [Downloadable!]
14. Leybourne, S J & McCabe, B P M, 1994. "A Consistent Test for a Unit Root," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(2), pages 157-66, April.
15. Kim, Sangjoon & Shephard, Neil & Chib, Siddhartha, 1998. "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models," Review of Economic Studies, Blackwell Publishing, vol. 65(3), pages 361-93, July. [Downloadable!] (restricted)
    Other versions:
    • Sangjoon Kim, Neil Shephard & Siddhartha Chib, . "Stochastic volatility: likelihood inference and comparison with ARCH models," Economics Papers W26, revised version of W, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
    • Sangjoon Kim & Neil Shephard, 1994. "Stochastic volatility: likelihood inference and comparison with ARCH models," Economics Papers 3., Economics Group, Nuffield College, University of Oxford. [Downloadable!]
    • Sangjoon Kim & Neil Shephard & Siddhartha Chib, 1996. "Stochastic Volatility: Likelihood Inference And Comparison With Arch Models," Econometrics 9610002, EconWPA. [Downloadable!]
16. Fernandez, Carmen & Osiewalski, Jacek & Steel, Mark F. J., 1997. "On the use of panel data in stochastic frontier models with improper priors," Journal of Econometrics, Elsevier, vol. 79(1), pages 169-193, July. [Downloadable!] (restricted)
17. Shively, Thomas S. & Kohn, Robert, 1997. "A Bayesian approach to model selection in stochastic coefficient regression models and structural time series models," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 39-52. [Downloadable!] (restricted)
18. Stock, James H & Watson, Mark W, 1988. "Variable Trends in Economic Time Series," Journal of Economic Perspectives, American Economic Association, vol. 2(3), pages 147-74, Summer. [Downloadable!] (restricted)
19. Hannan, E J & Terrell, R D & Tuckwell, N E, 1970. "The Seasonal Adjustment of Economic Time Series," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 11(1), pages 24-52, February. [Downloadable!] (restricted)
20. DeJong, David N & Whiteman, Charles H, 1991. "The Temporal Stability of Dividends and Stock Prices: Evidence from the Likelihood Function," American Economic Review, American Economic Association, vol. 81(3), pages 600-617, June. [Downloadable!] (restricted)
21. Koop, Gary, 1992. "'Objective' Bayesian Unit Root Tests," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(1), pages 65-82, Jan.-Marc. [Downloadable!] (restricted)

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

1. Charles S. Bos, 2002. "A Comparison of Marginal Likelihood Computation Methods," Tinbergen Institute Discussion Papers 02-084/4, Tinbergen Institute. [Downloadable!]
2. Charles S. Bos & Ronald J. Mahieu & Herman K. van Dijk, 2001. "Daily Exchange Rate Behaviour and Hedging of Currency Risk," Tinbergen Institute Discussion Papers 01-017/4, Tinbergen Institute. [Downloadable!]
   Other versions:
   • Bos, C.S. & Mahieu, R.J. & van Dijk, H.K., 1999. "Daily Exchange Rate Behaviour and Hedging of Currency Risk," Papers 9936/a, Erasmus University of Rotterdam - Econometric Institute.
   • Charles S. Bos & Ronald J. Mahieu & Herman K. van Dijk, 1999. "Daily Exchange Rate Behaviour and Hedging of Currency Risk," Tinbergen Institute Discussion Papers 99-078/4, Tinbergen Institute. [Downloadable!]
   • C.S. Bos & R.J. Mahieu & H.K. Van Dijk, 2000. "Daily exchange rate behaviour and hedging of currency risk," Econometric Institute Report 201, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
   • C.S. Bos & R.J. Mahieu & H.K. van Dijk, 1999. "Daily exchange rate behaviour and hedging of currency risk," Econometric Institute Report 164, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
   • Charles S. Bos & Ronald J. Mahieu & Herman K. van Dijk, 2000. "Daily Exchange Rate Behaviour and Hedging of Currency Risk," Econometric Society World Congress 2000 Contributed Papers 0504, Econometric Society. [Downloadable!]
   • Charles S. Bos & Ronald J. Mahieu & Herman K. Van Dijk, 2000. "Daily exchange rate behaviour and hedging of currency risk," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(6), pages 671-696. [Downloadable!]
3. Philippe J. Deschamps, 2003. "Time-varying intercepts and equilibrium analysis: an extension of the dynamic almost ideal demand model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(2), pages 209-236. [Downloadable!]
4. Luc Bauwens & Charles S. Bos & Herman K. van Dijk, 1999. "Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk," Tinbergen Institute Discussion Papers 99-082/4, Tinbergen Institute. [Downloadable!]
   Other versions:
   • K. Van Dijk & Luc Bauwens & Charles Bos, 2000. "Adaptive Polar Sampling With An Application To A Bayes Measure Of Value-At-Risk," Computing in Economics and Finance 2000 145, Society for Computational Economics.
   • L. Bauwens & C.S. Bos & H.K. van Dijk, 1999. "Adaptive Polar Sampling with an application to a Bayes measure of Value-at-Risk," Econometric Institute Report 167, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
   • Bauwens, L. & Bos, C.S. & Van Dijk, H.K., 1999. "Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk," Papers 9957, Catholique de Louvain - Center for Operations Research and Economics.
5. Charles S. Bos & Ronald J. Mahieu & Herman K. van Dijk, 2001. "On the Variation of Hedging Decisions in Daily Currency Risk Management," Tinbergen Institute Discussion Papers 01-018/4, Tinbergen Institute. [Downloadable!]
   Other versions:
   • C.S. Bos & R.J. Mahieu & H.K. Van Dijk, 2000. "On the variation of hedging decisions in daily currency risk management," Econometric Institute Report 206, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
6. Michiel D. de Pooter & René Segers & Herman K. van Dijk, 2006. "On the Practice of Bayesian Inference in Basic Economic Time Series Models using Gibbs Sampling," Tinbergen Institute Discussion Papers 06-076/4, Tinbergen Institute. [Downloadable!]
7. Svend Hylleberg, 2006. "Seasonal Adjustment," Economics Working Papers 2006-04, School of Economics and Management, University of Aarhus. [Downloadable!]
8. Richard Kleijn & Herman K. van Dijk, 2001. "A Bayesian Analysis of the PPP Puzzle using an Unobserved Components Model," Tinbergen Institute Discussion Papers 01-105/4, Tinbergen Institute. [Downloadable!]
   Other versions:
   • R.H. Kleijn & H.K. Van Dijk, 2001. "A Bayesian analysis of the PPP puzzle using an unobserved components model," Econometric Institute Report 236, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
9. Richard Kleijn & Herman K. van Dijk, 2006. "Bayes model averaging of cyclical decompositions in economic time series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(2), pages 191-212. [Downloadable!]
10. L. Bauwens & C.S. Bos & H.K. Van Dijk & R.D. Van Oest, 2003. "Adaptive radial-based direction sampling - some flexibel and robust Monte Carlo integration methods," Econometric Institute Report 327, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    Other versions:
    • Bauwens, Luc & Bos, Charles S. & van Dijk, Herman K. & van Oest, Rutger D., 2004. "Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods," Journal of Econometrics, Elsevier, vol. 123(2), pages 201-225, December. [Downloadable!] (restricted)