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Rodney Strachan

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Joshua Chan & Gary Koop & Roberto Leon-Gonzalez & Rodney Strachan, 2011. "Time Varying Dimension Models," Working Papers 1116, University of Strathclyde Business School, Department of Economics.

    Mentioned in:

    1. Do not waste degrees of freedom with macro data
      by Economic Logician in Economic Logic on 2011-06-30 19:21:00

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Rodney W. Strachan, 2009. "Comment on ‘Jointness of growth determinants’ by Gernot Doppelhofer and Melvyn Weeks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(2), pages 245-247, March.

    Mentioned in:

    1. Comment on ‘Jointness of growth determinants’ by Gernot Doppelhofer and Melvyn Weeks (Journal of Applied Econometrics 2009) in ReplicationWiki ()

Working papers

  1. Joshua C.C. Chan & Rodney W. Strachan, 2020. "Bayesian state space models in macroeconometrics," CAMA Working Papers 2020-90, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.

    Cited by:

    1. Giacomo Rella, 2021. "The Fed, housing and household debt over time," Department of Economics University of Siena 850, Department of Economics, University of Siena.
    2. Niko Hauzenberger, 2020. "Flexible Mixture Priors for Large Time-varying Parameter Models," Papers 2006.10088, arXiv.org, revised Nov 2020.
    3. Jamie L. Cross & Aubrey Poon & Dan Zhu, 2023. "Uncertainty and the Term Structure of Interest Rates," Working Papers No 12/2023, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    4. Hauzenberger, Niko, 2021. "Flexible Mixture Priors for Large Time-varying Parameter Models," Econometrics and Statistics, Elsevier, vol. 20(C), pages 87-108.
    5. Srdelic, Leonarda & Davila-Fernandez, Marwil J., 2022. "Demographic transition and economic growth in 6-EU member states," MPRA Paper 112188, University Library of Munich, Germany.
    6. Felix Chan & Les Oxley, 2023. "A pulse check on recent developments in time series econometrics," Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 3-6, February.

  2. Joshua Chan & Arnaud Doucet & Roberto León-González & Rodney W. Strachan, 2018. "Multivariate stochastic volatility with co-heteroscedasticity," CAMA Working Papers 2018-52, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.

    Cited by:

    1. Sergey Sinelnikov-Murylev & Alexandr Radygin (ed.), 2018. "Russian Economy in 2017. Trends and Outlooks. In Russian," Books, Gaidar Institute for Economic Policy, edition 1, volume 39, number re39-2017-ru, November.
    2. Cross, Jamie L. & Hou, Chenghan & Koop, Gary & Poon, Aubrey, 2023. "Large stochastic volatility in mean VARs," Journal of Econometrics, Elsevier, vol. 236(1).
    3. Arias, Jonas E. & Rubio-Ramírez, Juan F. & Shin, Minchul, 2023. "Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models," Journal of Econometrics, Elsevier, vol. 235(2), pages 1054-1086.
    4. Joshua C. C. Chan & Gary Koop & Xuewen Yu, 2021. "Large Order-Invariant Bayesian VARs with Stochastic Volatility," Papers 2111.07225, arXiv.org.
    5. Joshua Chan, 2023. "BVARs and Stochastic Volatility," Papers 2310.14438, arXiv.org.
    6. Roberto Leon-Gonzalez & Blessings Majoni, 2023. "Exact Likelihood for Inverse Gamma Stochastic Volatility Models," Working Paper series 23-11, Rimini Centre for Economic Analysis.

  3. Joshua C.C. Chan & Eric Eisenstat & Rodney W. Strachan, 2018. "Reducing dimensions in a large TVP-VAR," CAMA Working Papers 2018-49, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.

    Cited by:

    1. Simon Beyeler, 2019. "Streamlining Time-varying VAR with a Factor Structure in the Parameters," Working Papers 19.03, Swiss National Bank, Study Center Gerzensee.
    2. Philippe Goulet Coulombe, 2020. "The Macroeconomy as a Random Forest," Papers 2006.12724, arXiv.org, revised Mar 2021.
    3. Jim Hart & Bernardino D'Amico & Francesco Pomponi, 2021. "Whole‐life embodied carbon in multistory buildings: Steel, concrete and timber structures," Journal of Industrial Ecology, Yale University, vol. 25(2), pages 403-418, April.
    4. Philippe Goulet Coulombe, 2021. "The Macroeconomy as a Random Forest," Working Papers 21-05, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management.
    5. Zhao, Jing, 2023. "Time-varying impact of geopolitical risk on natural resources prices: Evidence from the hybrid TVP-VAR model with large system," Resources Policy, Elsevier, vol. 82(C).
    6. Philippe Goulet Coulombe, 2020. "Time-Varying Parameters as Ridge Regressions," Papers 2009.00401, arXiv.org, revised Apr 2023.

  4. Dr. Gregor Bäurle & Daniel Kaufmann & Sylvia Kaufmann & Rodney W. Strachan, 2016. "Changing dynamics at the zero lower bound," Working Papers 2016-16, Swiss National Bank.

    Cited by:

    1. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino & Elmar Mertens, 2021. "Forecasting with Shadow-Rate VARs," Working Papers 21-09, Federal Reserve Bank of Cleveland.
    2. Sylvia Kaufmann, 2016. "Hidden Markov models in time series, with applications in economics," Working Papers 16.06, Swiss National Bank, Study Center Gerzensee.
    3. Gregor Bäurle & Daniel Kaufmann, 2018. "Measuring Exchange Rate, Price, and Output Dynamics at the Effective Lower Bound," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 80(6), pages 1243-1266, December.

  5. Eric Eisenstat & Rodney W. Strachan, 2014. "Modelling Inflation Volatility," CAMA Working Papers 2014-21, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.

    Cited by:

    1. Huber, Florian, 2016. "Density forecasting using Bayesian global vector autoregressions with stochastic volatility," International Journal of Forecasting, Elsevier, vol. 32(3), pages 818-837.
    2. Joshua C.C. Chan & Angelia L. Grant, 2014. "Issues in Comparing Stochastic Volatility Models Using the Deviance Information Criterion," CAMA Working Papers 2014-51, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    3. Wenying Zeng & Songbai Song & Yan Kang & Xuan Gao & Rui Ma, 2022. "Response of Runoff to Meteorological Factors Based on Time-Varying Parameter Vector Autoregressive Model with Stochastic Volatility in Arid and Semi-Arid Area of Weihe River Basin," Sustainability, MDPI, vol. 14(12), pages 1-12, June.
    4. Florian Huber, 2014. "Density Forecasting using Bayesian Global Vector Autoregressions with Common Stochastic Volatility," Department of Economics Working Papers wuwp179, Vienna University of Economics and Business, Department of Economics.
    5. Nonejad Nima, 2015. "Particle Gibbs with ancestor sampling for stochastic volatility models with: heavy tails, in mean effects, leverage, serial dependence and structural breaks," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(5), pages 561-584, December.
    6. Legrand, Romain, 2018. "Time-Varying Vector Autoregressions: Efficient Estimation, Random Inertia and Random Mean," MPRA Paper 88925, University Library of Munich, Germany.
    7. Joshua C.C. Chan, 2015. "Specification tests for time-varying parameter models with stochastic volatility," CAMA Working Papers 2015-42, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    8. Joshua C. C. Chan & Eric Eisenstat, 2018. "Bayesian model comparison for time‐varying parameter VARs with stochastic volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(4), pages 509-532, June.
    9. Charemza, Wojciech & Díaz, Carlos & Makarova, Svetlana, 2019. "Quasi ex-ante inflation forecast uncertainty," International Journal of Forecasting, Elsevier, vol. 35(3), pages 994-1007.
    10. Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2015. "Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section," Working Papers 550, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    11. Mohammed Anono ZUBAIR & Samuel Olorunfemi ADAMS & Kosarahchi Sarah ANIAGOLU, 2021. "Economic Impact of Some Determinant Factors of Nigerian Inflation Rate," Journal of Economics and Financial Analysis, Tripal Publishing House, vol. 5(2), pages 23-41.
    12. Bruno Ferreira Frascaroli & Wellington Charles Lacerda Nobrega, 2019. "Inflation Targeting and Inflation Risk in Latin America," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 55(11), pages 2389-2408, September.
    13. Joshua C. C. Chan & Angelia L. Grant, 2016. "On the Observed-Data Deviance Information Criterion for Volatility Modeling," Journal of Financial Econometrics, Oxford University Press, vol. 14(4), pages 772-802.
    14. Joshua C. C. Chan, 2017. "The Stochastic Volatility in Mean Model With Time-Varying Parameters: An Application to Inflation Modeling," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(1), pages 17-28, January.
    15. Joshua C.C. Chan & Rodney W. Strachan, 2023. "Bayesian State Space Models In Macroeconometrics," Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 58-75, February.
    16. Dovern, Jonas & Feldkircher, Martin & Huber, Florian, 2016. "Does joint modelling of the world economy pay off? Evaluating global forecasts from a Bayesian GVAR," Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 86-100.
    17. Fu, Bowen, 2020. "Is the slope of the Phillips curve time-varying? Evidence from unobserved components models," Economic Modelling, Elsevier, vol. 88(C), pages 320-340.

  6. Joshua C.C. Chan & Rodney Strachan, 2014. "The Zero Lower Bound: Implications for Modelling the Interest Rate," Working Paper series 42_14, Rimini Centre for Economic Analysis.

    Cited by:

    1. Eric Eisenstat & Joshua C.C. Chan & Rodney W. Strachan, 2014. "Stochastic Model Specification Search for Time-Varying Parameter VARs," CAMA Working Papers 2014-23, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    2. Caggiano, Giovanni & Castelnuovo, Efrem & Pellegrino, Giovanni, 2017. "Estimating the real effects of uncertainty shocks at the zero lower bound," Bank of Finland Research Discussion Papers 6/2017, Bank of Finland.
    3. Carriero, Andrea & Clark, Todd E. & Marcellino, Massimiliano & Mertens, Elmar, 2023. "Shadow-rate VARs," Discussion Papers 14/2023, Deutsche Bundesbank.
    4. Joshua C. C. Chan, 2017. "The Stochastic Volatility in Mean Model With Time-Varying Parameters: An Application to Inflation Modeling," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(1), pages 17-28, January.
    5. Benjamin K. Johannsen & Elmar Mertens, 2016. "A Time Series Model of Interest Rates With the Effective Lower Bound," Finance and Economics Discussion Series 2016-033, Board of Governors of the Federal Reserve System (U.S.).
    6. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino & Elmar Mertens, 2021. "Forecasting with Shadow-Rate VARs," Working Papers 21-09, Federal Reserve Bank of Cleveland.
    7. Balcilar, Mehmet & Ozdemir, Zeynel Abidin, 2019. "The volatility effect on precious metals price returns in a stochastic volatility in mean model with time-varying parameters," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
    8. Benjamin Garcia & Arsenios Skaperdas, 2017. "Inferring the Shadow Rate from Real Activity," Finance and Economics Discussion Series 2017-106, Board of Governors of the Federal Reserve System (U.S.).

  7. Eric Eisenstat & Joshua C.C. Chan & Rodney W. Strachan, 2014. "Stochastic Model Specification Search for Time-Varying Parameter VARs," CAMA Working Papers 2014-23, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.

    Cited by:

    1. Annalisa Cadonna & Sylvia Fruhwirth-Schnatter & Peter Knaus, 2019. "Triple the gamma -- A unifying shrinkage prior for variance and variable selection in sparse state space and TVP models," Papers 1912.03100, arXiv.org.
    2. Florian Huber & Gregor Kastner & Martin Feldkircher, 2016. "Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models," Papers 1607.04532, arXiv.org, revised Jul 2018.
    3. Gary Koop & Dimitris Korobilis & Davide Pettenuzzo, 2016. "Bayesian Compressed Vector Autoregressions," Working Papers 103, Brandeis University, Department of Economics and International Business School.
    4. Karlsson, Sune & Österholm, Pär, 2018. "Is the US Phillips Curve Stable? Evidence from Bayesian VARs," Working Papers 2018:5, Örebro University, School of Business.
    5. Chan, Joshua C.C. & Eisenstat, Eric & Strachan, Rodney W., 2020. "Reducing the state space dimension in a large TVP-VAR," Journal of Econometrics, Elsevier, vol. 218(1), pages 105-118.
    6. Dufays, Arnaud & Rombouts, Jeroen V.K., 2020. "Relevant parameter changes in structural break models," Journal of Econometrics, Elsevier, vol. 217(1), pages 46-78.
    7. Bitto, Angela & Frühwirth-Schnatter, Sylvia, 2019. "Achieving shrinkage in a time-varying parameter model framework," Journal of Econometrics, Elsevier, vol. 210(1), pages 75-97.
    8. Annalisa Cadonna & Sylvia Frühwirth-Schnatter & Peter Knaus, 2020. "Triple the Gamma—A Unifying Shrinkage Prior for Variance and Variable Selection in Sparse State Space and TVP Models," Econometrics, MDPI, vol. 8(2), pages 1-36, May.
    9. Eric Eisenstat & Joshua C.C. Chan & Rodney W. Strachan, 2018. "Reducing Dimensions in a Large TVP-VAR," Working Paper Series 43, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
    10. Phan, Tuan, 2016. "Has Monetary Policy Become More Aggressive, But Less Effective Over Time?," MPRA Paper 107200, University Library of Munich, Germany.
    11. Niko Hauzenberger & Florian Huber & Gary Koop, 2020. "Dynamic Shrinkage Priors for Large Time-varying Parameter Regressions using Scalable Markov Chain Monte Carlo Methods," Papers 2005.03906, arXiv.org, revised May 2023.
    12. Sylvia Fruhwirth-Schnatter & Peter Knaus, 2022. "Sparse Bayesian State-Space and Time-Varying Parameter Models," Papers 2207.12147, arXiv.org.
    13. Dawid J. van Lill, 2017. "Changes in the Liquidity Effect Over Time: Evidence from Four Monetary Policy Regimes," Working Papers 704, Economic Research Southern Africa.
    14. Martin Feldkircher & Nico Hauzenberger, 2019. "How useful are time-varying parameter models for forecasting economic growth in CESEE?," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue Q1/19, pages 29-48.
    15. Mike G. Tsionas, 2016. "Alternatives to large VAR, VARMA and multivariate stochastic volatility models," Working Papers 217, Bank of Greece.
    16. Gong, Xiao-Li & Liu, Xi-Hua & Xiong, Xiong & Zhuang, Xin-Tian, 2019. "Non-Gaussian VARMA model with stochastic volatility and applications in stock market bubbles," Chaos, Solitons & Fractals, Elsevier, vol. 121(C), pages 129-136.
    17. Legrand, Romain, 2018. "Time-Varying Vector Autoregressions: Efficient Estimation, Random Inertia and Random Mean," MPRA Paper 88925, University Library of Munich, Germany.
    18. Joshua C.C. Chan, 2015. "Specification tests for time-varying parameter models with stochastic volatility," CAMA Working Papers 2015-42, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    19. Reusens Peter & Croux Christophe, 2017. "Detecting time variation in the price puzzle: a less informative prior choice for time varying parameter VAR models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(4), pages 1-18, September.
    20. Joshua C. C. Chan & Eric Eisenstat, 2018. "Bayesian model comparison for time‐varying parameter VARs with stochastic volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(4), pages 509-532, June.
    21. Emmanuel C. Mamatzakis & Steven Ongena & Mike G. Tsionas, 2023. "The response of household debt to COVID-19 using a neural networks VAR in OECD," Empirical Economics, Springer, vol. 65(1), pages 65-91, July.
    22. Assaf, A. George & Tsionas, Mike G., 2019. "Forecasting occupancy rate with Bayesian compression methods," Annals of Tourism Research, Elsevier, vol. 75(C), pages 439-449.
    23. Stefano Grassi & Miguel Leon-Ledesma & Filippo Ferroni, 2016. "Fundamental shock selection in DSGE models," 2016 Meeting Papers 47, Society for Economic Dynamics.
    24. Barbara Rossi, 2019. "Forecasting in the presence of instabilities: How do we know whether models predict well and how to improve them," Economics Working Papers 1711, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2021.
    25. Joshua C.C. Chan & Eric Eisenstat, 2015. "Efficient estimation of Bayesian VARMAs with time-varying coefficients," CAMA Working Papers 2015-19, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    26. Joshua C. C. Chan, 2022. "Asymmetric conjugate priors for large Bayesian VARs," Quantitative Economics, Econometric Society, vol. 13(3), pages 1145-1169, July.
    27. Dimitris Korobilis, 2014. "Data-based priors for vector autoregressions with drifting coefficients," Working Papers 2014_04, Business School - Economics, University of Glasgow.
    28. Belomestny, Denis & Krymova, Ekaterina & Polbin, Andrey, 2021. "Bayesian TVP-VARX models with time invariant long-run multipliers," Economic Modelling, Elsevier, vol. 101(C).
    29. Cross, Jamie, 2019. "On the reduced macroeconomic volatility of the Australian economy: Good policy or good luck?," Economic Modelling, Elsevier, vol. 77(C), pages 174-186.
    30. Liu, Junbin & Liu, Xiaoxing & Shi, Guangping, 2019. "What influences portfolio contagion among open-end mutual funds?," Finance Research Letters, Elsevier, vol. 30(C), pages 145-152.
    31. Joshua C.C. Chan & Angelia L. Grant, 2014. "Fast Computation of the Deviance Information Criterion for Latent Variable Models," CAMA Working Papers 2014-09, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    32. Mike G. Tsionas, 2016. "Alternative Bayesian compression in Vector Autoregressions and related models," Working Papers 216, Bank of Greece.
    33. Lin Liu, 2022. "Economic Uncertainty and Exchange Market Pressure: Evidence From China," SAGE Open, , vol. 12(1), pages 21582440211, January.
    34. Filippo Ferroni & Stefano Grassi & Miguel A. León-Ledesma, 2017. "Selecting Primal Innovations in DSGE models," Working Paper Series WP-2017-20, Federal Reserve Bank of Chicago.
    35. Lopes, Hedibert F. & McCulloch, Robert E. & Tsay, Ruey S., 2022. "Parsimony inducing priors for large scale state–space models," Journal of Econometrics, Elsevier, vol. 230(1), pages 39-61.
    36. Williams Ohemeng & Elvis Kwame Agyapong & Kenneth Ofori-Boateng, 2021. "Exchange rate and inflation dynamics: does the month or quarter of the year matter?," SN Business & Economics, Springer, vol. 1(6), pages 1-24, June.
    37. Marta Banbura & Andries van Vlodrop, 2018. "Forecasting with Bayesian Vector Autoregressions with Time Variation in the Mean," Tinbergen Institute Discussion Papers 18-025/IV, Tinbergen Institute.
    38. Michael O’Grady, 2019. "Estimating the Output, Inflation and Unemployment Gaps in Ireland using Bayesian Model Averaging," The Economic and Social Review, Economic and Social Studies, vol. 50(1), pages 35-76.

  8. Joshua C.C. Chan & Roberto Leon-Gonzalez & Rodney W. Strachan, 2013. "Invariant Inference and Efficient Computation in the Static Factor Model," CAMA Working Papers 2013-32, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.

    Cited by:

    1. Simon Beyeler & Sylvia Kaufmann, 2016. "Factor augmented VAR revisited - A sparse dynamic factor model approach," Working Papers 16.08, Swiss National Bank, Study Center Gerzensee.
    2. Nalan Basturk & Agnieszka Borowska & Stefano Grassi & Lennart Hoogerheide & Herman K. van Dijk, 2018. "Forecast Density Combinations of Dynamic Models and Data Driven Portfolio Strategies," Working Paper 2018/10, Norges Bank.
    3. Chan, Joshua C.C. & Eisenstat, Eric & Strachan, Rodney W., 2020. "Reducing the state space dimension in a large TVP-VAR," Journal of Econometrics, Elsevier, vol. 218(1), pages 105-118.
    4. Aßmann, Christian & Boysen-Hogrefe, Jens & Pape, Markus, 2014. "Bayesian analysis of dynamic factor models: An ex-post approach towards the rotation problem," Kiel Working Papers 1902, Kiel Institute for the World Economy (IfW Kiel).
    5. Dimitris Korobilis & Kenichi Shimizu, 2021. "Bayesian Approaches to Shrinkage and Sparse Estimation," Working Papers 2021_19, Business School - Economics, University of Glasgow.
    6. Poncela, Pilar & Ruiz, Esther & Miranda, Karen, 2021. "Factor extraction using Kalman filter and smoothing: This is not just another survey," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1399-1425.
    7. Simon Beyeler & Sylvia Kaufmann, 2021. "Reduced‐form factor augmented VAR—Exploiting sparsity to include meaningful factors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(7), pages 989-1012, November.
    8. Joshua Chan & Arnaud Doucet & Roberto Leon-Gonzalez & Rodney W. Strachan, 2018. "Multivariate Stochastic Volatility with Co-Heteroscedasticity," GRIPS Discussion Papers 18-12, National Graduate Institute for Policy Studies.
    9. Eric Eisenstat & Joshua C.C. Chan & Rodney W. Strachan, 2018. "Reducing Dimensions in a Large TVP-VAR," Working Paper Series 43, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
    10. Sylvia Kaufmann & Christian Schumacher, 2013. "Bayesian estimation of sparse dynamic factor models with order-independent identification," Working Papers 13.04, Swiss National Bank, Study Center Gerzensee.
    11. Bin Peng & Giovanni Forchini, 2014. "Consistent Estimation of Panel Data Models with a Multifactor Error Structure when the Cross Section Dimension is Large," Working Paper Series 20, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
    12. KiHoon Jimmy Hong & Bin Peng & Xiaohui Zhang, 2015. "Capturing the Impact of Unobserved Sector-Wide Shocks on Stock Returns with Panel Data Model," The Economic Record, The Economic Society of Australia, vol. 91(295), pages 495-508, December.
    13. Joshua Chan & Eric Eisenstat & Xuewen Yu, 2022. "Large Bayesian VARs with Factor Stochastic Volatility: Identification, Order Invariance and Structural Analysis," Papers 2207.03988, arXiv.org.
    14. Hauber, Philipp & Schumacher, Christian, 2021. "Precision-based sampling with missing observations: A factor model application," Discussion Papers 11/2021, Deutsche Bundesbank.
    15. Joshua C.C. Chan & Rodney W. Strachan, 2023. "Bayesian State Space Models In Macroeconometrics," Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 58-75, February.
    16. Mengheng Li & Marcel Scharth, 2022. "Leverage, Asymmetry, and Heavy Tails in the High-Dimensional Factor Stochastic Volatility Model," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(1), pages 285-301, January.
    17. KiHoon Jimmy Hong & Bin Peng & Xiaohui Zhang, 2014. "Capturing the Impact of Latent Industry-Wide Shocks with Dynamic Panel Model," Research Paper Series 347, Quantitative Finance Research Centre, University of Technology, Sydney.
    18. Sylvia Fruhwirth-Schnatter & Darjus Hosszejni & Hedibert Freitas Lopes, 2023. "When it counts -- Econometric identification of the basic factor model based on GLT structures," Papers 2301.06354, arXiv.org.
    19. Sylvia Kaufmann & Markus Pape, 2023. "Bayesian (non-)unique sparse factor modelling," Working Papers 23.04, Swiss National Bank, Study Center Gerzensee.

  9. Rodney Strachan & Herman K. van Dijk, 2012. "Evidence on Features of a DSGE Business Cycle Model from Bayesian Model Averaging," Tinbergen Institute Discussion Papers 12-025/4, Tinbergen Institute.

    Cited by:

    1. Edward S. Knotek & Saeed Zaman, 2017. "Financial Nowcasts and Their Usefulness in Macroeconomic Forecasting," Working Papers (Old Series) 1702, Federal Reserve Bank of Cleveland.
    2. Temple, Jonathan & Rockey, James, 2015. "Growth Econometrics for Agnostics and True Believers," CEPR Discussion Papers 10590, C.E.P.R. Discussion Papers.
    3. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2011. "Combination Schemes for Turning Point Predictions," Tinbergen Institute Discussion Papers 11-123/4, Tinbergen Institute.
    4. Marcellino, Massimiliano & Aastveit, Knut Are & Carriero, Andrea & Clark, Todd, 2016. "Have Standard VARs Remained Stable Since the Crisis?," CEPR Discussion Papers 11558, C.E.P.R. Discussion Papers.
    5. Nalan Basturk & Cem Cakmakli & S. Pinar Ceyhan & Herman K. van Dijk, 2014. "On the Rise of Bayesian Econometrics after Cowles Foundation Monographs 10, 14," Tinbergen Institute Discussion Papers 14-085/III, Tinbergen Institute, revised 04 Sep 2014.
    6. Mark F. J. Steel, 2020. "Model Averaging and Its Use in Economics," Journal of Economic Literature, American Economic Association, vol. 58(3), pages 644-719, September.
    7. Nalan Basturk & Cem Cakmakli & S. Pinar Ceyhan & Herman K. van Dijk, 2013. "Historical Developments in Bayesian Econometrics after Cowles Foundation Monographs 10, 14," Tinbergen Institute Discussion Papers 13-191/III, Tinbergen Institute.
    8. Philip Liu & Konstantinos Theodoridis & Haroon Mumtaz & Francesco Zanetti, 2019. "Changing Macroeconomic Dynamics at the Zero Lower Bound," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 37(3), pages 391-404, July.

  10. Joshua Chan & Rodney Strachan, 2012. "Estimation in Non-Linear Non-Gaussian State Space Models with Precision-Based Methods," CAMA Working Papers 2012-13, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.

    Cited by:

    1. Joshua C. C. Chan & Gary Koop & Simon M. Potter, 2016. "A Bounded Model of Time Variation in Trend Inflation, Nairu and the Phillips Curve," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(3), pages 551-565, April.
    2. Andreza A Palma, 2016. "Natural interest rate in Brazil: further evidence frThe main objective of this study is to estimate the natural interest rate for Brazil using a parsimonious AR-trend-bound model proposed by Chan, Koo," Economics Bulletin, AccessEcon, vol. 36(3), pages 1306-1314.
    3. Eric Eisenstat & Joshua C.C. Chan & Rodney W. Strachan, 2014. "Stochastic Model Specification Search for Time-Varying Parameter VARs," CAMA Working Papers 2014-23, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    4. Abhishek K. Umrawal & Joshua C. C. Chan, 2021. "On Parameter Estimation in Unobserved Components Models subject to Linear Inequality Constraints," Papers 2110.12149, arXiv.org, revised Feb 2023.
    5. Dany-Knedlik, Geraldine & Holtemöller, Oliver, 2018. "Inflation dynamics during the Financial Crisis in Europe: cross-sectional identification of long-run inflation expectations," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181520, Verein für Socialpolitik / German Economic Association.
    6. Chan, Joshua & Koop, Gary & Potter, Simon, 2012. "A new model of trend inflation," MPRA Paper 39496, University Library of Munich, Germany.
    7. Eric Eisenstat & Joshua C.C. Chan & Rodney W. Strachan, 2018. "Reducing Dimensions in a Large TVP-VAR," Working Paper Series 43, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
    8. István Barra & Lennart Hoogerheide & Siem Jan Koopman & André Lucas, 2017. "Joint Bayesian Analysis of Parameters and States in Nonlinear non‐Gaussian State Space Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(5), pages 1003-1026, August.
    9. Eric Eisenstat & Rodney Strachan, 2014. "Modelling Inflation Volatility," Working Paper series 43_14, Rimini Centre for Economic Analysis.
    10. Joshua C.C. Chan & Rodney W. Strachan, 2023. "Bayesian State Space Models In Macroeconometrics," Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 58-75, February.
    11. Phillip, Andrew & Chan, Jennifer & Peiris, Shelton, 2020. "On generalized bivariate student-t Gegenbauer long memory stochastic volatility models with leverage: Bayesian forecasting of cryptocurrencies with a focus on Bitcoin," Econometrics and Statistics, Elsevier, vol. 16(C), pages 69-90.

  11. Rodney W. Strachan & Herman K. van Dijk, 2012. "Evidence on a DSGE Business Cycle model subject to Neutral and Investment-Specific Technology Shocks using Bayesian Model Averaging," CAMA Working Papers 2012-03, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.

    Cited by:

    1. Rodney W. Strachan & Herman K. Van Dijk, 2013. "Evidence On Features Of A Dsge Business Cycle Model From Bayesian Model Averaging," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 54(1), pages 385-402, February.

  12. Rodney W. Strachan & Herman K. van Dijk, 2011. "Divergent Priors and well Behaved Bayes Factors," Tinbergen Institute Discussion Papers 11-006/4, Tinbergen Institute.

    Cited by:

    1. Tomasz Wozniak, 2012. "Testing Causality Between Two Vectors in Multivariate GARCH Models," Department of Economics - Working Papers Series 1139, The University of Melbourne.
    2. Gael M. Martin & David T. Frazier & Christian P. Robert, 2020. "Computing Bayes: Bayesian Computation from 1763 to the 21st Century," Monash Econometrics and Business Statistics Working Papers 14/20, Monash University, Department of Econometrics and Business Statistics.
    3. Matthieu Droumaguet & Anders Warne & Tomasz Wozniak, 2015. "Granger Causality and Regime Inference in Bayesian Markov-Switching VARs," Department of Economics - Working Papers Series 1191, The University of Melbourne.
    4. Warne, Anders & Coenen, Günter & Christoffel, Kai, 2013. "Predictive likelihood comparisons with DSGE and DSGE-VAR models," Working Paper Series 1536, European Central Bank.

  13. Koop, Gary & Leon-Gonzalez, Roberto & Strachan, Rodney, 2011. "Bayesian Model Averaging in the Instrumental Variable Regression Model," SIRE Discussion Papers 2011-23, Scottish Institute for Research in Economics (SIRE).

    Cited by:

    1. Iftekhar Hasan & Roman Horvath & Jan Mares, 2018. "Finance and Wealth Inequality," Working Papers IES 2018/35, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Dec 2018.
    2. San Ahmed, Arsalan & Holloway, Garth John, 2017. "Calories, conflict and correlates: Redistributive food security in post-conflict Iraq," Food Policy, Elsevier, vol. 68(C), pages 89-99.
    3. Meyer-Gohde, Alexander & Neuhoff, Daniel, 2018. "Generalized exogenous processes in DSGE: A Bayesian approach," IMFS Working Paper Series 125, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    4. Temple, Jonathan & Rockey, James, 2015. "Growth Econometrics for Agnostics and True Believers," CEPR Discussion Papers 10590, C.E.P.R. Discussion Papers.
    5. Chan, Joshua C.C. & Eisenstat, Eric & Strachan, Rodney W., 2020. "Reducing the state space dimension in a large TVP-VAR," Journal of Econometrics, Elsevier, vol. 218(1), pages 105-118.
    6. Pham, Thi Hong Hanh, 2017. "Impacts of globalization on the informal sector: Empirical evidence from developing countries," Economic Modelling, Elsevier, vol. 62(C), pages 207-218.
    7. Hedibert F. Lopes & Nicholas G. Polson, 2014. "Bayesian Instrumental Variables: Priors and Likelihoods," Econometric Reviews, Taylor & Francis Journals, vol. 33(1-4), pages 100-121, June.
    8. TANAKA Kiyoyasu, 2015. "The Impact of Foreign Firms on Industrial Productivity: A Bayesian-model averaging approach," Discussion papers 15009, Research Institute of Economy, Trade and Industry (RIETI).
    9. Rodney W. Strachan & Herman K. Van Dijk, 2013. "Evidence On Features Of A Dsge Business Cycle Model From Bayesian Model Averaging," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 54(1), pages 385-402, February.
    10. Maribel Serna Rodríguez & Andrés Ramírez Hassan & Alexander Coad, 2019. "Uncovering Value Drivers of High Performance Soccer Players," Journal of Sports Economics, , vol. 20(6), pages 819-849, August.
    11. Roberto Leon-Gonzalez & Daniel Montolio, 2012. "Endogeneity and Panel Data in Growth Regressions: A Bayesian Model Averaging Approach," GRIPS Discussion Papers 12-08, National Graduate Institute for Policy Studies.
    12. Eric Eisenstat & Joshua C.C. Chan & Rodney W. Strachan, 2018. "Reducing Dimensions in a Large TVP-VAR," Working Paper Series 43, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
    13. Adam Slez, 2019. "The Difference Between Instability and Uncertainty: Comment on Young and Holsteen (2017)," Sociological Methods & Research, , vol. 48(2), pages 400-430, May.
    14. Theo S. Eicher & David J. Kuenzel, 2016. "The elusive effects of trade on growth: Export diversity and economic take-off," Canadian Journal of Economics, Canadian Economics Association, vol. 49(1), pages 264-295, February.
    15. Ampaabeng, Samuel K. & Tan, Chih Ming, 2013. "The long-term cognitive consequences of early childhood malnutrition: The case of famine in Ghana," Journal of Health Economics, Elsevier, vol. 32(6), pages 1013-1027.
    16. Samuel K. Ampaabeng & Chih Ming Tang, 2012. "The Long-Term Cognitive Consequences of Early Childhood Malnutrition: The Case of Famine in Ghana," Working Paper series 64_12, Rimini Centre for Economic Analysis.
    17. Mark F. J. Steel, 2020. "Model Averaging and Its Use in Economics," Journal of Economic Literature, American Economic Association, vol. 58(3), pages 644-719, September.
    18. Roberto Leon-Gonzalez & Thanabalasingam Vinayagathasan, 2015. "Robust Determinants of Growth in Asian Developing Economies: A Bayesian Panel Data Model Averaging Approach," GRIPS Discussion Papers 15-15, National Graduate Institute for Policy Studies.
    19. Pedro Saramago & Karl Claxton & Nicky J. Welton & Marta Soares, 2020. "Bayesian econometric modelling of observational data for cost‐effectiveness analysis: establishing the value of negative pressure wound therapy in the healing of open surgical wounds," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 183(4), pages 1575-1593, October.
    20. Andros Kourtellos & Alex Lenkoski & Kyriakos Petrou, 2017. "Measuring the Strength of the Theories of Government Size," University of Cyprus Working Papers in Economics 11-2017, University of Cyprus Department of Economics.
    21. Andros Kourtellos & Charalambos G. Tsangarides, 2022. "Robust Correlates of Growth Spells: Do Inequality and Redistribution Matter?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(6), pages 1302-1328, December.
    22. Roman Horváth, 2012. "Does Trust Promote Growth?," Working Papers 319, Leibniz Institut für Ost- und Südosteuropaforschung (Institute for East and Southeast European Studies).
    23. Cameron Fen & Samir Undavia, 2022. "Improving Macroeconomic Model Validity and Forecasting Performance with Pooled Country Data using Structural, Reduced Form, and Neural Network Model," Papers 2203.06540, arXiv.org.
    24. Sajad Rahimian, 2021. "The Determinants of Democracy Revisited: An Instrumental Variable Bayesian Model Averaging Approach," Papers 2103.04255, arXiv.org.
    25. Zuzana Irsova & Hristos Doucouliagos & Tomas Havranek & T. D. Stanley, 2023. "Meta-Analysis of Social Science Research: A Practitioner´s Guide," Working Papers IES 2023/25, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2023.
    26. Narayan Bulusu & Pierre Guérin, 2018. "What Drives Interbank Loans? Evidence from Canada," Staff Working Papers 18-5, Bank of Canada.
    27. Tanaka, Kiyoyasu, 2015. "The impact of foreign firms on industrial productivity : evidence from Japan," IDE Discussion Papers 533, Institute of Developing Economies, Japan External Trade Organization(JETRO).
    28. Michael Jetter & Christopher F. Parmeter, 2016. "Uncovering the determinants of corruption," Working Papers 2016-02, University of Miami, Department of Economics.
    29. Jaroslava Hlouskova & Martin Wagner, 2013. "The Determinants of Long-Run Economic Growth: A Conceptually and Computationally Simple Approach," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 149(IV), pages 445-492, December.
    30. Jetter, Michael & Parmeter, Christopher F., 2018. "Sorting through global corruption determinants: Institutions and education matter – Not culture," World Development, Elsevier, vol. 109(C), pages 279-294.
    31. Martins, Luis F. & Gabriel, Vasco J., 2014. "Linear instrumental variables model averaging estimation," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 709-724.

  14. Joshua C.C. Chan & Garry Koop & Roberto Leon Gonzales & Rodney W. Strachan, 2010. "Time Varying Dimension Models," ANU Working Papers in Economics and Econometrics 2010-523, Australian National University, College of Business and Economics, School of Economics.

    Cited by:

    1. Korobilis, Dimitris & Koop, Gary, 2020. "Bayesian dynamic variable selection in high dimensions," MPRA Paper 100164, University Library of Munich, Germany.
    2. Prüser, Jan, 2017. "Forecasting US inflation using Markov dimension switching," Ruhr Economic Papers 710, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    3. Koop, Gary & Korobilis, Dimitris, 2018. "Variational Bayes inference in high-dimensional time-varying parameter models," MPRA Paper 87972, University Library of Munich, Germany.
    4. Gary Koop & Dimitris Korobilis, 2012. "Large Time-Varying Parameter VARs," Working Paper series 11_12, Rimini Centre for Economic Analysis.
    5. Chan, Joshua C.C. & Eisenstat, Eric & Strachan, Rodney W., 2020. "Reducing the state space dimension in a large TVP-VAR," Journal of Econometrics, Elsevier, vol. 218(1), pages 105-118.
    6. Tino Berger & Gerdie Everaert & Hauke Vierke, 2015. "Testing for time variation in an unobserved components model for the U.S. economy," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 15/903, Ghent University, Faculty of Economics and Business Administration.
    7. Eric Eisenstat & Joshua C.C. Chan & Rodney W. Strachan, 2014. "Stochastic Model Specification Search for Time-Varying Parameter VARs," CAMA Working Papers 2014-23, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    8. Dimitris Korobilis & Kenichi Shimizu, 2021. "Bayesian Approaches to Shrinkage and Sparse Estimation," Working Papers 2021_19, Business School - Economics, University of Glasgow.
    9. Lasha Kavtaradze & Manouchehr Mokhtari, 2018. "Factor Models And Time†Varying Parameter Framework For Forecasting Exchange Rates And Inflation: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 32(2), pages 302-334, April.
    10. Joscha Beckmann & Rainer Schüssler, 2014. "Forecasting Exchange Rates under Model and Parameter Uncertainty," CQE Working Papers 3214, Center for Quantitative Economics (CQE), University of Muenster.
    11. Niko Hauzenberger, 2020. "Flexible Mixture Priors for Large Time-varying Parameter Models," Papers 2006.10088, arXiv.org, revised Nov 2020.
    12. Nima Nonejad, 2021. "An Overview Of Dynamic Model Averaging Techniques In Time‐Series Econometrics," Journal of Economic Surveys, Wiley Blackwell, vol. 35(2), pages 566-614, April.
    13. Dufays, Arnaud & Rombouts, Jeroen V.K., 2020. "Relevant parameter changes in structural break models," Journal of Econometrics, Elsevier, vol. 217(1), pages 46-78.
    14. Korobilis, D, 2017. "Forecasting with many predictors using message passing algorithms," Essex Finance Centre Working Papers 19565, University of Essex, Essex Business School.
    15. Chan, Joshua C.C., 2013. "Moving average stochastic volatility models with application to inflation forecast," Journal of Econometrics, Elsevier, vol. 176(2), pages 162-172.
    16. Hang Qian, 2014. "A Flexible State Space Model And Its Applications," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(2), pages 79-88, March.
    17. Ripamonti, Alexandre, 2013. "Rational Valuation Formula (RVF) and Time Variability in Asset Rates of Return," MPRA Paper 79460, University Library of Munich, Germany.
    18. Qian, Hang, 2012. "A Flexible State Space Model and its Applications," MPRA Paper 38455, University Library of Munich, Germany.
    19. KOROBILIS, Dimitris, 2011. "VAR forecasting using Bayesian variable selection," LIDAM Discussion Papers CORE 2011022, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    20. Beckmann, Joscha & Schüssler, Rainer, 2016. "Forecasting exchange rates under parameter and model uncertainty," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 267-288.
    21. Dimitris Korobilis, 2020. "High-dimensional macroeconomic forecasting using message passing algorithms," Papers 2004.11485, arXiv.org.
    22. Joshua C C Chan & Cody Y L Hsiao, 2013. "Estimation of Stochastic Volatility Models with Heavy Tails and Serial Dependence," CAMA Working Papers 2013-74, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    23. Miguel, Belmonte & Gary, Koop, 2013. "Model Switching and Model Averaging in Time- Varying Parameter Regression Models," SIRE Discussion Papers 2013-34, Scottish Institute for Research in Economics (SIRE).
    24. Pierre Guérin & Danilo Leiva-Leon, 2015. "Model Averaging in Markov-Switching Models: Predicting National Recessions with Regional Data," Staff Working Papers 15-24, Bank of Canada.
    25. Hauzenberger, Niko, 2021. "Flexible Mixture Priors for Large Time-varying Parameter Models," Econometrics and Statistics, Elsevier, vol. 20(C), pages 87-108.
    26. Joshua C.C. Chan, 2015. "Specification tests for time-varying parameter models with stochastic volatility," CAMA Working Papers 2015-42, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    27. Jouchi Nakajima & Mike West, 2013. "Bayesian Analysis of Latent Threshold Dynamic Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(2), pages 151-164, April.
    28. Schlösser, Alexander, 2020. "Forecasting industrial production in Germany: The predictive power of leading indicators," Ruhr Economic Papers 838, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    29. Joshua C. C. Chan & Eric Eisenstat, 2018. "Bayesian model comparison for time‐varying parameter VARs with stochastic volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(4), pages 509-532, June.
    30. Prüser, Jan, 2023. "Data-based priors for vector error correction models," International Journal of Forecasting, Elsevier, vol. 39(1), pages 209-227.
    31. Kenichiro McAlinn & Knut Are Aastveit & Jouchi Nakajima & Mike West, 2019. "Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting," Working Paper 2019/2, Norges Bank.
    32. Florian Huber & Gary Koop & Michael Pfarrhofer, 2020. "Bayesian Inference in High-Dimensional Time-varying Parameter Models using Integrated Rotated Gaussian Approximations," Papers 2002.10274, arXiv.org.
    33. Joshua C. C. Chan, 2017. "The Stochastic Volatility in Mean Model With Time-Varying Parameters: An Application to Inflation Modeling," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(1), pages 17-28, January.
    34. Joshua C.C. Chan & Eric Eisenstat, 2015. "Efficient estimation of Bayesian VARMAs with time-varying coefficients," CAMA Working Papers 2015-19, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    35. Kalli, Maria & Griffin, Jim E., 2014. "Time-varying sparsity in dynamic regression models," Journal of Econometrics, Elsevier, vol. 178(2), pages 779-793.
    36. Joshua C.C. Chan & Rodney W. Strachan, 2023. "Bayesian State Space Models In Macroeconometrics," Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 58-75, February.
    37. Luke Hartigan, 2015. "Changes in the Factor Structure of the U.S. Economy: Permanent Breaks or Business Cycle Regimes?," Discussion Papers 2015-17, School of Economics, The University of New South Wales.
    38. Kimura Takeshi & Nakajima Jouchi, 2016. "Identifying conventional and unconventional monetary policy shocks: a latent threshold approach," The B.E. Journal of Macroeconomics, De Gruyter, vol. 16(1), pages 277-300, January.
    39. Rodríguez, Gabriel & Vassallo, Renato & Castillo B., Paul, 2023. "Effects of external shocks on macroeconomic fluctuations in Pacific Alliance countries," Economic Modelling, Elsevier, vol. 124(C).
    40. Jordi Maas, 2014. "Forecasting inflation using time-varying Bayesian model averaging," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 68(3), pages 149-182, August.
    41. Jan Prüser, 2021. "Forecasting US inflation using Markov dimension switching," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(3), pages 481-499, April.
    42. Felix Abramovich & Vadim Grinshtein, 2013. "Estimation of a sparse group of sparse vectors," Biometrika, Biometrika Trust, vol. 100(2), pages 355-370.
    43. Gabriel Rodríguez & Renato Vassallo, 2022. "Time Evolution of External Shocks on Macroeconomic Fluctuations in Pacific Alliance Countries: Empirical Application using TVP-VAR-SV Models," Documentos de Trabajo / Working Papers 2022-508, Departamento de Economía - Pontificia Universidad Católica del Perú.
    44. Yousuf, Kashif & Ng, Serena, 2021. "Boosting high dimensional predictive regressions with time varying parameters," Journal of Econometrics, Elsevier, vol. 224(1), pages 60-87.
    45. Joshua C.C. Chan & Eric Eisenstat, 2013. "Gibbs Samplers for VARMA and Its Extensions," ANU Working Papers in Economics and Econometrics 2013-604, Australian National University, College of Business and Economics, School of Economics.
    46. Fu, Bowen, 2020. "Is the slope of the Phillips curve time-varying? Evidence from unobserved components models," Economic Modelling, Elsevier, vol. 88(C), pages 320-340.
    47. Joshua C.C. Chan & Eric Eisenstat, 2018. "Comparing hybrid time-varying parameter VARs," CAMA Working Papers 2018-31, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    48. Cross, Jamie & Poon, Aubrey, 2016. "Forecasting structural change and fat-tailed events in Australian macroeconomic variables," Economic Modelling, Elsevier, vol. 58(C), pages 34-51.

  15. Jochmann, Markus & Koop, Gary & Leon-Gonzalez & Strachan, Rodney W., 2009. "Stochastic Search Variable Selection in Vector Error Correction Models with an Application to a Model of the UK Macroeconomy," SIRE Discussion Papers 2009-44, Scottish Institute for Research in Economics (SIRE).

    Cited by:

    1. Jochmann, Markus & Koop, Gary, 2011. "Regime-Switching Cointegration," SIRE Discussion Papers 2011-60, Scottish Institute for Research in Economics (SIRE).
    2. Michael S. Smith & Shaun P. Vahey, 2016. "Asymmetric Forecast Densities for U.S. Macroeconomic Variables from a Gaussian Copula Model of Cross-Sectional and Serial Dependence," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(3), pages 416-434, July.
    3. SENBETA, Sisay Regassa, 2012. "How important are external shocks in explaining growth in Sub-Saharan Africa? Evidence from a Bayesian VAR," Working Papers 2012010, University of Antwerp, Faculty of Business and Economics.
    4. Smith, Michael Stanley, 2015. "Copula modelling of dependence in multivariate time series," International Journal of Forecasting, Elsevier, vol. 31(3), pages 815-833.
    5. Niko Hauzenberger & Michael Pfarrhofer & Luca Rossini, 2020. "Sparse time-varying parameter VECMs with an application to modeling electricity prices," Papers 2011.04577, arXiv.org, revised Apr 2023.
    6. Wensheng Kang & Ronald A. Ratti & Kyung Hwan Yoon, 2015. "Time-varying effect of oil market shocks on the stock market," CAMA Working Papers 2015-35, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    7. Smith, Simon C. & Timmermann, Allan, 2022. "Have risk premia vanished?," Journal of Financial Economics, Elsevier, vol. 145(2), pages 553-576.

  16. Koop, Gary & Leon-Gonzalez, Roberto & Strachan, Rodney W., 2008. "Bayesian Inference in the Time Varying Cointegration Model," SIRE Discussion Papers 2008-60, Scottish Institute for Research in Economics (SIRE).

    Cited by:

    1. Punzi, Maria Teresa, 2016. "Financial cycles and co-movements between the real economy, finance and asset price dynamics in large-scale crises," FinMaP-Working Papers 61, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
    2. Cross, Jamie & Nguyen, Bao H., 2017. "The relationship between global oil price shocks and China's output: A time-varying analysis," Energy Economics, Elsevier, vol. 62(C), pages 79-91.
    3. Costola, Michele & Iacopini, Matteo, 2023. "Measuring sovereign bond fragmentation in the Eurozone," Finance Research Letters, Elsevier, vol. 51(C).
    4. Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018. "Bayesian vector autoregressions," LSE Research Online Documents on Economics 87393, London School of Economics and Political Science, LSE Library.
    5. Maheu, John M & Song, Yong, 2017. "An Efficient Bayesian Approach to Multiple Structural Change in Multivariate Time Series," MPRA Paper 79211, University Library of Munich, Germany.
    6. Karolina Konopczak & Aleksander Łożykowski, 2021. "Efekt fiskalny uszczelniania systemu podatkowego w Polsce: próba oszacowania w zakresie podatku CIT," Ekonomista, Polskie Towarzystwo Ekonomiczne, issue 1, pages 25-55.
    7. Jochmann, Markus & Koop, Gary, 2011. "Regime-Switching Cointegration," SIRE Discussion Papers 2011-60, Scottish Institute for Research in Economics (SIRE).
    8. Xianguo HUANG & Roberto LEON-GONZALEZ & Somrasri YUPHO, 2013. "Financial Integration from a Time-Varying Cointegration Perspective," Asian Journal of Empirical Research, Asian Economic and Social Society, vol. 3(12), pages 1473-1487.
    9. Michele Costola & Matteo Iacopini & Carlo R. M. A. Santagiustina, 2021. "On the "mementum" of Meme Stocks," Papers 2106.03691, arXiv.org.
    10. Panopoulou, Ekaterini & Pantelidis, Theologos, 2016. "The Fisher effect in the presence of time-varying coefficients," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 495-511.
    11. Rodney W. Strachan & Herman K. Van Dijk, 2013. "Evidence On Features Of A Dsge Business Cycle Model From Bayesian Model Averaging," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 54(1), pages 385-402, February.
    12. Funashima, Yoshito, 2020. "Money stock versus monetary base in time–frequency exchange rate determination," Journal of International Money and Finance, Elsevier, vol. 104(C).
    13. Joshua Chan & Arnaud Doucet & Roberto Leon-Gonzalez & Rodney W. Strachan, 2018. "Multivariate Stochastic Volatility with Co-Heteroscedasticity," GRIPS Discussion Papers 18-12, National Graduate Institute for Policy Studies.
    14. Ripamonti, Alexandre, 2013. "Rational Valuation Formula (RVF) and Time Variability in Asset Rates of Return," MPRA Paper 79460, University Library of Munich, Germany.
    15. Anna Pajor & Justyna Wróblewska, 2022. "Forecasting performance of Bayesian VEC-MSF models for financial data in the presence of long-run relationships," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(3), pages 427-448, September.
    16. Czudaj, Robert L., 2019. "Dynamics between trading volume, volatility and open interest in agricultural futures markets: A Bayesian time-varying coefficient approach," Econometrics and Statistics, Elsevier, vol. 12(C), pages 78-145.
    17. Hauzenberger Niko & Huber Florian & Pfarrhofer Michael & Zörner Thomas O., 2021. "Stochastic model specification in Markov switching vector error correction models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(2), pages 1-17, April.
    18. Shaun P Vahey & Elizabeth C Wakerly, 2013. "Moving towards probability forecasting," BIS Papers chapters, in: Bank for International Settlements (ed.), Globalisation and inflation dynamics in Asia and the Pacific, volume 70, pages 3-8, Bank for International Settlements.
    19. Kapetanios, George & Millard, Stephen & Petrova, Katerina & Price, Simon, 2019. "Time-varying cointegration and the UK great ratios," Bank of England working papers 789, Bank of England.
    20. Niko Hauzenberger & Michael Pfarrhofer & Luca Rossini, 2020. "Sparse time-varying parameter VECMs with an application to modeling electricity prices," Papers 2011.04577, arXiv.org, revised Apr 2023.
    21. Peter McAdam & Kostas Mouratidis & Theodore Panagiotidis & Georgios Papapanagiotou, 2023. "European Trade & Growth Imbalances: An Analysis using a Sign-Restriction Bayesian-GVAR with Stochastic Volatility," Working Paper series 23-12, Rimini Centre for Economic Analysis.
    22. Barigozzi, Matteo, 2018. "On the stability of euro area money demand and its implications for monetary policy," LSE Research Online Documents on Economics 87283, London School of Economics and Political Science, LSE Library.
    23. Karolina Konopczak, 2020. "Kwantyfikacja zmian luki VAT: podejście ekonometryczne," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 2, pages 25-42.
    24. Pooyan Amir-Ahmadi & Christian Matthes & Mu-Chun Wang, 2016. "Choosing Prior Hyperparameters," Working Paper 16-9, Federal Reserve Bank of Richmond.
    25. Huber, Florian & Zörner, Thomas O., 2019. "Threshold cointegration in international exchange rates:A Bayesian approach," International Journal of Forecasting, Elsevier, vol. 35(2), pages 458-473.
    26. Hong Li & Yanlin Shi, 2022. "Robust information share measures with an application on the international crude oil markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(4), pages 555-579, April.
    27. Xiaojie Xu, 2019. "Price dynamics in corn cash and futures markets: cointegration, causality, and forecasting through a rolling window approach," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(2), pages 155-181, June.
    28. Lips Johannes, 2017. "Do They Still Matter? – Impact of Fossil Fuels on Electricity Prices in the Light of Increased Renewable Generation," Journal of Time Series Econometrics, De Gruyter, vol. 9(2), pages 1-30, July.
    29. Martin Falk & Xiang Lin, 2018. "Income elasticity of overnight stays over seven decades," Tourism Economics, , vol. 24(8), pages 1015-1028, December.
    30. Joshua C.C. Chan & Rodney W. Strachan, 2023. "Bayesian State Space Models In Macroeconometrics," Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 58-75, February.
    31. Nalan Basturk & Lennart Hoogerheide & Herman K. van Dijk, 2017. "Bayesian Analysis of Boundary and Near-Boundary Evidence in Econometric Models with Reduced Rank," Tinbergen Institute Discussion Papers 17-058/III, Tinbergen Institute.
    32. Xiaojie Xu, 2015. "Cointegration among regional corn cash prices," Economics Bulletin, AccessEcon, vol. 35(4), pages 2581-2594.
    33. Miroslav Plasil & Stepan Radkovsky & Pavel Rezabek, 2013. "Modelling bank loans to non-financial corporations," Occasional Publications - Chapters in Edited Volumes, in: CNB Financial Stability Report 2012/2013, chapter 0, pages 128-136, Czech National Bank.
    34. Chew Lian Chua & Sarantis Tsiaplias, 2014. "A Bayesian Approach to Modelling Bivariate Time-Varying Cointegration and Cointegrating Rank," Melbourne Institute Working Paper Series wp2014n27, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.

  17. Rodney W. Strachan & Herman K. van Dijk, 2008. "Bayesian Averaging over Many Dynamic Model Structures with Evidence on the Great Ratios and Liquidity Trap Risk," Tinbergen Institute Discussion Papers 08-096/4, Tinbergen Institute.

    Cited by:

    1. Lennart Hoogerheide & Richard Kleijn & Francesco Ravazzolo & Herman K. Van Dijk & Marno Verbeek, 2010. "Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 251-269.
    2. Abdollahi, Hooman & Ebrahimi, Seyed Babak, 2020. "A new hybrid model for forecasting Brent crude oil price," Energy, Elsevier, vol. 200(C).
    3. Safari, Ali & Davallou, Maryam, 2018. "Oil price forecasting using a hybrid model," Energy, Elsevier, vol. 148(C), pages 49-58.

  18. Markus Jochmann & Gary Koop & Rodney W. Strachan, 2008. "Bayesian Forecasting using Stochastic Search Variable Selection in a VAR Subject to Breaks," Working Paper series 19_08, Rimini Centre for Economic Analysis.

    Cited by:

    1. Dimitris, Korobilis, 2013. "Forecasting with Factor Models: A Bayesian Model Averaging Perspective," MPRA Paper 52724, University Library of Munich, Germany.
    2. Wilson, Kevin J., 2017. "An investigation of dependence in expert judgement studies with multiple experts," International Journal of Forecasting, Elsevier, vol. 33(1), pages 325-336.
    3. Markus Jochmann & Gary Koop & Roberto Leon-Gonzalez & Rodney W. Strachan, 2009. "Stochastic Search Variable Selection in Vector Error Correction Models with an Application to a Model of the UK Macroeconomy," Working Paper series 44_09, Rimini Centre for Economic Analysis.
    4. Gary Koop, 2011. "Forecasting with Medium and Large Bayesian VARs," Working Papers 1117, University of Strathclyde Business School, Department of Economics.
    5. Knut Are Aastveit & Anne Sofie Jore & Francesco Ravazzolo, 2014. "Forecasting recessions in real time," Working Paper 2014/02, Norges Bank.
    6. Karlsson, Sune, 2012. "Forecasting with Bayesian Vector Autoregressions," Working Papers 2012:12, Örebro University, School of Business.
    7. Daniel Felix Ahelegbey & Monica Billio & Roberto Casarin, 2020. "Modeling Turning Points In Global Equity Market," DEM Working Papers Series 195, University of Pavia, Department of Economics and Management.
    8. Nikolaus Hautsch & Fuyu Yang, 2014. "Bayesian Stochastic Search for the Best Predictors: Nowcasting GDP Growth," University of East Anglia Applied and Financial Economics Working Paper Series 056, School of Economics, University of East Anglia, Norwich, UK..
    9. Gary Koop & Dimitris Korobilis, 2012. "Large Time-Varying Parameter VARs," Working Paper series 11_12, Rimini Centre for Economic Analysis.
    10. Joshua C.C. Chan & Gary Koop, 2013. "Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables," ANU Working Papers in Economics and Econometrics 2013-603, Australian National University, College of Business and Economics, School of Economics.
    11. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2011. "Combination Schemes for Turning Point Predictions," Tinbergen Institute Discussion Papers 11-123/4, Tinbergen Institute.
    12. Macias, Paweł & Stelmasiak, Damian & Szafranek, Karol, 2023. "Nowcasting food inflation with a massive amount of online prices," International Journal of Forecasting, Elsevier, vol. 39(2), pages 809-826.
    13. KOROBILIS, Dimitris, 2011. "VAR forecasting using Bayesian variable selection," LIDAM Discussion Papers CORE 2011022, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    14. Kim, Young Min & Lee, Seojin, 2020. "Exchange rate predictability: A variable selection perspective," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 117-134.
    15. SENBETA, Sisay Regassa, 2012. "How important are external shocks in explaining growth in Sub-Saharan Africa? Evidence from a Bayesian VAR," Working Papers 2012010, University of Antwerp, Faculty of Business and Economics.
    16. Paul Hofmarcher & Jesús Crespo Cuaresma & Bettina Grün & Kurt Hornik, 2015. "Last Night a Shrinkage Saved My Life: Economic Growth, Model Uncertainty and Correlated Regressors," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(2), pages 133-144, March.
    17. Stephen G. Hall & Heather D. Gibson & G. S. Tavlas & Mike G. Tsionas, 2020. "A Monte Carlo Study of Time Varying Coefficient (TVC) Estimation," Computational Economics, Springer;Society for Computational Economics, vol. 56(1), pages 115-130, June.
    18. Smith, Simon C. & Timmermann, Allan & Zhu, Yinchu, 2019. "Variable selection in panel models with breaks," Journal of Econometrics, Elsevier, vol. 212(1), pages 323-344.
    19. Ahlem DAHEM, 2016. "Short-Term Bayesian Inflation Forecasting For Tunisia: Some Empirical Evidence," EcoForum, "Stefan cel Mare" University of Suceava, Romania, Faculty of Economics and Public Administration - Economy, Business Administration and Tourism Department., vol. 5(1), pages 1-47, January.
    20. Schnücker, Annika, 2016. "Restrictions Search for Panel VARs," VfS Annual Conference 2016 (Augsburg): Demographic Change 145566, Verein für Socialpolitik / German Economic Association.
    21. Karol Szafranek, 2017. "Bagged artificial neural networks in forecasting inflation: An extensive comparison with current modelling frameworks," NBP Working Papers 262, Narodowy Bank Polski.
    22. Rangan Gupta & Rudi Steinbach, 2010. "Forecasting Key Macroeconomic Variables of the South African Economy: A Small Open Economy New Keynesian DSGE-VAR Model," Working Papers 201019, University of Pretoria, Department of Economics.
    23. Annika Schnücker, 2016. "Restrictions Search for Panel VARs," Discussion Papers of DIW Berlin 1612, DIW Berlin, German Institute for Economic Research.
    24. Wensheng Kang & Ronald A. Ratti & Kyung Hwan Yoon, 2015. "Time-varying effect of oil market shocks on the stock market," CAMA Working Papers 2015-35, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    25. Gupta, Rangan & Steinbach, Rudi, 2013. "A DSGE-VAR model for forecasting key South African macroeconomic variables," Economic Modelling, Elsevier, vol. 33(C), pages 19-33.
    26. P.A.V.B. Swamy & Stephen G. Hall & George S. Tavlas & I-Lok Chang & Heather D. Gibson & William H. Greene & Jatinder S. Mehta, 2016. "A Method for Measuring Treatment Effects on the Treated without Randomization," Econometrics, MDPI, vol. 4(2), pages 1-23, March.
    27. Li, Zili & Washington, Simon P. & Zheng, Zuduo & Prato, Carlo G., 2023. "A Bayesian hierarchical approach to the joint modelling of Revealed and stated choices," Journal of choice modelling, Elsevier, vol. 47(C).
    28. Jiang, Yu & Song, Zhe & Kusiak, Andrew, 2013. "Very short-term wind speed forecasting with Bayesian structural break model," Renewable Energy, Elsevier, vol. 50(C), pages 637-647.
    29. Dahem, Ahlem, 2015. "Short term Bayesian inflation forecasting for Tunisia," MPRA Paper 66702, University Library of Munich, Germany.
    30. Kien C. Tran & Mike G. Tsionas, 2022. "Instrumental Variables Estimation without Outside Instruments," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 20(3), pages 489-506, September.
    31. Zhang, Bo & Nguyen, Bao H., 2020. "Real-time forecasting of the Australian macroeconomy using Bayesian VARs," Working Papers 2020-12, University of Tasmania, Tasmanian School of Business and Economics.

  19. Deborah Gefang & Rodney Strachan, 2008. "Nonlinear Impacts of International Business Cycles on the UK — a Bayesian Smooth Transition VAR," Discussion Papers in Economics 08/4, Division of Economics, School of Business, University of Leicester.

    Cited by:

    1. Alejandro López-Vera & Andrés D. Pinchao-Rosero & Norberto Rodríguez-Niño, 2018. "Non-Linear Fiscal Multipliers for Public Expenditure and Tax Revenue in Colombia," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 36(85), pages 48-64, November.
    2. Hernán Rincón-Castro & Norberto Rodríguez-Niño, 2016. "Nonlinear Pass-Through of Exchange Rate Shocks on Inflation: A Bayesian Smooth Transition VAR Approach," Borradores de Economia 14299, Banco de la Republica.
    3. MIYAO Ryuzo & OKIMOTO Tatsuyoshi, 2017. "The Macroeconomic Effects of Japan's Unconventional Monetary Policies," Discussion papers 17065, Research Institute of Economy, Trade and Industry (RIETI).
    4. Huber, Florian & Zörner, Thomas O., 2019. "Threshold cointegration in international exchange rates:A Bayesian approach," International Journal of Forecasting, Elsevier, vol. 35(2), pages 458-473.
    5. Hernán Rincón-Castro & Norberto Rodríguez-Niño, 2018. "Nonlinear state and shock dependence of exchange rate pass through on prices," BIS Working Papers 690, Bank for International Settlements.
    6. Nguyen, Bao H. & Okimoto, Tatsuyoshi, 2019. "Asymmetric reactions of the US natural gas market and economic activity," Energy Economics, Elsevier, vol. 80(C), pages 86-99.
    7. Deborah Gefang, 2012. "Money‐output Causality Revisited – A Bayesian Logistic Smooth Transition VECM Perspective," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(1), pages 131-151, February.

  20. Gary Koop & Roberto Leon-Gonzalez & Rodney W. Strachan, 2008. "Dynamic probabilities of restrictions in state space models: An application to the Phillips curve," Working Paper series 26_08, Rimini Centre for Economic Analysis.

    Cited by:

    1. Joshua C.C. Chan & Garry Koop & Roberto Leon Gonzales & Rodney W. Strachan, 2010. "Time Varying Dimension Models," ANU Working Papers in Economics and Econometrics 2010-523, Australian National University, College of Business and Economics, School of Economics.
    2. Geraci, Marco Valerio & Gnabo, Jean-Yves, 2018. "Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying Vector Autoregressions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(3), pages 1371-1390, June.
    3. Yerali Gandica & Marco Valerio Geraci & Sophie Béreau & Jean-Yves Gnabo, 2018. "Fragmentation, integration and macroprudential surveillance of the US financial industry: Insights from network science," PLOS ONE, Public Library of Science, vol. 13(4), pages 1-23, April.
    4. Koop, Gary & Tole, Lise, 2013. "Modeling the relationship between European carbon permits and certified emission reductions," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 166-181.
    5. Koop, Gary & Potter, Simon M., 2011. "Time varying VARs with inequality restrictions," Journal of Economic Dynamics and Control, Elsevier, vol. 35(7), pages 1126-1138, July.
    6. Joshua C.C. Chan, 2015. "Specification tests for time-varying parameter models with stochastic volatility," CAMA Working Papers 2015-42, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    7. Eric Eisenstat & Rodney Strachan, 2014. "Modelling Inflation Volatility," Working Paper series 43_14, Rimini Centre for Economic Analysis.
    8. Terence D. Agbeyegbe, 2023. "The Link Between Output Growth and Output Growth Volatility: Barbados," Annals of Data Science, Springer, vol. 10(3), pages 787-804, June.
    9. Joshua C. C. Chan, 2017. "The Stochastic Volatility in Mean Model With Time-Varying Parameters: An Application to Inflation Modeling," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(1), pages 17-28, January.
    10. Benjamin Wong, 2013. "The Evolution of the U.S. Output-Inflation Tradeoff," CAMA Working Papers 2013-70, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    11. Jansson, Walter, 2018. "Stock markets, banks and economic growth in the UK, 1850–1913," Financial History Review, Cambridge University Press, vol. 25(3), pages 263-296, December.
    12. Qian, Hang, 2015. "Inequality Constrained State Space Models," MPRA Paper 66447, University Library of Munich, Germany.
    13. Joshua C.C. Chan & Rodney W. Strachan, 2023. "Bayesian State Space Models In Macroeconometrics," Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 58-75, February.
    14. Nonejad Nima, 2016. "Particle Markov Chain Monte Carlo Techniques of Unobserved Component Time Series Models Using Ox," Journal of Time Series Econometrics, De Gruyter, vol. 8(1), pages 55-90, January.
    15. Han, Xiaoyi & Hsieh, Chih-Sheng & Lee, Lung-fei, 2017. "Estimation and model selection of higher-order spatial autoregressive model: An efficient Bayesian approach," Regional Science and Urban Economics, Elsevier, vol. 63(C), pages 97-120.
    16. Apergis, Nicholas, 2015. "Policy risks, technological risks and stock returns: New evidence from the US stock market," Economic Modelling, Elsevier, vol. 51(C), pages 359-365.
    17. Marco Valerio Geraci & Jean-Yves Gnabo, 2015. "Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying VARS," Working Papers ECARES ECARES 2015-51, ULB -- Universite Libre de Bruxelles.
    18. Grant, Angelia L., 2018. "The Great Recession and Okun's law," Economic Modelling, Elsevier, vol. 69(C), pages 291-300.

  21. Strachan, R.W. & van Dijk, H.K., 2007. "Bayesian model averaging in vector autoregressive processes with an investigation of stability of the US great ratios and risk of a liquidity trap in the USA, UK and Japan," Econometric Institute Research Papers EI 2007-11, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.

    Cited by:

    1. Dimitris Korobilis, 2008. "Forecasting in vector autoregressions with many predictors," Advances in Econometrics, in: Bayesian Econometrics, pages 403-431, Emerald Group Publishing Limited.
    2. Gareth W. Peters & Balakrishnan Kannan & Ben Lasscock & Chris Mellen, 2010. "Model Selection and Adaptive Markov chain Monte Carlo for Bayesian Cointegrated VAR model," Papers 1004.3830, arXiv.org.
    3. Paul Ho & Thomas A. Lubik & Christian Matthes, 2023. "Averaging Impulse Responses Using Prediction Pools," Working Paper 23-04, Federal Reserve Bank of Richmond.
    4. Albis, Manuel Leonard F. & Mapa, Dennis S., 2014. "Bayesian Averaging of Classical Estimates in Asymmetric Vector Autoregressive (AVAR) Models," MPRA Paper 55902, University Library of Munich, Germany.
    5. Ravazzolo, F. & van Dijk, H.K. & Verbeek, M.J.C.M., 2007. "Predictive gains from forecast combinations using time-varying model weights," Econometric Institute Research Papers EI 2007-26, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    6. de Pooter, M.D. & Ravazzolo, F. & Segers, R. & van Dijk, H.K., 2008. "Bayesian near-boundary analysis in basic macroeconomic time series models," Econometric Institute Research Papers EI 2008-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    7. Justyna Wróblewska, 2009. "Bayesian Model Selection in the Analysis of Cointegration," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 1(1), pages 57-69, March.
    8. Justyna Wróblewska, 2011. "Bayesian Analysis of Weak Form Reduced Rank Structure in VEC Models," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 3(3), pages 169-186, September.
    9. Lieb, Lenard & Smeekes, Stephan, 2017. "Inference for Impulse Responses under Model Uncertainty," Research Memorandum 022, Maastricht University, Graduate School of Business and Economics (GSBE).

  22. Strachan, R.W. & van Dijk, H.K., 2006. "Model uncertainty and Bayesian model averaging in vector autoregressive processes," Econometric Institute Research Papers EI 2006-08, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.

    Cited by:

    1. Stanislav Radchenko, 2004. "Limited Information Bayesian Analysis of a Simultaneous Equation with an Autocorrelated Error Term and its Application to the U.S. Gasoline Market," Econometrics 0408001, University Library of Munich, Germany.
    2. Geweke, John F. & Horowitz, Joel L. & Pesaran, M. Hashem, 2006. "Econometrics: A Bird's Eye View," IZA Discussion Papers 2458, Institute of Labor Economics (IZA).
    3. Gary Koop & Simon M. Potter & Rodney W. Strachan, 2008. "Re‐Examining the Consumption–Wealth Relationship: The Role of Model Uncertainty," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(2‐3), pages 341-367, March.
    4. Rodney Strachan & Herman K. van Dijk, "undated". "Bayesian Model Averaging in Vector Autoregressive Processes with an Investigation of Stability of the US Great Ratios and Risk of a Liquidity Trap in the USA, UK and Japan," MRG Discussion Paper Series 1407, School of Economics, University of Queensland, Australia.
    5. Deborah Gefang, 2012. "Money‐output Causality Revisited – A Bayesian Logistic Smooth Transition VECM Perspective," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(1), pages 131-151, February.

  23. Gary Koop & Roberto Leon-Gonzalez & Rodney Strachan, 2006. "Bayesian Inference in a Cointegrating Panel Data Model," Discussion Papers in Economics 06/2, Division of Economics, School of Business, University of Leicester.

    Cited by:

    1. Jochmann, Markus & Koop, Gary, 2011. "Regime-Switching Cointegration," SIRE Discussion Papers 2011-60, Scottish Institute for Research in Economics (SIRE).
    2. Tareq Sadeq, 2008. "Bayesian Analysis of DSGE models: A Panel Approach," Documents de recherche 08-03, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
    3. Michael L. Polemis & Mike G. Tsionas, 2023. "The environmental consequences of blockchain technology: A Bayesian quantile cointegration analysis for Bitcoin," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 1602-1621, April.

  24. Gary Koop & Simon M. Potter & Rodney W. Strachan, 2005. "Reexamining the consumption-wealth relationship: the role of model uncertainty," Staff Reports 202, Federal Reserve Bank of New York.

    Cited by:

    1. Markus Jochmann & Gary Koop & Roberto Leon-Gonzalez & Rodney W. Strachan, 2009. "Stochastic Search Variable Selection in Vector Error Correction Models with an Application to a Model of the UK Macroeconomy," Working Paper series 44_09, Rimini Centre for Economic Analysis.
    2. Chen, Jie, 2006. "Housing Wealth and Aggregate Consumption in Sweden," Working Paper Series 2006:16, Uppsala University, Department of Economics.
    3. Jochmann, Markus & Koop, Gary, 2011. "Regime-Switching Cointegration," SIRE Discussion Papers 2011-60, Scottish Institute for Research in Economics (SIRE).
    4. Todd E. Clark & Michael W. McCracken, 2010. "Averaging forecasts from VARs with uncertain instabilities," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 5-29.
    5. Olivier Allain, 2011. "The impact of income distribution on consumption: a reassessment," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00712657, HAL.
    6. Chen, Jie, 2006. "Re-evaluating the association between housing wealth and aggregate consumption: New evidence from Sweden," Journal of Housing Economics, Elsevier, vol. 15(4), pages 321-348, December.
    7. Iscan, Talan B., 2011. "Productivity growth and the U.S. saving rate," Economic Modelling, Elsevier, vol. 28(1-2), pages 501-514, January.
    8. Frank Schmid, 2013. "Wealth Effects on Consumption in Switzerland," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 149(I), pages 87-110, March.
    9. Yang, Zan & Wang, S.T., 2012. "Permanent and transitory shocks in owner-occupied housing: A common trend model of price dynamics," Journal of Housing Economics, Elsevier, vol. 21(4), pages 336-346.
    10. Boysen-Hogrefe, Jens & Dovern, Jonas & Gern, Klaus-Jürgen & Jannsen, Nils & Van Roye, Björn & Sander, Birgit & Scheide, Joachim & Boss, Alfred & Meier, Carsten-Patrick, 2008. "Weltkonjunktur und deutsche Konjunktur im Winter 2008," Kiel Discussion Papers 459/460, Kiel Institute for the World Economy (IfW Kiel).
    11. Rossi, Barbara, 2013. "Advances in Forecasting under Instability," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 1203-1324, Elsevier.
    12. Maltritz, Dominik & Molchanov, Alexander, 2014. "Country credit risk determinants with model uncertainty," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 224-234.
    13. Márquez, Elena & Martínez-Cañete, Ana R. & Pérez-Soba, Inés, 2013. "Wealth shocks, credit conditions and asymmetric consumption response: Empirical evidence for the UK," Economic Modelling, Elsevier, vol. 33(C), pages 357-366.
    14. Justyna Wróblewska, 2009. "Bayesian Model Selection in the Analysis of Cointegration," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 1(1), pages 57-69, March.
    15. Maltritz, Dominik, 2012. "Determinants of sovereign yield spreads in the Eurozone: A Bayesian approach," Journal of International Money and Finance, Elsevier, vol. 31(3), pages 657-672.
    16. Maltritz, Dominik & Molchanov, Alexander, 2013. "Analyzing determinants of bond yield spreads with Bayesian Model Averaging," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5275-5284.
    17. Ren, Yu & Yuan, Yufei & Zhang, Yang, 2014. "Human capital, household capital and asset returns," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 11-22.
    18. Mattias Villani, 2009. "Steady-state priors for vector autoregressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(4), pages 630-650.

  25. Strachan, R.W. & van Dijk, H.K., 2005. "Weakly informative priors and well behaved Bayes factors," Econometric Institute Research Papers EI 2005-40, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.

    Cited by:

    1. Rodney Strachan & Herman K. van Dijk, "undated". "Bayesian Model Averaging in Vector Autoregressive Processes with an Investigation of Stability of the US Great Ratios and Risk of a Liquidity Trap in the USA, UK and Japan," MRG Discussion Paper Series 1407, School of Economics, University of Queensland, Australia.

  26. Koop, G. & Strachan, R.W. & van Dijk, H.K. & Villani, M., 2005. "Bayesian approaches to cointegratrion," Econometric Institute Research Papers EI 2005-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.

    Cited by:

    1. Karlsson, Sune, 2012. "Forecasting with Bayesian Vector Autoregressions," Working Papers 2012:12, Örebro University, School of Business.
    2. SILVESTRINI, Andrea, 2010. "Testing fiscal sustainability in Poland: a Bayesian analysis of cointegration," LIDAM Reprints CORE 2220, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    3. Gareth W. Peters & Balakrishnan Kannan & Ben Lasscock & Chris Mellen, 2010. "Model Selection and Adaptive Markov chain Monte Carlo for Bayesian Cointegrated VAR model," Papers 1004.3830, arXiv.org.
    4. Cristina Fuentes-Albero & Leonardo Melosi, 2011. "Methods for Computing Marginal Data Densities from the Gibbs Output," Departmental Working Papers 201131, Rutgers University, Department of Economics.
    5. Primiceri, Giorgio & Giannone, Domenico & Lenza, Michele, 2016. "Priors for the Long Run," CEPR Discussion Papers 11261, C.E.P.R. Discussion Papers.
    6. Ciobotaru, Corina & Mazza, Christian, 2022. "Consistency and asymptotic normality of M-estimates of scatter on Grassmann manifolds," Journal of Multivariate Analysis, Elsevier, vol. 190(C).
    7. Helmut Luetkepohl, 2007. "Econometric Analysis with Vector Autoregressive Models," Economics Working Papers ECO2007/11, European University Institute.
    8. Sugita, Katsuhiro & 杉田, 勝弘, 2006. "Bayesian Analysis of Dynamic Multivariate Models with Multiple Structural Breaks," Discussion Papers 2006-14, Graduate School of Economics, Hitotsubashi University.
    9. Kociecki, Andrzej, 2012. "Orbital Priors for Time-Series Models," MPRA Paper 42804, University Library of Munich, Germany.
    10. Villani, Mattias, 2005. "Bayesian Inference of General Linear Restrictions on the Cointegration Space," Working Paper Series 189, Sveriges Riksbank (Central Bank of Sweden).
    11. Sugita, Katsuhiro & 杉田, 勝弘, 2006. "Time Series Analysis of the Expectations Hypothesis for the Japanese Term Structure of Interest Rates in the Presence of Multiple Structural Breaks," Discussion Papers 2006-15, Graduate School of Economics, Hitotsubashi University.

  27. Gary Koop & Roberto León-González & Rodney W. Strachan, 2005. "Efficient Posterior Simulation for Cointegrated Models with Priors On the Cointegration Space," Discussion Papers in Economics 05/13, Division of Economics, School of Business, University of Leicester, revised Apr 2006.

    Cited by:

    1. Gary Koop & Roberto Leon-Gonzalez & Rodney Strachan, 2011. "Bayesian Inference in the Time Varying Cointegration Model," Working Papers 1121, University of Strathclyde Business School, Department of Economics.
    2. Luca Benati & Thomas A. Lubik, 2022. "Searching for Hysteresis," Working Paper 22-05, Federal Reserve Bank of Richmond.
    3. Karlsson, Sune, 2012. "Forecasting with Bayesian Vector Autoregressions," Working Papers 2012:12, Örebro University, School of Business.
    4. Koop, Gary & Leon-Gonzalez, Roberto & Strachan, Rodney, 2012. "Bayesian model averaging in the instrumental variable regression model," Journal of Econometrics, Elsevier, vol. 171(2), pages 237-250.
    5. Jacek Osiewalski & Justyna Wróblewska & Kamil Makieła, 2020. "Bayesian comparison of production function-based and time-series GDP models," Empirical Economics, Springer, vol. 58(3), pages 1355-1380, March.
    6. Jochmann, Markus & Koop, Gary, 2011. "Regime-Switching Cointegration," SIRE Discussion Papers 2011-60, Scottish Institute for Research in Economics (SIRE).
    7. Chan, Joshua C.C. & Eisenstat, Eric & Strachan, Rodney W., 2020. "Reducing the state space dimension in a large TVP-VAR," Journal of Econometrics, Elsevier, vol. 218(1), pages 105-118.
    8. Katsuhiro Sugita, 2017. "Time Series Analysis of the US Term Structure of Interest Rates Using a Bayesian Markov Switching Cointegration Model," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(3), pages 49-56, March.
    9. Rodney W. Strachan & Herman K. Van Dijk, 2013. "Evidence On Features Of A Dsge Business Cycle Model From Bayesian Model Averaging," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 54(1), pages 385-402, February.
    10. Tsay, Ruey S. & Ando, Tomohiro, 2012. "Bayesian panel data analysis for exploring the impact of subprime financial crisis on the US stock market," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3345-3365.
    11. Anna Pajor & Justyna Wróblewska, 2022. "Forecasting performance of Bayesian VEC-MSF models for financial data in the presence of long-run relationships," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(3), pages 427-448, September.
    12. Eric Eisenstat & Joshua C.C. Chan & Rodney W. Strachan, 2018. "Reducing Dimensions in a Large TVP-VAR," Working Paper Series 43, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
    13. Krzysztof Osiewalski & Jacek Osiewalski, 2013. "A Long-Run Relationship between Daily Prices on Two Markets: The Bayesian VAR(2)–MSF-SBEKK Model," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 5(1), pages 65-83, March.
    14. Justyna Wróblewska, 2012. "Bayesian Analysis of Weak Form Polynomial Reduced Rank Structures in VEC Models," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 4(4), pages 253-267, December.
    15. Dąbrowski, Marek A. & Wróblewska, Justyna, 2019. "Insulating property of the flexible exchange rate regime: A case of Central and Eastern European countries," MPRA Paper 93813, University Library of Munich, Germany.
    16. Peter McAdam & Kostas Mouratidis & Theodore Panagiotidis & Georgios Papapanagiotou, 2023. "European Trade & Growth Imbalances: An Analysis using a Sign-Restriction Bayesian-GVAR with Stochastic Volatility," Working Paper series 23-12, Rimini Centre for Economic Analysis.
    17. Dąbrowski, Marek A. & Wróblewska, Justyna, 2016. "Exchange rate as a shock absorber in Poland and Slovakia: Evidence from Bayesian SVAR models with common serial correlation," Economic Modelling, Elsevier, vol. 58(C), pages 249-262.
    18. Heather M Anderson & Farshid Vahid, 2010. "VARs, Cointegration and Common Cycle Restrictions," Monash Econometrics and Business Statistics Working Papers 14/10, Monash University, Department of Econometrics and Business Statistics.
    19. Sylvia Kaufmann & Johann Scharler, 2013. "Bank-Lending Standards, Loan Growth and the Business Cycle in the Euro Area," Working Papers 2013-34, Faculty of Economics and Statistics, Universität Innsbruck.
    20. Justyna Wróblewska & Anna Pajor, 2019. "One-period joint forecasts of Polish inflation, unemployment and interest rate using Bayesian VEC-MSF models," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 11(1), pages 23-45, March.
    21. Murasawa, Yasutomo, 2019. "Bayesian multivariate Beveridge--Nelson decomposition of I(1) and I(2) series with cointegration," MPRA Paper 91979, University Library of Munich, Germany.
    22. Justyna Wróblewska, 2015. "Common Trends and Common Cycles – Bayesian Approach," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 7(2), pages 91-110, June.
    23. Justyna Wróblewska, 2009. "Bayesian Model Selection in the Analysis of Cointegration," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 1(1), pages 57-69, March.
    24. Dąbrowski, Marek A. & Wróblewska, Justyna, 2015. "Exchange rate as a shock absorber or a shock propagator in Poland and Slovakia - an approach based on Bayesian SVAR models with common serial correlation," MPRA Paper 61441, University Library of Munich, Germany.
    25. Justyna Wróblewska, 2011. "Bayesian Analysis of Weak Form Reduced Rank Structure in VEC Models," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 3(3), pages 169-186, September.

  28. Rodney W. Strachan, 2005. "Bayesian Inference in Cointegrated I (2) Systems: a Generalisation of the Triangular Model," Discussion Papers in Economics 05/14, Division of Economics, School of Business, University of Leicester.

    Cited by:

    1. Tsay, Ruey S. & Ando, Tomohiro, 2012. "Bayesian panel data analysis for exploring the impact of subprime financial crisis on the US stock market," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3345-3365.
    2. Justyna Wróblewska, 2009. "Bayesian Model Selection in the Analysis of Cointegration," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 1(1), pages 57-69, March.

  29. Rodney W. Strachan & Herman K. van Dijk, 2004. "The Value of Structural Information in the VAR Model," Econometric Society 2004 North American Summer Meetings 45, Econometric Society.

    Cited by:

    1. Gary Koop & Simon M. Potter & Rodney W. Strachan, 2008. "Re‐Examining the Consumption–Wealth Relationship: The Role of Model Uncertainty," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(2‐3), pages 341-367, March.
    2. Rodney W. Strachan & Herman K. van Dijk, 2004. "Bayesian Model Selection with an Uninformative Prior," Keele Economics Research Papers KERP 2004/01, Centre for Economic Research, Keele University.

  30. Rodney W. Strachan & Herman K. van Dijk, 2004. "Bayesian Model Selection with an Uninformative Prior," Keele Economics Research Papers KERP 2004/01, Centre for Economic Research, Keele University.

    Cited by:

    1. SILVESTRINI, Andrea, 2010. "Testing fiscal sustainability in Poland: a Bayesian analysis of cointegration," LIDAM Reprints CORE 2220, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    2. Rodney W. Strachan & Herman K. van Dijk, 2014. "Divergent Priors and Well Behaved Bayes Factors," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 6(1), pages 1-31, March.
    3. Tabasso, Domenico, 2011. "Temporary Contracts and Monopsony Power in the UK Labour Market," IZA Discussion Papers 5867, Institute of Labor Economics (IZA).
    4. Gary Koop & Simon M. Potter & Rodney W. Strachan, 2008. "Re‐Examining the Consumption–Wealth Relationship: The Role of Model Uncertainty," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(2‐3), pages 341-367, March.
    5. Sugita, Katsuhiro & 杉田, 勝弘, 2006. "Bayesian Analysis of Dynamic Multivariate Models with Multiple Structural Breaks," Discussion Papers 2006-14, Graduate School of Economics, Hitotsubashi University.
    6. Villani, Mattias, 2005. "Bayesian Inference of General Linear Restrictions on the Cointegration Space," Working Paper Series 189, Sveriges Riksbank (Central Bank of Sweden).
    7. Warne, Anders, 2006. "Bayesian inference in cointegrated VAR models: with applications to the demand for euro area M3," Working Paper Series 692, European Central Bank.
    8. Rodney Strachan & Herman K. van Dijk, "undated". "Bayesian Model Averaging in Vector Autoregressive Processes with an Investigation of Stability of the US Great Ratios and Risk of a Liquidity Trap in the USA, UK and Japan," MRG Discussion Paper Series 1407, School of Economics, University of Queensland, Australia.

  31. Strachan, R.W. & van Dijk, H.K., 2004. "Improper priors with well defined Bayes Factors," Econometric Institute Research Papers EI 2004-18, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.

    Cited by:

    1. HOOGERHEIDE, Lennart F. & KAASHOEK, Johan F. & van DIJK, Herman K., 2007. "On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: an application of flexible sampling methods using neural networks," LIDAM Reprints CORE 1922, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    2. Gary Koop & Roberto Leon-Gonzalez & Rodney Strachan, 2007. "Bayesian Inference in a Cointegrating Panel Data Model," Working Paper series 02_07, Rimini Centre for Economic Analysis.
    3. Fabian Paul & Thomas R Weikl, 2016. "How to Distinguish Conformational Selection and Induced Fit Based on Chemical Relaxation Rates," PLOS Computational Biology, Public Library of Science, vol. 12(9), pages 1-17, September.

  32. Strachan, R.W. & van Dijk, H.K., 2004. "Valuing structure, model uncertainty and model averaging in vector autoregressive processes," Econometric Institute Research Papers EI 2004-23, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.

    Cited by:

    1. HOOGERHEIDE, Lennart F. & KAASHOEK, Johan F. & van DIJK, Herman K., 2007. "On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: an application of flexible sampling methods using neural networks," LIDAM Reprints CORE 1922, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    2. Gary Koop & Roberto Leon-Gonzalez & Rodney Strachan, 2007. "Bayesian Inference in a Cointegrating Panel Data Model," Working Paper series 02_07, Rimini Centre for Economic Analysis.
    3. SILVESTRINI, Andrea, 2010. "Testing fiscal sustainability in Poland: a Bayesian analysis of cointegration," LIDAM Reprints CORE 2220, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    4. Rodney W. Strachan & Herman K. van Dijk, 2014. "Divergent Priors and Well Behaved Bayes Factors," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 6(1), pages 1-31, March.
    5. Koop, G. & Strachan, R.W. & van Dijk, H.K. & Villani, M., 2005. "Bayesian approaches to cointegratrion," Econometric Institute Research Papers EI 2005-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    6. Primiceri, Giorgio & Giannone, Domenico & Lenza, Michele, 2016. "Priors for the Long Run," CEPR Discussion Papers 11261, C.E.P.R. Discussion Papers.
    7. David Ardia & Lukasz T. Gatarek & Lennart Hoogerheide & Herman K. Van Dijk, 2016. "Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices," Econometrics, MDPI, vol. 4(1), pages 1-19, March.
    8. Ciobotaru, Corina & Mazza, Christian, 2022. "Consistency and asymptotic normality of M-estimates of scatter on Grassmann manifolds," Journal of Multivariate Analysis, Elsevier, vol. 190(C).
    9. Stanislav Radchenko, 2004. "Limited Information Bayesian Analysis of a Simultaneous Equation with an Autocorrelated Error Term and its Application to the U.S. Gasoline Market," Econometrics 0408001, University Library of Munich, Germany.
    10. Villani, Mattias, 2005. "Bayesian Inference of General Linear Restrictions on the Cointegration Space," Working Paper Series 189, Sveriges Riksbank (Central Bank of Sweden).
    11. Gary Koop & Roberto León-González & Rodney W. Strachan, 2010. "Efficient Posterior Simulation for Cointegrated Models with Priors on the Cointegration Space," Econometric Reviews, Taylor & Francis Journals, vol. 29(2), pages 224-242, April.

  33. Strachan, R.W. & van Dijk, H.K., 2003. "Bayesian model selection for a sharp null and a diffuse alternative with econometric applications," Econometric Institute Research Papers EI 2003-12, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.

    Cited by:

    1. Gary Koop & Roberto Leon-Gonzalez & Rodney Strachan, 2007. "Bayesian Inference in a Cointegrating Panel Data Model," Working Paper series 02_07, Rimini Centre for Economic Analysis.
    2. Koop, G. & Strachan, R.W. & van Dijk, H.K. & Villani, M., 2005. "Bayesian approaches to cointegratrion," Econometric Institute Research Papers EI 2005-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.

  34. Strachan, R., 2000. "Valid Bayesian Estimation of the Cointegrating Error Correction Model," Monash Econometrics and Business Statistics Working Papers 6/00, Monash University, Department of Econometrics and Business Statistics.

    Cited by:

    1. Gary Koop & Roberto Leon-Gonzalez & Rodney Strachan, 2011. "Bayesian Inference in the Time Varying Cointegration Model," Working Papers 1121, University of Strathclyde Business School, Department of Economics.
    2. Markus Jochmann & Gary Koop & Roberto Leon-Gonzalez & Rodney W. Strachan, 2009. "Stochastic Search Variable Selection in Vector Error Correction Models with an Application to a Model of the UK Macroeconomy," Working Paper series 44_09, Rimini Centre for Economic Analysis.
    3. Dimitris Korobilis, 2009. "Assessing the Transmission of Monetary Policy Shocks Using Dynamic Factor Models," Working Paper series 35_09, Rimini Centre for Economic Analysis.
    4. Karlsson, Sune, 2012. "Forecasting with Bayesian Vector Autoregressions," Working Papers 2012:12, Örebro University, School of Business.
    5. Villani, Mattias, 2003. "Bayes Estimators of the Cointegration Space," Working Paper Series 150, Sveriges Riksbank (Central Bank of Sweden).
    6. Jochmann, Markus & Koop, Gary, 2011. "Regime-Switching Cointegration," SIRE Discussion Papers 2011-60, Scottish Institute for Research in Economics (SIRE).
    7. van Dijk, H.K., 2002. "On Bayesian structural inference in a simultaneous equation model," Econometric Institute Research Papers EI 2002-10, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    8. Gary Koop & Roberto Leon-Gonzalez & Rodney Strachan, 2007. "Bayesian Inference in a Cointegrating Panel Data Model," Working Paper series 02_07, Rimini Centre for Economic Analysis.
    9. SILVESTRINI, Andrea, 2010. "Testing fiscal sustainability in Poland: a Bayesian analysis of cointegration," LIDAM Reprints CORE 2220, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    10. Dimitrios Anastasiou & Helen Louri & Mike Tsionas, 2019. "Nonperforming loans in the euro area: Are core–periphery banking markets fragmented?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 24(1), pages 97-112, January.
    11. Jacek Osiewalski & Krzysztof Osiewalski, 2016. "Hybrid MSV-MGARCH Models – General Remarks and the GMSF-SBEKK Specification," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 8(4), pages 241-271, December.
    12. Rodney W. Strachan & Herman K. van Dijk, 2014. "Divergent Priors and Well Behaved Bayes Factors," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 6(1), pages 1-31, March.
    13. Koop, G. & Strachan, R.W. & van Dijk, H.K. & Villani, M., 2005. "Bayesian approaches to cointegratrion," Econometric Institute Research Papers EI 2005-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    14. Strachan, Rodney W. & Inder, Brett, 2004. "Bayesian analysis of the error correction model," Journal of Econometrics, Elsevier, vol. 123(2), pages 307-325, December.
    15. Hauzenberger Niko & Huber Florian & Pfarrhofer Michael & Zörner Thomas O., 2021. "Stochastic model specification in Markov switching vector error correction models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(2), pages 1-17, April.
    16. Chew Lian Chua & Peter Summers, 2004. "Structural Error Correction Model: A Bayesian Perspective," Econometric Society 2004 Far Eastern Meetings 702, Econometric Society.
    17. Krzysztof Osiewalski & Jacek Osiewalski, 2013. "A Long-Run Relationship between Daily Prices on Two Markets: The Bayesian VAR(2)–MSF-SBEKK Model," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 5(1), pages 65-83, March.
    18. Stanislav Radchenko, 2004. "Limited Information Bayesian Analysis of a Simultaneous Equation with an Autocorrelated Error Term and its Application to the U.S. Gasoline Market," Econometrics 0408001, University Library of Munich, Germany.
    19. Bin Jiang & Anastasios Panagiotelis & George Athanasopoulos & Rob Hyndman & Farshid Vahid, 2016. "Bayesian Rank Selection in Multivariate Regression," Monash Econometrics and Business Statistics Working Papers 6/16, Monash University, Department of Econometrics and Business Statistics.
    20. Niko Hauzenberger & Michael Pfarrhofer & Luca Rossini, 2020. "Sparse time-varying parameter VECMs with an application to modeling electricity prices," Papers 2011.04577, arXiv.org, revised Apr 2023.
    21. Gary Koop & Simon M. Potter & Rodney W. Strachan, 2008. "Re‐Examining the Consumption–Wealth Relationship: The Role of Model Uncertainty," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(2‐3), pages 341-367, March.
    22. Prüser, Jan, 2023. "Data-based priors for vector error correction models," International Journal of Forecasting, Elsevier, vol. 39(1), pages 209-227.
    23. Huber, Florian & Zörner, Thomas O., 2019. "Threshold cointegration in international exchange rates:A Bayesian approach," International Journal of Forecasting, Elsevier, vol. 35(2), pages 458-473.
    24. Sugita, Katsuhiro & 杉田, 勝弘, 2006. "Bayesian Analysis of Dynamic Multivariate Models with Multiple Structural Breaks," Discussion Papers 2006-14, Graduate School of Economics, Hitotsubashi University.
    25. Villani, Mattias, 2005. "Bayesian Inference of General Linear Restrictions on the Cointegration Space," Working Paper Series 189, Sveriges Riksbank (Central Bank of Sweden).
    26. Warne, Anders, 2006. "Bayesian inference in cointegrated VAR models: with applications to the demand for euro area M3," Working Paper Series 692, European Central Bank.
    27. Rodney Strachan & Herman K. van Dijk, "undated". "Bayesian Model Averaging in Vector Autoregressive Processes with an Investigation of Stability of the US Great Ratios and Risk of a Liquidity Trap in the USA, UK and Japan," MRG Discussion Paper Series 1407, School of Economics, University of Queensland, Australia.
    28. Deborah Gefang, 2012. "Money‐output Causality Revisited – A Bayesian Logistic Smooth Transition VECM Perspective," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(1), pages 131-151, February.
    29. Gary Koop & Roberto León-González & Rodney W. Strachan, 2010. "Efficient Posterior Simulation for Cointegrated Models with Priors on the Cointegration Space," Econometric Reviews, Taylor & Francis Journals, vol. 29(2), pages 224-242, April.
    30. Villani, Mattias, 2006. "Bayesian point estimation of the cointegration space," Journal of Econometrics, Elsevier, vol. 134(2), pages 645-664, October.
    31. Ioanna Konstantakopoulou, 2020. "Further Evidence on Import Demand Function and Income Inequality," Economies, MDPI, vol. 8(4), pages 1-12, October.
    32. Sugita, Katsuhiro & 杉田, 勝弘, 2006. "Time Series Analysis of the Expectations Hypothesis for the Japanese Term Structure of Interest Rates in the Presence of Multiple Structural Breaks," Discussion Papers 2006-15, Graduate School of Economics, Hitotsubashi University.
    33. Chew Lian Chua & Sarantis Tsiaplias, 2014. "A Bayesian Approach to Modelling Bivariate Time-Varying Cointegration and Cointegrating Rank," Melbourne Institute Working Paper Series wp2014n27, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    34. Mattias Villani, 2009. "Steady-state priors for vector autoregressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(4), pages 630-650.

Articles

  1. Joshua C.C. Chan & Rodney W. Strachan, 2023. "Bayesian State Space Models In Macroeconometrics," Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 58-75, February.
    See citations under working paper version above.
  2. Bäurle Gregor & Kaufmann Daniel & Kaufmann Sylvia & Strachan Rodney, 2020. "Constrained interest rates and changing dynamics at the zero lower bound," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(2), pages 1-26, April.

    Cited by:

    1. Carriero, Andrea & Clark, Todd E. & Marcellino, Massimiliano & Mertens, Elmar, 2023. "Shadow-rate VARs," Discussion Papers 14/2023, Deutsche Bundesbank.

  3. Chan, Joshua C.C. & Eisenstat, Eric & Strachan, Rodney W., 2020. "Reducing the state space dimension in a large TVP-VAR," Journal of Econometrics, Elsevier, vol. 218(1), pages 105-118.

    Cited by:

    1. Joshua C. C. Chan & Xuewen Yu, 2022. "Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility," Papers 2206.08438, arXiv.org.
    2. Hai-Chuan Xu & Fredj Jawadi & Jie Zhou & Wei-Xing Zhou, 2023. "Quantifying interconnectedness and centrality ranking among financial institutions with TVP-VAR framework," Empirical Economics, Springer, vol. 65(1), pages 93-110, July.
    3. Niko Hauzenberger & Florian Huber & Gary Koop & James Mitchell, 2023. "Bayesian Modeling of Time-Varying Parameters Using Regression Trees," Working Papers 23-05, Federal Reserve Bank of Cleveland.
    4. KANAZAWA, Nobuyuki & 金澤, 伸幸, 2018. "Radial Basis Functions Neural Networks for Nonlinear Time Series Analysis and Time-Varying Effects of Supply Shocks," Discussion paper series HIAS-E-64, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
    5. Svetunkov, Ivan & Chen, Huijing & Boylan, John E., 2023. "A new taxonomy for vector exponential smoothing and its application to seasonal time series," European Journal of Operational Research, Elsevier, vol. 304(3), pages 964-980.
    6. Giacomo Rella, 2021. "The Fed, housing and household debt over time," Department of Economics University of Siena 850, Department of Economics, University of Siena.
    7. Joshua C. C. Chan, 2022. "Comparing Stochastic Volatility Specifications for Large Bayesian VARs," Papers 2208.13255, arXiv.org.
    8. Niko Hauzenberger, 2020. "Flexible Mixture Priors for Large Time-varying Parameter Models," Papers 2006.10088, arXiv.org, revised Nov 2020.
    9. Nima Nonejad, 2021. "An Overview Of Dynamic Model Averaging Techniques In Time‐Series Econometrics," Journal of Economic Surveys, Wiley Blackwell, vol. 35(2), pages 566-614, April.
    10. Li, Shaoyu & Zhu, Chunhui & Shang, Yuhuang, 2023. "Hedging demand and near-zero swap spreads: Evidence from the Chinese interest rate swap market," The Quarterly Review of Economics and Finance, Elsevier, vol. 91(C), pages 170-185.
    11. Niko Hauzenberger & Florian Huber & Gary Koop & James Mitchell, 2020. "Bayesian Modelling of TVP-VARs Using Regression Trees," Working Papers 2308, University of Strathclyde Business School, Department of Economics, revised Aug 2023.
    12. Simon Beyeler & Sylvia Kaufmann, 2021. "Reduced‐form factor augmented VAR—Exploiting sparsity to include meaningful factors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(7), pages 989-1012, November.
    13. Hauzenberger, Niko & Pfarrhofer, Michael & Stelzer, Anna, 2021. "On the effectiveness of the European Central Bank’s conventional and unconventional policies under uncertainty," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 822-845.
    14. Vasilii Erokhin & Tianming Gao, 2020. "Impacts of COVID-19 on Trade and Economic Aspects of Food Security: Evidence from 45 Developing Countries," IJERPH, MDPI, vol. 17(16), pages 1-28, August.
    15. Hauzenberger, Niko, 2021. "Flexible Mixture Priors for Large Time-varying Parameter Models," Econometrics and Statistics, Elsevier, vol. 20(C), pages 87-108.
    16. Fischer, Manfred M. & Hauzenberger, Niko & Huber, Florian & Pfarrhofer, Michael, 2022. "General Bayesian time-varying parameter VARs for modeling government bond yields," Working Papers in Regional Science 2021/01, WU Vienna University of Economics and Business.
    17. Hauzenberger, Niko & Huber, Florian & Klieber, Karin, 2023. "Real-time inflation forecasting using non-linear dimension reduction techniques," International Journal of Forecasting, Elsevier, vol. 39(2), pages 901-921.
    18. Xu Gong & Yujing Jin & Chuanwang Sun, 2022. "Time‐varying pure contagion effect between energy and nonenergy commodity markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(10), pages 1960-1986, October.
    19. Jozef Barunik & Michael Ellington, 2020. "Dynamic Network Risk," Papers 2006.04639, arXiv.org, revised Jul 2020.
    20. Gianluca Cubadda & Stefano Grassi & Barbara Guardabascio, 2024. "The Time-Varying Multivariate Autoregressive Index Model," CEIS Research Paper 571, Tor Vergata University, CEIS, revised 10 Jan 2024.
    21. Hauber, Philipp & Schumacher, Christian, 2021. "Precision-based sampling with missing observations: A factor model application," Discussion Papers 11/2021, Deutsche Bundesbank.
    22. Gael M. Martin & David T. Frazier & Worapree Maneesoonthorn & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2022. "Bayesian Forecasting in Economics and Finance: A Modern Review," Papers 2212.03471, arXiv.org, revised Jul 2023.
    23. Gael M. Martin & David T. Frazier & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2023. "Bayesian Forecasting in the 21st Century: A Modern Review," Monash Econometrics and Business Statistics Working Papers 1/23, Monash University, Department of Econometrics and Business Statistics.
    24. Joshua Chan, 2023. "BVARs and Stochastic Volatility," Papers 2310.14438, arXiv.org.
    25. Joshua C.C. Chan & Rodney W. Strachan, 2023. "Bayesian State Space Models In Macroeconometrics," Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 58-75, February.
    26. Manfred M. Fischer & Niko Hauzenberger & Florian Huber & Michael Pfarrhofer, 2023. "General Bayesian time‐varying parameter vector autoregressions for modeling government bond yields," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(1), pages 69-87, January.
    27. Joshua C. C. Chan, 2022. "Asymmetric conjugate priors for large Bayesian VARs," Quantitative Economics, Econometric Society, vol. 13(3), pages 1145-1169, July.
    28. Florian Huber & Luca Rossini, 2020. "Inference in Bayesian Additive Vector Autoregressive Tree Models," Papers 2006.16333, arXiv.org, revised Mar 2021.
    29. Belomestny, Denis & Krymova, Ekaterina & Polbin, Andrey, 2021. "Bayesian TVP-VARX models with time invariant long-run multipliers," Economic Modelling, Elsevier, vol. 101(C).
    30. Jeanne Terblanche & Dawie van Lill & Hylton Hollander, 2023. "Fiscal policy and dimensions of inequality in South Africa: A time-varying coefficient approach," Working Papers 05/2023, Stellenbosch University, Department of Economics.
    31. Lin Liu, 2022. "Economic Uncertainty and Exchange Market Pressure: Evidence From China," SAGE Open, , vol. 12(1), pages 21582440211, January.
    32. Kenwin Maung, 2021. "Estimating high-dimensional Markov-switching VARs," Papers 2107.12552, arXiv.org.
    33. Mertens, Elmar, 2023. "Precision-based sampling for state space models that have no measurement error," Journal of Economic Dynamics and Control, Elsevier, vol. 154(C).
    34. Manfred M. Fischer & Niko Hauzenberger & Florian Huber & Michael Pfarrhofer, 2021. "General Bayesian time-varying parameter VARs for predicting government bond yields," Papers 2102.13393, arXiv.org.
    35. Matteo Iacopini & Aubrey Poon & Luca Rossini & Dan Zhu, 2024. "A Quantile Nelson-Siegel model," Papers 2401.09874, arXiv.org.
    36. Song, Ying & Bouri, Elie & Ghosh, Sajal & Kanjilal, Kakali, 2021. "Rare earth and financial markets: Dynamics of return and volatility connectedness around the COVID-19 outbreak," Resources Policy, Elsevier, vol. 74(C).

  4. Joshua Chan & Roberto Leon-Gonzalez & Rodney W. Strachan, 2018. "Invariant Inference and Efficient Computation in the Static Factor Model," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 113(522), pages 819-828, April.
    See citations under working paper version above.
  5. Eric Eisenstat & Rodney W. Strachan, 2016. "Modelling Inflation Volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(5), pages 805-820, August.
    See citations under working paper version above.
  6. Eric Eisenstat & Joshua C. C. Chan & Rodney W. Strachan, 2016. "Stochastic Model Specification Search for Time-Varying Parameter VARs," Econometric Reviews, Taylor & Francis Journals, vol. 35(8-10), pages 1638-1665, December.
    See citations under working paper version above.
  7. Rodney W. Strachan & Herman K. van Dijk, 2014. "Divergent Priors and Well Behaved Bayes Factors," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 6(1), pages 1-31, March.
    See citations under working paper version above.
  8. Rodney W. Strachan & Herman K. Van Dijk, 2013. "Evidence On Features Of A Dsge Business Cycle Model From Bayesian Model Averaging," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 54(1), pages 385-402, February.
    See citations under working paper version above.
  9. Markus Jochmann & Gary Koop & Roberto Leon‐Gonzalez & Rodney W. Strachan, 2013. "Stochastic search variable selection in vector error correction models with an application to a model of the UK macroeconomy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(1), pages 62-81, January.
    See citations under working paper version above.
  10. Koop, Gary & Leon-Gonzalez, Roberto & Strachan, Rodney, 2012. "Bayesian model averaging in the instrumental variable regression model," Journal of Econometrics, Elsevier, vol. 171(2), pages 237-250.
    See citations under working paper version above.
  11. Joshua C.C. Chan & Gary Koop & Roberto Leon-Gonzalez & Rodney W. Strachan, 2012. "Time Varying Dimension Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(3), pages 358-367, January.
    See citations under working paper version above.
  12. Koop, Gary & Leon-Gonzalez, Roberto & Strachan, Rodney W., 2011. "Bayesian inference in a time varying cointegration model," Journal of Econometrics, Elsevier, vol. 165(2), pages 210-220.
    See citations under working paper version above.
  13. Jochmann, Markus & Koop, Gary & Strachan, Rodney W., 2010. "Bayesian forecasting using stochastic search variable selection in a VAR subject to breaks," International Journal of Forecasting, Elsevier, vol. 26(2), pages 326-347, April.
    See citations under working paper version above.
  14. Koop, Gary & Leon-Gonzalez, Roberto & Strachan, Rodney W., 2010. "Dynamic Probabilities of Restrictions in State Space Models: An Application to the Phillips Curve," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(3), pages 370-379.
    See citations under working paper version above.
  15. Gary Koop & Roberto León-González & Rodney W. Strachan, 2010. "Efficient Posterior Simulation for Cointegrated Models with Priors on the Cointegration Space," Econometric Reviews, Taylor & Francis Journals, vol. 29(2), pages 224-242, April.
    See citations under working paper version above.
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    1. Crespo Cuaresma, Jesus & Grün, Bettina & Hofmarcher, Paul & Humer, Stefan & Moser, Mathias, 2015. "A Comprehensive Approach to Posterior Jointness Analysis in Bayesian Model Averaging Applications," Department of Economics Working Paper Series 193, WU Vienna University of Economics and Business.
    2. Mark F. J. Steel, 2020. "Model Averaging and Its Use in Economics," Journal of Economic Literature, American Economic Association, vol. 58(3), pages 644-719, September.
    3. Marcin Blazejowski & Jacek Kwiatkowski, 2023. "BACE: A gretl Package for Model Averaging in Limited Dependent Variable Models," gretl working papers 9, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    4. Crespo Cuaresma, Jesus & Grün, Bettina & Hofmarcher, Paul & Humer, Stefan & Moser, Mathias, 2016. "Unveiling covariate inclusion structures in economic growth regressions using latent class analysis," European Economic Review, Elsevier, vol. 81(C), pages 189-202.
    5. Hofmarcher, Paul & Crespo Cuaresma, Jesus & Grün, Bettina & Humer, Stefan & Moser, Mathias, 2018. "Bivariate jointness measures in Bayesian Model Averaging: Solving the conundrum," Journal of Macroeconomics, Elsevier, vol. 57(C), pages 150-165.

  17. Gefang Deborah & Strachan Rodney, 2009. "Nonlinear Impacts of International Business Cycles on the U.K. -- A Bayesian Smooth Transition VAR Approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(1), pages 1-33, December.

    Cited by:

    1. Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018. "Bayesian vector autoregressions," LSE Research Online Documents on Economics 87393, London School of Economics and Political Science, LSE Library.
    2. Kirstin Hubrich & Timo Teräsvirta, 2013. "Thresholds and Smooth Transitions in Vector Autoregressive Models," CREATES Research Papers 2013-18, Department of Economics and Business Economics, Aarhus University.
    3. Hauzenberger, Niko & Pfarrhofer, Michael & Stelzer, Anna, 2021. "On the effectiveness of the European Central Bank’s conventional and unconventional policies under uncertainty," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 822-845.
    4. Joshua C.C. Chan, 2015. "Specification tests for time-varying parameter models with stochastic volatility," CAMA Working Papers 2015-42, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    5. Ringwald, Leopold & Zörner, Thomas O., 2023. "The money-inflation nexus revisited," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 293-333.
    6. Kotz Hans-Helmut & Semmler Willi & Tahri Ibrahim, 2018. "Financial fragmentation and the monetary transmission mechanism in the euro area: a smooth transition VAR approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(5), pages 1-19, December.
    7. Nguyen, Bao H. & Okimoto, Tatsuyoshi & Tran, Trung Duc, 2022. "Uncertainty-dependent and sign-dependent effects of oil market shocks," Journal of Commodity Markets, Elsevier, vol. 26(C).

  18. Koop, Gary & Leon-Gonzalez, Roberto & Strachan, Rodney W., 2009. "On the evolution of the monetary policy transmission mechanism," Journal of Economic Dynamics and Control, Elsevier, vol. 33(4), pages 997-1017, April.

    Cited by:

    1. Cross, Jamie & Nguyen, Bao H., 2017. "The relationship between global oil price shocks and China's output: A time-varying analysis," Energy Economics, Elsevier, vol. 62(C), pages 79-91.
    2. Florian Huber & Josef Schreiner, 2023. "Are Phillips curves in CESEE still alive and well behaved?," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue Q3/23, pages 7-27.
    3. Dimitris Korobilis, 2009. "Assessing the Transmission of Monetary Policy Shocks Using Dynamic Factor Models," Working Paper series 35_09, Rimini Centre for Economic Analysis.
    4. Jakub Matějů, 2019. "What Drives the Strength of Monetary Policy Transmission?," International Journal of Central Banking, International Journal of Central Banking, vol. 15(3), pages 59-87, September.
    5. Niko Hauzenberger & Florian Huber & Gary Koop & James Mitchell, 2023. "Bayesian Modeling of Time-Varying Parameters Using Regression Trees," Working Papers 23-05, Federal Reserve Bank of Cleveland.
    6. Florian Huber & Manfred M. Fischer, 2018. "A Markov Switching Factor‐Augmented VAR Model for Analyzing US Business Cycles and Monetary Policy," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 80(3), pages 575-604, June.
    7. Florian Huber & Gregor Kastner & Martin Feldkircher, 2016. "Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models," Papers 1607.04532, arXiv.org, revised Jul 2018.
    8. Miguel A.G. Belmonte & Gary Koop & Dimitris Korobilis, 2014. "Hierarchical Shrinkage in Time‐Varying Parameter Models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(1), pages 80-94, January.
    9. Vasilios Plakandaras & Rangan Gupta & Constantinos Katrakilidis & Mark E. Wohar, 2017. "Time-Varying Role of Macroeconomic Shocks on House Prices in the US and UK: Evidence from Over 150 Years of Data," Working Papers 201765, University of Pretoria, Department of Economics.
    10. Gary Koop & Dimitris Korobilis, 2012. "Forecasting Inflation Using Dynamic Model Averaging," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 53(3), pages 867-886, August.
    11. Tsionas, Mike G. & Izzeldin, Marwan & Trapani, Lorenzo, 2022. "Estimation of large dimensional time varying VARs using copulas," European Economic Review, Elsevier, vol. 141(C).
    12. Hodula Martin & Vahalík Bohdan, 2017. "Effects of oil shocks on EMU exports: technological level differences," Review of Economic Perspectives, Sciendo, vol. 17(4), pages 399-423, December.
    13. Joshua C.C. Chan & Rodney Strachan, 2014. "The Zero Lower Bound: Implications for Modelling the Interest Rate," Working Paper series 42_14, Rimini Centre for Economic Analysis.
    14. IWATA, Yasuharu & IIBOSHI, Hirokuni, 2023. "The Nexus between Public Debt and the Government Spending Multiplier: Fiscal Adjustments Matter," MPRA Paper 116355, University Library of Munich, Germany.
    15. Florian Huber & Maria Teresa Punzi, 2016. "International Housing Markets, Unconventional Monetary Policy and the Zero Lower Bound," Department of Economics Working Papers wuwp216, Vienna University of Economics and Business, Department of Economics.
    16. Valcarcel, Victor J., 2013. "Exchange rate volatility and the time-varying effects of aggregate shocks," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 822-843.
    17. KANAZAWA, Nobuyuki & 金澤, 伸幸, 2018. "Radial Basis Functions Neural Networks for Nonlinear Time Series Analysis and Time-Varying Effects of Supply Shocks," Discussion paper series HIAS-E-64, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
    18. Karlsson, Sune & Österholm, Pär, 2018. "Is the US Phillips Curve Stable? Evidence from Bayesian VARs," Working Papers 2018:5, Örebro University, School of Business.
    19. Jaromír Baxa & Roman Horváth & Borek Vasícek, 2010. "How Does Monetary Policy Change? Evidence on Inflation Targeting Countries," Working Papers wpdea1007, Department of Applied Economics at Universitat Autonoma of Barcelona.
    20. Gary Koop & Dimitris Korobilis, 2012. "Large Time-Varying Parameter VARs," Working Paper series 11_12, Rimini Centre for Economic Analysis.
    21. Chan, Joshua C.C. & Eisenstat, Eric & Strachan, Rodney W., 2020. "Reducing the state space dimension in a large TVP-VAR," Journal of Econometrics, Elsevier, vol. 218(1), pages 105-118.
    22. Erdenebat Bataa & Marwan Izzeldin & Denise Osborn, 2015. "Changes in the global oil market," Working Papers 75761696, Lancaster University Management School, Economics Department.
    23. Eric Eisenstat & Joshua C.C. Chan & Rodney W. Strachan, 2014. "Stochastic Model Specification Search for Time-Varying Parameter VARs," CAMA Working Papers 2014-23, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    24. Crespo Cuaresma, Jesus & Doppelhofer, Gernot & Feldkircher, Martin & Huber, Florian, 2018. "Spillovers from US monetary policy: Evidence from a time-varying parameter GVAR model," Working Papers in Economics 2018-6, University of Salzburg.
    25. Joshua C.C. Chan & Garry Koop & Roberto Leon Gonzales & Rodney W. Strachan, 2010. "Time Varying Dimension Models," ANU Working Papers in Economics and Econometrics 2010-523, Australian National University, College of Business and Economics, School of Economics.
    26. Joshua C.C. Chan & Eric Eisenstat & Chenghan Hou & Gary Koop, 2018. "Composite likelihood methods for large Bayesian VARs with stochastic volatility," CAMA Working Papers 2018-26, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    27. Dumitriu, Ramona & Stefanescu, Razvan, 2013. "Provocările politicii monetare [Monetary policy challenges]," MPRA Paper 50261, University Library of Munich, Germany, revised 28 Sep 2013.
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    29. Niko Hauzenberger, 2020. "Flexible Mixture Priors for Large Time-varying Parameter Models," Papers 2006.10088, arXiv.org, revised Nov 2020.
    30. Nima Nonejad, 2021. "An Overview Of Dynamic Model Averaging Techniques In Time‐Series Econometrics," Journal of Economic Surveys, Wiley Blackwell, vol. 35(2), pages 566-614, April.
    31. Michele Campolieti & Deborah Gefang & Gary Koop, 2011. "Time Variation in the Dynamics of Worker Flows: Evidence from the US and Canada," Working Papers 1138, University of Strathclyde Business School, Department of Economics.
    32. Prüser, Jan, 2021. "The horseshoe prior for time-varying parameter VARs and Monetary Policy," Journal of Economic Dynamics and Control, Elsevier, vol. 129(C).
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    34. Niko Hauzenberger & Florian Huber & Gary Koop & James Mitchell, 2020. "Bayesian Modelling of TVP-VARs Using Regression Trees," Working Papers 2308, University of Strathclyde Business School, Department of Economics, revised Aug 2023.
    35. Behera, Harendra Kumar & Patra, Michael Debabrata, 2022. "Measuring trend inflation in India," Journal of Asian Economics, Elsevier, vol. 80(C).
    36. Koop, Gary & Korobilis, Dimitris, 2010. "Bayesian Multivariate Time Series Methods for Empirical Macroeconomics," Foundations and Trends(R) in Econometrics, now publishers, vol. 3(4), pages 267-358, July.
    37. Andrew Filardo & Jouchi Nakajima, 2018. "Effectiveness of unconventional monetary policies in a low interest rate environment," BIS Working Papers 691, Bank for International Settlements.
    38. Jamshaid ur Rehman & Khalil Ahmad & Jawaria Arif, 2022. "Transmission Mechanism of Monetary Policy in BRICS Countries: A Comparative Response with the USA," Journal of Policy Research (JPR), Research Foundation for Humanity (RFH), vol. 8(4), pages 23-34, December.
    39. Clara De Luigi & Florian Huber & Josef Schreiner, 2019. "The impact of labor cost growth on inflation in selected CESEE countries," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue Q4/19, pages 56-78.
    40. Chance Mwabutwa & Manoel Bittencourt & Nicola Viegi, 2013. "Evolution of Monetary Policy Transmission Mechanism in Malawi: A TVP-VAR Approach," Working Papers 201327, University of Pretoria, Department of Economics.
    41. Michal Franta & Roman Horvath & Marek Rusnak, 2011. "Evaluating Changes in the Monetary Transmission Mechanism in the Czech Republic," Working Papers 2011/13, Czech National Bank.
    42. Kabundi, Alain & De Simone, Francisco Nadal, 2020. "Monetary policy and systemic risk-taking in the euro area banking sector," Economic Modelling, Elsevier, vol. 91(C), pages 736-758.
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    47. Jesús Crespo Cuaresma & Gernot Doppelhofer & Martin Feldkircher & Florian Huber, 2019. "Spillovers from US monetary policy: evidence from a time varying parameter global vector auto‐regressive model," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 182(3), pages 831-861, June.
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    123. So Jung Hwang & Hyunduk Suh, 2018. "Analyzing Dynamic Connectedness in Korean Housing Markets," Inha University IBER Working Paper Series 2018-4, Inha University, Institute of Business and Economic Research.
    124. Beatrice D. Simo-Kengne & Stephen M. Miller & Rangan Gupta, 2013. "Evolution of Monetary Policy in the US: The Role of Asset Prices," Working papers 2013-20, University of Connecticut, Department of Economics, revised Dec 2013.
    125. Sohei Kaihatsu & Jouchi Nakajima, 2015. "Has Trend Inflation Shifted?: An Empirical Analysis with a Regime-Switching Model," Bank of Japan Working Paper Series 15-E-3, Bank of Japan.
    126. Wei, Yu & Cao, Yang, 2017. "Forecasting house prices using dynamic model averaging approach: Evidence from China," Economic Modelling, Elsevier, vol. 61(C), pages 147-155.
    127. Florian Huber & Gregor Kastner & Michael Pfarrhofer, 2018. "Introducing shrinkage in heavy-tailed state space models to predict equity excess returns," Papers 1805.12217, arXiv.org, revised Jul 2019.
    128. Matteo Fragetta & Giovanni Melina, 2013. "Identification of monetary policy in SVAR models: a data-oriented perspective," Empirical Economics, Springer, vol. 45(2), pages 831-844, October.
    129. Paul Hubert, 2010. "Monetary policy, imperfect information and the expectations channel [Politique monétaire,information imparfaite et canal des anticipations]," SciencePo Working papers Main tel-04095385, HAL.
    130. Huang, Jianbai & Dong, Xuesong & Chen, Jinyu & Zhong, Meirui, 2022. "Do oil prices and economic policy uncertainty matter for precious metal returns? New insights from a TVP-VAR framework," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 433-445.
    131. Manfred M. Fischer & Niko Hauzenberger & Florian Huber & Michael Pfarrhofer, 2021. "General Bayesian time-varying parameter VARs for predicting government bond yields," Papers 2102.13393, arXiv.org.
    132. Andrea Venegoni & Massimiliano Serati, 2017. "The Symmetry of ECB Monetary Policy Impact Under Scrutiny: An Assessment," LIUC Papers in Economics 306, Cattaneo University (LIUC).
    133. Balatti, Mirco, 2020. "Inflation volatility in small and large advanced open economies," Working Paper Series 2448, European Central Bank.
    134. Rozina Shaheen, 2019. "Impact of Fiscal Policy on Consumption and Labor Supply under a Time-Varying Structural VAR Model," Economies, MDPI, vol. 7(2), pages 1-15, June.
    135. Ahmed Ramzy Mohamed, 2022. "Artificial Neural Network for Modeling the Economic Performance: A New Perspective," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 20(3), pages 555-575, September.
    136. Helmi, Mohamad Husam & Çatık, Abdurrahman Nazif & Akdeniz, Coşkun, 2023. "The impact of central bank digital currency news on the stock and cryptocurrency markets: Evidence from the TVP-VAR model," Research in International Business and Finance, Elsevier, vol. 65(C).
    137. Roberto Calero & Gabriel Rodríguez & Rodrigo Salcedo Cisneros, 2022. "Evolution of the Exchange Rate Pass-Throught into Prices in Peru: An Empirical Application Using TVP-VAR-SV Models," Documentos de Trabajo / Working Papers 2022-510, Departamento de Economía - Pontificia Universidad Católica del Perú.
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    139. Malefaki, Valia, 2015. "On Flexible Linear Factor Stochastic Volatility Models," MPRA Paper 62216, University Library of Munich, Germany.
    140. Liu, Li & Wang, Yudong & Yang, Li, 2018. "Predictability of crude oil prices: An investor perspective," Energy Economics, Elsevier, vol. 75(C), pages 193-205.
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    144. Ramazan EKİNCİ & Osman TÜZÜN & Fatih CEYLAN & Hakan KAHYAOĞLU, 2017. "Dışa Açıklık ile İşsizlik Arasındaki İlişki: Seçilmiş AB Ülkeleri ve Türkiye Üzerine Zamana Göre Değişen Parametreli Bir Analiz Algıları," Sosyoekonomi Journal, Sosyoekonomi Society, issue 25(31).

  19. Gary Koop & Simon M. Potter & Rodney W. Strachan, 2008. "Re-Examining the Consumption-Wealth Relationship: The Role of Model Uncertainty," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(2-3), pages 341-367, March.
    See citations under working paper version above.
  20. Rodney W. Strachan, 2007. "Bayesian Inference in Cointegrated I (2) Systems: A Generalization of the Triangular Model," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 439-468.
    See citations under working paper version above.
  21. Strachan, Rodney W. & Inder, Brett, 2004. "Bayesian analysis of the error correction model," Journal of Econometrics, Elsevier, vol. 123(2), pages 307-325, December.

    Cited by:

    1. Gary Koop & Roberto Leon-Gonzalez & Rodney Strachan, 2011. "Bayesian Inference in the Time Varying Cointegration Model," Working Papers 1121, University of Strathclyde Business School, Department of Economics.
    2. Luca Benati & Thomas A. Lubik, 2022. "Searching for Hysteresis," Working Paper 22-05, Federal Reserve Bank of Richmond.
    3. Markus Jochmann & Gary Koop & Roberto Leon-Gonzalez & Rodney W. Strachan, 2009. "Stochastic Search Variable Selection in Vector Error Correction Models with an Application to a Model of the UK Macroeconomy," Working Paper series 44_09, Rimini Centre for Economic Analysis.
    4. Karlsson, Sune, 2012. "Forecasting with Bayesian Vector Autoregressions," Working Papers 2012:12, Örebro University, School of Business.
    5. Koop, Gary & Leon-Gonzalez, Roberto & Strachan, Rodney, 2012. "Bayesian model averaging in the instrumental variable regression model," Journal of Econometrics, Elsevier, vol. 171(2), pages 237-250.
    6. Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018. "Bayesian vector autoregressions," LSE Research Online Documents on Economics 87393, London School of Economics and Political Science, LSE Library.
    7. Jochmann, Markus & Koop, Gary, 2011. "Regime-Switching Cointegration," SIRE Discussion Papers 2011-60, Scottish Institute for Research in Economics (SIRE).
    8. Gary Koop & Roberto Leon-Gonzalez & Rodney Strachan, 2007. "Bayesian Inference in a Cointegrating Panel Data Model," Working Paper series 02_07, Rimini Centre for Economic Analysis.
    9. SILVESTRINI, Andrea, 2010. "Testing fiscal sustainability in Poland: a Bayesian analysis of cointegration," LIDAM Reprints CORE 2220, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    10. Dimitrios Anastasiou & Helen Louri & Mike Tsionas, 2019. "Nonperforming loans in the euro area: Are core–periphery banking markets fragmented?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 24(1), pages 97-112, January.
    11. Gareth W. Peters & Balakrishnan Kannan & Ben Lasscock & Chris Mellen, 2010. "Model Selection and Adaptive Markov chain Monte Carlo for Bayesian Cointegrated VAR model," Papers 1004.3830, arXiv.org.
    12. Rodney W. Strachan & Herman K. Van Dijk, 2013. "Evidence On Features Of A Dsge Business Cycle Model From Bayesian Model Averaging," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 54(1), pages 385-402, February.
    13. Rodney W. Strachan & Herman K. van Dijk, 2014. "Divergent Priors and Well Behaved Bayes Factors," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 6(1), pages 1-31, March.
    14. Tsay, Ruey S. & Ando, Tomohiro, 2012. "Bayesian panel data analysis for exploring the impact of subprime financial crisis on the US stock market," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3345-3365.
    15. Koop, G. & Strachan, R.W. & van Dijk, H.K. & Villani, M., 2005. "Bayesian approaches to cointegratrion," Econometric Institute Research Papers EI 2005-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    16. Primiceri, Giorgio & Giannone, Domenico & Lenza, Michele, 2016. "Priors for the Long Run," CEPR Discussion Papers 11261, C.E.P.R. Discussion Papers.
    17. Ciobotaru, Corina & Mazza, Christian, 2022. "Consistency and asymptotic normality of M-estimates of scatter on Grassmann manifolds," Journal of Multivariate Analysis, Elsevier, vol. 190(C).
    18. Bin Jiang & Anastasios Panagiotelis & George Athanasopoulos & Rob Hyndman & Farshid Vahid, 2016. "Bayesian Rank Selection in Multivariate Regression," Monash Econometrics and Business Statistics Working Papers 6/16, Monash University, Department of Econometrics and Business Statistics.
    19. Niko Hauzenberger & Michael Pfarrhofer & Luca Rossini, 2020. "Sparse time-varying parameter VECMs with an application to modeling electricity prices," Papers 2011.04577, arXiv.org, revised Apr 2023.
    20. Peter McAdam & Kostas Mouratidis & Theodore Panagiotidis & Georgios Papapanagiotou, 2023. "European Trade & Growth Imbalances: An Analysis using a Sign-Restriction Bayesian-GVAR with Stochastic Volatility," Working Paper series 23-12, Rimini Centre for Economic Analysis.
    21. Gary Koop & Simon M. Potter & Rodney W. Strachan, 2008. "Re‐Examining the Consumption–Wealth Relationship: The Role of Model Uncertainty," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(2‐3), pages 341-367, March.
    22. Kim, Jaeho & Linn, Scott C., 2022. "Price discovery under model uncertainty," Energy Economics, Elsevier, vol. 107(C).
    23. Villani, Mattias, 2005. "Inference in Vector Autoregressive Models with an Informative Prior on the Steady State," Working Paper Series 181, Sveriges Riksbank (Central Bank of Sweden).
    24. Prüser, Jan, 2023. "Data-based priors for vector error correction models," International Journal of Forecasting, Elsevier, vol. 39(1), pages 209-227.
    25. Helmut Luetkepohl, 2007. "Econometric Analysis with Vector Autoregressive Models," Economics Working Papers ECO2007/11, European University Institute.
    26. Dąbrowski, Marek A. & Wróblewska, Justyna, 2016. "Exchange rate as a shock absorber in Poland and Slovakia: Evidence from Bayesian SVAR models with common serial correlation," Economic Modelling, Elsevier, vol. 58(C), pages 249-262.
    27. Sugita, Katsuhiro & 杉田, 勝弘, 2006. "Bayesian Analysis of Dynamic Multivariate Models with Multiple Structural Breaks," Discussion Papers 2006-14, Graduate School of Economics, Hitotsubashi University.
    28. Andros Kourtellos & Alex Lenkoski & Kyriakos Petrou, 2017. "Measuring the Strength of the Theories of Government Size," University of Cyprus Working Papers in Economics 11-2017, University of Cyprus Department of Economics.
    29. Luoto, Jani, 2011. "Aggregate infrastructure capital stock and long-run growth: Evidence from Finnish data," Journal of Development Economics, Elsevier, vol. 94(2), pages 181-191, March.
    30. Kociecki, Andrzej, 2012. "Orbital Priors for Time-Series Models," MPRA Paper 42804, University Library of Munich, Germany.
    31. Sylvia Kaufmann & Johann Scharler, 2013. "Bank-Lending Standards, Loan Growth and the Business Cycle in the Euro Area," Working Papers 2013-34, Faculty of Economics and Statistics, Universität Innsbruck.
    32. Villani, Mattias, 2005. "Bayesian Inference of General Linear Restrictions on the Cointegration Space," Working Paper Series 189, Sveriges Riksbank (Central Bank of Sweden).
    33. Warne, Anders, 2006. "Bayesian inference in cointegrated VAR models: with applications to the demand for euro area M3," Working Paper Series 692, European Central Bank.
    34. Murasawa, Yasutomo, 2019. "Bayesian multivariate Beveridge--Nelson decomposition of I(1) and I(2) series with cointegration," MPRA Paper 91979, University Library of Munich, Germany.
    35. Zuzana Irsova & Hristos Doucouliagos & Tomas Havranek & T. D. Stanley, 2023. "Meta-Analysis of Social Science Research: A Practitioner´s Guide," Working Papers IES 2023/25, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2023.
    36. Rodney Strachan & Herman K. van Dijk, "undated". "Bayesian Model Averaging in Vector Autoregressive Processes with an Investigation of Stability of the US Great Ratios and Risk of a Liquidity Trap in the USA, UK and Japan," MRG Discussion Paper Series 1407, School of Economics, University of Queensland, Australia.
    37. Deborah Gefang, 2012. "Money‐output Causality Revisited – A Bayesian Logistic Smooth Transition VECM Perspective," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(1), pages 131-151, February.
    38. Gary Koop & Roberto León-González & Rodney W. Strachan, 2010. "Efficient Posterior Simulation for Cointegrated Models with Priors on the Cointegration Space," Econometric Reviews, Taylor & Francis Journals, vol. 29(2), pages 224-242, April.
    39. Justyna Wróblewska, 2015. "Common Trends and Common Cycles – Bayesian Approach," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 7(2), pages 91-110, June.
    40. Villani, Mattias, 2006. "Bayesian point estimation of the cointegration space," Journal of Econometrics, Elsevier, vol. 134(2), pages 645-664, October.
    41. Justyna Wróblewska, 2009. "Bayesian Model Selection in the Analysis of Cointegration," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 1(1), pages 57-69, March.
    42. Ioanna Konstantakopoulou, 2020. "Further Evidence on Import Demand Function and Income Inequality," Economies, MDPI, vol. 8(4), pages 1-12, October.
    43. Luca Benati, 2023. "Forecasting Global Temperatures by Exploiting Cointegration with Radiative Forcing," Diskussionsschriften dp2308, Universitaet Bern, Departement Volkswirtschaft.
    44. Sugita, Katsuhiro & 杉田, 勝弘, 2006. "Time Series Analysis of the Expectations Hypothesis for the Japanese Term Structure of Interest Rates in the Presence of Multiple Structural Breaks," Discussion Papers 2006-15, Graduate School of Economics, Hitotsubashi University.
    45. Dąbrowski, Marek A. & Wróblewska, Justyna, 2015. "Exchange rate as a shock absorber or a shock propagator in Poland and Slovakia - an approach based on Bayesian SVAR models with common serial correlation," MPRA Paper 61441, University Library of Munich, Germany.
    46. Chew Lian Chua & Sarantis Tsiaplias, 2014. "A Bayesian Approach to Modelling Bivariate Time-Varying Cointegration and Cointegrating Rank," Melbourne Institute Working Paper Series wp2014n27, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    47. Mattias Villani, 2009. "Steady-state priors for vector autoregressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(4), pages 630-650.

  22. Strachan, Rodney W, 2003. "Valid Bayesian Estimation of the Cointegrating Error Correction Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(1), pages 185-195, January.
    See citations under working paper version above.
  23. Rodney W. Strachan & Herman K. van Dijk, 2003. "Bayesian Model Selection with an Uninformative Prior," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 863-876, December.
    See citations under working paper version above.

Chapters

  1. Gary Koop & Roberto Leon-Gonzalez & Rodney Strachan, 2008. "Bayesian inference in a cointegrating panel data model," Advances in Econometrics, in: Bayesian Econometrics, pages 433-469, Emerald Group Publishing Limited.
    See citations under working paper version above.Sorry, no citations of chapters recorded.
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