## Research classified by
*Journal of
Economic Literature* (JEL) codes

Top JEL

/ C: Mathematical and Quantitative Methods

/ / C1: Econometric and Statistical Methods and Methodology: General

/ / /

**C11: Bayesian Analysis: General**

**This topic is covered by the following reading lists:**

Most recent items first, undated at the end.

**Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices**

*by*Lukasz Gatarek & Lennart Hoogerheide & Herman K. van Dijk

**Empirical Bayes methods in classical and Bayesian inference**

*by*Scricciolo, Catia & Rousseau, Judith & Rizzelli, Stefano & Petrone, Sonia

**Using informative priors in the estimation of mixtures over time with application to aerosol particle size distributions**

*by*Hussein, Tareq & Rousseau, Judith & Alston, Clair & Mengersen, Kerrie & Wraith, Darren

**How interdependent are Eastern European economies and the Euro area?**

*by*Prettner, Catherine & Prettner, Klaus

**Identification of prior information via moment-matching**

*by*Sacht, Stephen

**Donâ€™t Stop â€™Til You Get Enough: a quickest detection approach to HTA**

*by*Daniele Bregantini

**On a simple quickest detection rule for health-care technology assessment**

*by*Daniele Bregantini & Jacco J.J. Thijssen

**Does Elderly Employment have an Impact on Youth Employment? A General Equilibrium Approach**

*by*Alfred Stiassny & Christina Uhl

**Markov Switching GARCH models for Bayesian Hedging on Energy Futures Markets**

*by*Roberto Casarin & Monica Billio & Anthony Osuntuyi

**Capturing the Impact of Latent Industry-Wide Shocks with Dynamic Panel Model**

*by*KiHoon Jimmy Hong & Bin Peng & Xiaohui Zhang

**Modeling Intraday Stochastic Volatility and Conditional Duration Contemporaneously with Regime Shifts**

*by*Trojan, Sebastian

**Multivariate Stochastic Volatility with Dynamic Cross Leverage**

*by*Trojan, Sebastian

**Forecasting with the Standardized Self-Perturbed Kalman Filter**

*by*Stefano Grassi & Nima Nonejad & Paolo Santucci de Magistris

**Openness to International Trade and Economic Growth : A Cross-Country Empirical Investigation**

*by*Bulent Ulasan

**CES Technology and Business Cycle Fluctuations**

*by*Cristiano Cantore & Paul Levine & Joseph Pearlman & Bo Yang

**Bayesian Analysis of Bubbles in Asset Prices**

*by*Andras Fulop & Jun Yu

**A Bayesian Chi-Squared Test for Hypothesis Testing**

*by*Yong Li & Xiao-Bin Liu & Jun Yu

**Deviance Information Criterion for Comparing VAR Models**

*by*Tao Zeng & Yong Li & Jun Yu

**Terms of Trade and Total Factor Productivity: Empirical evidence from Latin American emerging markets**

*by*Castillo, Paul & Rojas, Youel

**DSGE Priors for BVAR Models**

*by*Thomai Filippeli & Konstantinos Theodoridis

**Forecasting the Price of Gold Using Dynamic Model Averaging**

*by*Goodness C. Aye & Rangan Gupta & Shawkat Hammoudeh & Won Joong Kim

**Estimation of the Basic New Keynesian Model for the Economy of Romania**

*by*Ifrim, Adrian

**Mobility of Knowledge and Local Innovation Activity**

*by*Drivas, Kyriakos & Economidou, Claire & Karkalakos, Sotiris & Tsionas, Efthymios G.

**Time Varying Fiscal Multipliers in Germany**

*by*Berg, Tim Oliver

**Bayesian Survival Modelling of University Outcomes**

*by*Vallejos, Catalina & Steel, Mark F. J.

**Bayesian modelling of skewness and kurtosis with two-piece scale and shape transformations**

*by*Rubio, Francisco Javier & Steel, Mark F. J.

**Testing the hockey-stick hypothesis by statistical analyses of a large dataset of proxy records**

*by*Travaglini, Guido

**Particle Gibbs with Ancestor Sampling Methods for Unobserved Component Time Series Models with Heavy Tails, Serial Dependence and Structural Breaks**

*by*Nonejad, Nima

**Particle Markov Chain Monte Carlo Techniques of Unobserved Component Time Series Models Using Ox**

*by*Nonejad, Nima

**Editorial for the Special Issue on 'Computational Methods for Russian Economic and Financial Modelling'**

*by*Fantazzini, Dean

**Probabilistic Opinion Pooling**

*by*Dietrich, Franz & List, Christian

**Data-based priors for vector autoregressions with drifting coefficients**

*by*Korobilis, Dimitris

**Productive Capabilities: An Empirical Investigation of their Determinants**

*by*Christian Daude & Arne Nagengast & José Ramón Perea

**Free to Choose: Promoting Conservation by Relaxing Outdoor Watering Restrictions**

*by*Anita Castledine & Klaus Moeltner & Michael Price & Shawn Stoddard

**Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach**

*by*Frank Schorfheide & Dongho Song & Amir Yaron

**Monetary/Fiscal Policy Mix and Agents' Beliefs**

*by*Francesco Bianchi & Cosmin Ilut

**The Network Origins of Economic Growth**

*by*Dürnecker, Georg & Meyer, Moritz & Vega-Redondo, Fernando

**Asymmetric volatility spillovers between UK regional worker flows and vacancies**

*by*Deborah Gefang & Geraint Johnes

**Identification of Financial Factors in Economic Fluctuations**

*by*Samad Sarferaz & Francesco Furlanetto & Francesco Furlanetto

**Bayesian Analysis of Dynamic Factor Models: An Ex-Post Approach towards the Rotation Problem**

*by*Christian Aßmann & Jens Boysen-Hogrefe & Markus Pape

**Parental Response to Early Human Capital Shocks: Evidence from the Chernobyl Accident**

*by*Sylvia Frühwirth-Schnatter & Martin Halla & Alexandra Posekany & Gerald J. Pruckner & Thomas Schober

**The Quantity and Quality of Children: A Semi-Parametric Bayesian IV Approach**

*by*Sylvia Frühwirth-Schnatter & Martin Halla & Alexandra Posekany & Gerald J. Pruckner & Thomas Schober

**Bayesian Exploratory Factor Analysis**

*by*Conti, Gabriella & Frühwirth-Schnatter, Sylvia & Heckman, James J. & Piatek, Rémi

**Household Finances and Social Interaction: Bayesian Analysis of Household Panel Data**

*by*Brown, Sarah & Ghosh, Pulak & Taylor, Karl

**The Quantity and Quality of Children: A Semi-Parametric Bayesian IV Approach**

*by*Frühwirth-Schnatter, Sylvia & Halla, Martin & Posekany, Alexandra & Pruckner, Gerald J. & Schober, Thomas

**An Estimated Search and Matching Model of the Japanese Labor Market**

*by*Ching-Yang Lin & Hiroaki Miyamoto

**Policy-oriented macroeconomic forecasting with hybrid DGSE and time-varying parameter VAR models**

*by*Stelios D. Bekiros & Alessia Paccagnini

**Forecasting the US Economy with a Factor-Augmented Vector Autoregressive DSGE model**

*by*Stelios Bekiros & Alessia Paccagnini

**Bayesian Exploratory Factor Analysis**

*by*Gabriella Conti & Sylvia Fruehwirth-Schnatter & James J. Heckman & Remi Piatek

**A simple wavelet-based test for serial correlation in panel data models**

*by*Li, Yushu & Andersson, Fredrik N. G.

**Confirmation: What's in the evidence?**

*by*Kataria, Mitesh

**A money-based indicator for deflation risk**

*by*Gianni Amisano & Roberta Colavecchio & Gabriel Fagan

**Stochastic Volatility Estimation with GPU Computing**

*by*António Alberto Santos & João Andrade

**Data-based priors for vector autoregressions with drifting coefficients**

*by*Dimitris Korobilis

**Business Cycles in Oil Exporting Countries: A Declining Role for Oil?**

*by*Salman Huseynov & Vugar Ahmadov

**Indeterminacy and Learning: An Analysis of Monetary Policy in the Great Inflation**

*by*Lubik, Thomas A. & Matthes, Christian

**Has U.S. monetary policy tracked the efficient interest rate?**

*by*Curdia, Vasco & Ferrero, Andrea & Ng, Ging Cee & Tambalotti, Andrea

**International capital flows and the boom-bust cycle in Spain**

*by*in 't Veld, Jan & Kollmann, Robert & Pataracchia, Beatrice & Ratto, Marco & Roeger, Werner

**Monetary policy effects on bank risk taking**

*by*Abbate, Angela & Thaler, Dominik

**International Capital Flows and the Boom-Bust Cycle in Spain**

*by*Beatrice Pataracchia & Robert Kollmann & Marco Ratto & Werner Roeger & Jan in’t Veld

**Issues in Comparing Stochastic Volatility Models Using the Deviance Information Criterion**

*by*Joshua C.C. Chan & Angelia L. Grant

**International Capital Flows and the Boom-Bust Cycle in Spain**

*by*Jan in’t Veld & Robert Kollmann & Beatrice Pataracchia & Marco Ratto & Werner Roeger

**Stochastic Model Specification Search for Time-Varying Parameter VARs**

*by*Eric Eisenstat & Joshua C.C. Chan & Rodney W. Strachan

**Modelling Inflation Volatility**

*by*Eric Eisenstat & Rodney W. Strachan

**Indeterminacy and Learning: An Analysis of Monetary Policy in the Great Inflation**

*by*Thomas A. Lubik & Christian Matthes

**Fast Computation of the Deviance Information Criterion for Latent Variable Models**

*by*Joshua C.C. Chan & Angelia L. Grant

**International Capital Flows and the Boom-Bust Cycle in Spain**

*by*Jan in'tVeld & Robert Kollmann & Beatrice Pataracchia & Marco Ratto & Werner Roeger

**Conditional Forecasts and Scenario Analysis with Vector Autoregressions for Large Cross-Sections**

*by*Martha Banbura & Domenico Giannone & Michèle Lenza

**A multi-country DSGE model with incomplete Exchange Rate Pass-through: application for the Euro area**

*by*Tovonony Razafindrabe

**The importance of the exchange rate regime in limiting current account imbalances in sub-Saharan African countries**

*by*Blaise Gnimassoun

**Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices**

*by*Lukasz Gatarek & Lennart Hoogerheide & Herman K. van Dijk

**On diversity under a Bayesian nonparametric dependent model**

*by*Rousseau, Judith & Mengersen, Kerrie & Arbel, Julyan

**On consistency issues in Bayesian nonparametric testing - a review**

*by*Rousseau, Judith

**On Convergence Rates of Empirical Bayes Procedures**

*by*Scricciolo, Catia & Rousseau, Judith & Rivoirard, Vincent & Donnet, Sophie

**Jeffreys Priors for Mixture Models**

*by*Robert, Christian P. & Grazian, Clara

**Heterogeneous effects of risk-taking on bank efficiency : a stochastic frontier model with random coefficients**

*by*Miguel Sarmiento & Jorge E. Galán

**Forecasting Equity Premia using Bayesian Dynamic Model Averaging**

*by*Joscha Beckmann & Rainer Schüssler

**International Capital Flows and the Boom-Bust Cycle in Spain**

*by*In 'T Veld, Jan & Kollmann, Robert & Pataracchia, Beatrice & Ratto, Marco & Roeger, Werner

**Constrained Discretion and Central Bank Transparency**

*by*Bianchi, Francesco & Melosi, Leonardo

**Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections**

*by*Banbura, Marta & Giannone, Domenico & Lenza, Michele

**Forecasting with DSGE models with financial frictions**

*by*Kolasa, Marcin & Rubaszek, Michał

**An Estimated Small Open Economy Model with Labour Market Frictions**

*by*Sheen, Jeffrey & Wang, Ben Z.

**The role of financial frictions during the crisis: an estimated DSGE model**

*by*Merola, Rossana

**Which team will win the 2014 FIFA World Cup? A Bayesian approach for dummies**

*by*Andrés Ramírez Hassan & Johnatan Cardona Jiménez

**Banking Fragility in Colombia: An Empirical Analysis Based on Balance Sheets**

*by*Ignacio Lozano & Alexander Guarín

**Adaptive Markov chain Monte Carlo sampling and estimation in Mata**

*by*Matthew J. Baker

**Point and Density Forecasts for the Euro Area Using Bayesian VARs**

*by*Tim Oliver Berg & Steffen Henzel

**A DSGE Model of China**

*by*Dai, Li & Minford, Patrick & Zhou, Peng

**Inefficiency persistence and heterogeneity in Colombian electricity distribution utilities**

*by*Jorge E. Galán & Michael G. Pollitt

**Higher order beliefs and the dynamics of exchange rates**

*by*F. Pancotto & G. Pignataro & D. Raggi

**Density forecasts with MIDAS models**

*by*Knut Are Aastveit & Claudia Foroni & Francesco Ravazzolo

**Identification of financial factors in economic fluctuations**

*by*Francesco Furlanetto & Francesco Ravazzolo & Samad Sarferaz

**Respect for experts or respect for unanimity? The liberal paradox in probabilistic opinion pooling**

*by*Frederik Herzberg

**Aggregating infinitely many probability measures**

*by*Frederik Herzberg

**Contrasting Bayesian and Frequentist Approaches to Autoregressions: the Role of the Initial Condition**

*by*Marek Jarociński & Albert Marcet

**Predictive Inference on Finite Populations Segmented in Planned and Unplanned Domains**

*by*Juan Carlos Martínez-Ovando & Sergio I. Olivares-Guzmán & Adriana Roldán-Rodríguez

**Monetary Policy Transmission during Financial Crises: An Empirical Analysis**

*by*Tatjana Dahlhaus

**Forecasting with the Standardized Self-Perturbed Kalman Filter**

*by*Stefano Grassi & Nima Nonejad & Paolo Santucci de Magistris

**Noncausal Bayesian Vector Autoregression**

*by*Markku Lanne & Jani Luoto

**The Bayesian Modelling Of Inflation Rate In Romania**

*by*Mihaela Simionescu (Bratu)

**The Impact of Monetaru Policy on the Romanian Economy**

*by*Dedu, Vasile & Stoica, Tiberiu

**Econometric estimation of a structural macroeconomic model for the Russian economy**

*by*Polbin, Andrey

**Size, Trend, and Policy Implications of the Underground Economy**

*by*Renzo Orsi & Davide Raggi & Francesco Turino

**Dynamic Linkages in the Pairs (GBP/EUR, USD/EUR) and (GBP/USD, EUR/USD): How Do They Change During a Day?**

*by*Małgorzata Doman & Ryszard Doman

**Divergent Priors and Well Behaved Bayes Factors**

*by*Rodney W. Strachan & Herman K. van Dijk

**Profile of earners and remittances in Mexico: a relative deprivation approach**

*by*Calderón Villarreal Cuauhtémoc & Huesca Reynoso Luis

**A Bayesian Analysis of Unobserved Heterogeneity for Unemployment Duration Data in the Presence of Interval Censoring**

*by*Mojtaba Ganjali & T. Baghfalaki & D. Berridge

**One Swallow Doesn't Make a Summer: A Comment on Zacharias Maniadis, Fabio Tufano, and John List**

*by*Mitesh Kataria

**Bubbles over the U.S. business cycle: A macroeconometric approach**

*by*Luik, Marc-André & Wesselbaum, Dennis

**Time-varying equilibrium rates in small open economies: Evidence for Canada**

*by*Berger, Tino & Kempa, Bernd

**An estimated search and matching model of the Japanese labor market**

*by*Lin, Ching-Yang & Miyamoto, Hiroaki

**The determinants of vulnerability to the global financial crisis 2008 to 2009: Credit growth and other sources of risk**

*by*Feldkircher, Martin

**Returns to scale at large banks in the US: A random coefficient stochastic frontier approach**

*by*Feng, Guohua & Zhang, Xiaohui

**The volatility-confined LPPL model: A consistent model of ‘explosive’ financial bubbles with mean-reverting residuals**

*by*Lin, L. & Ren, R.E. & Sornette, D.

**Demand and supply drivers of foreign currency loans in CEECs: A meta-analysis**

*by*Crespo Cuaresma, Jesús & Fidrmuc, Jarko & Hake, Mariya

**Maximum likelihood estimation of partially observed diffusion models**

*by*Kleppe, Tore Selland & Yu, Jun & Skaug, Hans J.

**Beta-product dependent Pitman–Yor processes for Bayesian inference**

*by*Bassetti, Federico & Casarin, Roberto & Leisen, Fabrizio

**Bayesian regression with heteroscedastic error density and parametric mean function**

*by*Pelenis, Justinas

**A new approach to Bayesian hypothesis testing**

*by*Li, Yong & Zeng, Tao & Yu, Jun

**Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture**

*by*Jensen, Mark J. & Maheu, John M.

**Marginal likelihood for Markov-switching and change-point GARCH models**

*by*Bauwens, Luc & Dufays, Arnaud & Rombouts, Jeroen V.K.

**An alternative quasi likelihood approach, Bayesian analysis and data-based inference for model specification**

*by*Kim, Jae-Young

**Time-varying sparsity in dynamic regression models**

*by*Kalli, Maria & Griffin, Jim E.

**Bayesian endogeneity bias modeling**

*by*Montes-Rojas, Gabriel & Galvao, Antonio F.

**Forecasting China's foreign exchange reserves using dynamic model averaging: The roles of macroeconomic fundamentals, financial stress and economic uncertainty**

*by*Gupta, Rangan & Hammoudeh, Shawkat & Kim, Won Joong & Simo-Kengne, Beatrice D.

**Multilateral adjustment, regime switching and real exchange rate dynamics**

*by*Bailliu, Jeannine & Dib, Ali & Kano, Takashi & Schembri, Lawrence

**Forecasting with a state space time-varying parameter VAR model: Evidence from the Euro area**

*by*Bekiros, Stelios

**Spatial patterns of flypaper effects for local expenditure by policy objective in Japan: A Bayesian approach**

*by*Kakamu, Kazuhiko & Yunoue, Hideo & Kuramoto, Takashi

**Structural evolution of the postwar U.S. economy**

*by*Liu, Yuelin & Morley, James

**A new look at variation in employment growth in Canada: The role of industry, provincial, national and external factors**

*by*Campolieti, Michele & Gefang, Deborah & Koop, Gary

**Recovering default risk from CDS spreads with a nonlinear filter**

*by*Guarin, Alexander & Liu, Xiaoquan & Ng, Wing Lon

**Redes bayesianas aplicadas a problemas de credit scoring. Una aplicación práctica**

*by*Mauricio Beltrán Pascual & Azahara Muñoz Martínez & Ángel Muñoz Alamillos

**Regularizing Priors for Linear Inverse Problems**

*by*Florens, Jean-Pierre & Simoni, Anna

**DSGE Model-Based Forecasting of Modeled and Non-Modeled Inflation Variables in South Africa**

*by*Rangan Gupta & Patrick T. kanda & Mampho P. Modise & Alessia Paccagnini

**Forecasting Indian Macroeconomic Variables Using Medium-Scale VAR Models**

*by*Goodness C. Aye & Pami Dua & Rangan Gupta

**Forecasting China’s Foreign Exchange Reserves Using Dynamic Model Averaging: The Role of Macroeconomic Fundamentals, Financial Stress and Economic Uncertainty**

*by*Rangan Gupta & Shawkat Hammoudeh & Won Joong Kim & Beatrice D. Simo-Kengne

**Forecasting South African Macroeconomic Data with a Nonlinear DSGE Model**

*by*Mehmet Balcilar & Rangan Gupta & Kevin Kotze

**Forecasting The Rand-Dollar And Rand-Pound Exchange Rates Using Dynamic Model Averaging**

*by*Riane de Bruyn & Rangan Gupta & Renee van Eyden

**A Time-Varying Approach to Analysing Fiscal Policy and Asset Prices in South Africa**

*by*Rangan Gupta & Charl Jooste & Kanyane Matlou

**Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model**

*by*Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk

**Posterior-Predictive Evidence on US Inflation using Extended Phillips Curve Models with Non-filtered Data**

*by*Nalan Basturk & Cem Cakmakli & Pinar Ceyhan & Herman K. van Dijk

**Sequential Monte Carlo on large binary sampling spaces**

*by*Schäfer, Christian & Chopin, Nicolas

**An Adaptive Interacting Wang–Landau Algorithm for Automatic Density Exploration**

*by*Doucet, Arnaud & Del Moral, Pierre & Jacob, Pierre E. & Bornn, Luke

**Estimation of covariance matrices based on hierarchical inverse-Wishart priors**

*by*Bouriga, Mathilde & Féron, Olivier

**Bayesian Optimal Adaptive Estimation Using a Sieve Prior**

*by*Arbel, Julyan & Gayraud, Ghislaine & Rousseau, Judith

**Discussion**

*by*Robert, Christian P.

**The Theory That Would Not Die: How Bayes’ Rule Cracked the Enigma Code, Hunted Down Russian Submarines, and Emerged Triumphant from Two Centuries of Controversy by Sharon Bertsch McGrayne**

*by*Robert, Christian P.

**Rejoinder: The Anti-Bayesian Moment and Its Passing**

*by*Robert, Christian P. & Gelman, Andrew

**Driving Forces of the Swiss Output Gap**

*by*Stefan Leist

**Revisiting the link between growth and federalism: A Bayesian model averaging approach**

*by*Asatryan, Zareh & Feld, Lars P.

**Melting down: Systemic financial instability and the macroeconomy**

*by*Hartmann, Philipp & Hubrich, Kirstin & Kremer, Manfred & Tetlow, Robert J.

**The Directional Identification Problem in Bayesian Factor Analysis: An Ex-Post Approach**

*by*Pape, Markus & Aßmann, Christian & Boysen-Hogrefe, Jens

**Endogenous Firm Entry in an Estimated Model of the U.S. Business Cycle**

*by*Offick, Sven & Winkler, Roland

**Examining the Structure of Spatial Health Effects using Hierarchical Bayes Models**

*by*Eibich, Peter & Ziebarth, Nicolas

**Point and Density Forecasts for the Euro Area Using Many Predictors: Are Large BVARs Really Superior?**

*by*Berg, Tim Oliver & Henzel, Steffen

**Atypical behavior of credit: Evidence from a monetary VAR**

*by*Afanasyeva, Elena

**Black swans, dragon kings, and Bayesian risk management**

*by*Haas, Armin & Onischka, Mathias & Fucik, Markus

**Bayesian estimation of a DSGE model with asset prices**

*by*Kliem, Martin & Uhlig, Harald

**Model uncertainty in matrix exponential spatial growth regression models**

*by*Manfred M. Fischer & Philipp Piribauer

**Small area estimation of labor productivity for the Italian manufacturing SME cross-classified by region, industry and size**

*by*Enrico Fabrizi & Maria Ferrante & Carlo Trivisano

**A Bayesian space-time approach to identifying and interpreting regional convergence clubs in Europe**

*by*Manfred M. Fischer & James P. LeSage

**Is Decoupling in action?**

*by*Antonio Pesce

**Personal Indebtedness, Community Characteristics And Theft Crime**

*by*Stuart McIntyre

**Adaptive Sticky Generalized Metropolis**

*by*Fabrizio Leisen & Roberto Casarin & David Luengo & Luca Martino

**Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model**

*by*Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk

**Beta-Product Dependent Pitman-Yor Processes for Bayesian Inference**

*by*Federico Bassetti & Roberto Casarin & Fabrizio Leisen

**Bayesian Markov Switching Stochastic Correlation Models**

*by*Roberto Casarin & Marco Tronzano & Domenico Sartore

**Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo Matlab Toolbox**

*by*Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk

**Adaptive Sequential Posterior Simulators for Massively Parallel Computing Environments**

*by*Garland Durham & John Geweke

**Regime Switching Stochastic Volatility with Skew, Fat Tails and Leverage using Returns and Realized Volatility Contemporaneously**

*by*Trojan, Sebastian

**It's all about volatility of volatility: evidence from a two-factor stochastic volatility model**

*by*Stefano Grassi & Paolo Santucci de Magistris

**Estimating US Fiscal and Monetary Interactions in a Time Varying VAR**

*by*Eddie Gerba & Klemens Hauzenberger

**Do happiness indexes truly reveal happiness? Measuring happiness using revealed preferences from migration flows**

*by*Helena Marques & Gabriel Pino & J.D. Tena

**Copula Based Factorization in Bayesian Multivariate Infinite Mixture Models**

*by*Martin Burda & Artem Prokhorov

**Price and wage inflation inertia under time-dependent adjustments**

*by*Di Bartolomeo Giovanni & Di Pietro Marco

**Role of Investment Shocks in Explaining Business Cycles in Turkey**

*by*Canan Yuksel

**Structural Evolution of the Postwar U.S. Economy**

*by*Yuelin Liu & James Morley

**Structural Evolution of the Postwar U.S. Economy**

*by*Yuelin Liu & James Morley

**Bayesian Analysis of Nonlinear Exchange Rate Dynamics and the Purchasing Power Parity Persistence Puzzle**

*by*Ming Chien Lo & James Morley

**On Habit and the Socially Efficient Level of Consumption and Work Effort**

*by*Paul Levine & Peter McAdam & Peter Welz

**Personal indebtedness, community characteristics and theft crimes**

*by*McIntyre Stuart G

**A new index of financial conditions**

*by*Gary Koop & Dimitris Korobilis

**Using VARs and TVP-VARs with Many Macroeconomic Variables**

*by*Gary Koop

**Model Switching and Model Averaging in Time-Varying Parameter Regression Models**

*by*Miguel Belmonte & Gary Koop

**Important Channels of Transmission Monetary Policy Shock in South Africa**

*by*Nombulelo Gumata, Alain Kabundi and Eliphas Ndou

**Monetary Policy Response to Foreign Aid in an Estimated DSGE Model of Malawi**

*by*Chance Mwabutwa, Manoel Bittencourt and Nicola Viegi

**Comparison of Parametric and Semi-Parametric Binary Response Models**

*by*Xiangjin Shen & Shiliang Li & Hiroki Tsurumi

**Object-oriented bayesian networks for complex quality management problems**

*by*Flaminia Musella & Paola Vicard

**Bayesian Forecasting with a Factor-Augmented Vector Autoregressive DSGE model**

*by*Stelios D. Bekiros & Alessia Paccagnini

**Does Central Bank Independence Really Matter? Re-Assessing the Role of the Independence of Monetary Policymakers in Macroeconomic Outcomes**

*by*Athina Zervoyianni & Athanasios Anastasiou & Andreas Anastasiou

**Estimating and Identifying Empirical BVAR-DSGE Models for Small Open Economies**

*by*Tim Robinson

**Assessing the Impacts of Non-Ricardian Households in an Estimated New Keynesian DSGE Model**

*by*Marto, Ricardo

**Forecasting with Factor Models: A Bayesian Model Averaging Perspective**

*by*Dimitris, Korobilis

**Psychology in econometric models: conceptual and methodological foundations**

*by*Thum, Anna-Elisabeth

**Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis**

*by*Jensen, Mark J & Maheu, John M

**Model uncertainty and expected return proxies**

*by*Jäckel, Christoph

**The `Pile-up Problem' in Trend-Cycle Decomposition of Real GDP: Classical and Bayesian Perspectives**

*by*Kim, Chang-Jin & Kim, Jaeho

**Bayesian Inference in Regime-Switching ARMA Models with Absorbing States: The Dynamics of the Ex-Ante Real Interest Rate Under Structural Breaks**

*by*Kim, Chang-Jin & Kim, Jaeho

**On the tracking and replication of hedge fund optimal investment portfolio strategies in global capital markets in presence of nonlinearities, applying Bayesian filters: 1. Stratanovich – Kalman – Bucy filters for Gaussian linear investment returns distribution and 2. Particle filters for non-Gaussian non-linear investment returns distribution**

*by*Ledenyov, Dimitri O. & Ledenyov, Viktor O.

**Monetary-Fiscal Policy Interactions: Interdependent Policy Rule Coefficients**

*by*Gonzalez-Astudillo, Manuel

**Vector Autoregression with Mixed Frequency Data**

*by*Qian, Hang

**Labour Market Dynamics in Australia**

*by*Wesselbaum, Dennis

**Bayesian Approach and Identification**

*by*Kociecki, Andrzej

**A New Index of Financial Conditions**

*by*Koop, Gary & Korobilis, Dimitris

**On the pricing and hedging of options for highly volatile periods**

*by*El-Khatib, Youssef & Hatemi-J, Abdulnasser

**Regional income convergence in India: A Bayesian Spatial Durbin Model approach**

*by*Soundararajan, Pushparaj

**Bayesian Model Averaging and Jointness Measures for gretl**

*by*Blazejowski, Marcin & Kwiatkowski, Jacek

**An Estimate of the Degree of Interconnectedness between European Regions: A Bayesian Model Averaging Approach**

*by*Davide fiaschi & Angela Parenti

**To Hold Out or Not to Hold Out**

*by*Frank Schorfheide & Kenneth I. Wolpin

**Semi-Parametric Inference in Dynamic Binary Choice Models**

*by*Andriy Norets & Xun Tang

**Estimating Dynamic Equilibrium Models with Stochastic Volatility**

*by*Jesus Fernandez-Villaverde & Pablo Guerrón-Quintana & Juan F. Rubio-Ramírez

**Signaling Effects of Monetary Policy**

*by*Leonardo Melosi

**Dissecting the dynamics of the US trade balance in an estimated equilibrium model**

*by*Punnoose Jacob & Gert Peersman

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*by*BAUWENS, Luc & BOS, Charles S. & VAN DIJK, Herman K.

**Stochastic Volatility: Univariate and Multivariate Extensions**

*by*Éric Jacquier & Nicholas G. Polson & Peter E. Rossi

**Testing for negativity in a demand system: A Bayesian approach**

*by*Hideo Kozumi & Noriko Hashimoto & Hikaru Hasegawa

**Análisis de robustez de los modelos bayesianos para Auditoría de Cuentas: La independencia entre Tasa y Cantidad de Error1**

*by*MARTEL ESCOBAR, Mª C. & HERNÁNDEZ BASTIDA, A. & VÁZQUEZ POLO, F. J.

**A Dynamic Economy with Costly Price Adjustments**

*by*Leif Danziger

**Halandósági táblák becslése bayesi módszerekkel**

*by*Péter Gál

**bayesian Estimation of the Reduced Rank Regression Model without Ordering Restrictions**

*by*Strachan, R.W.

**A Bayesian Approach for Measuring Economies of Scale with Application to Large Canadian Banks**

*by*M.W. Luke Chan & Dean C. Mountain & Dading Li

**The Equity Premium and Structural Breaks**

*by*Pastor, L. & Stambaugh, R.F.

**Costs of Equity Capital and Model Mispricing**

*by*Pastor, L. & Stambaugh, R.F.

**Games with Incomplete Information**

*by*Nomia, O.

**Bayesian Evaluation of Non-Admissible Conditioning: The Case of Fisher Test**

*by*Mouchart, M. & Scheihing, E.

**Bayesian Evaluation of a Semi-Parametric Binary Response Model**

*by*Scheihing, E. & Mouchart, M.

**Multiple Hypotheses Testing with Partial Prior Information**

*by*Zhang, J.

**Bayesian Inference for the Mover-Stayer Model of Continuous Time**

*by*Fougere, D. & Kamionka, T.

**Simulation of Posterior Distributions in Nonparametric Censored Analysis**

*by*Florens, J.-P. & Rolin, J.-M.

**Unemployment Dynamics Across OECD Countries**

*by*Balakrishnan, R. & Michelacci, C.

**Bayesian Analysis of Nonlinear Time Series Models with a Threshold**

*by*Lubrano, M.

**The Expectations Hypothesis of the Term Structure and Time Varying Risk Premia: a Panel Data Approach**

*by*Harris, R.

**Impulse Response Priors for Discriminating Structural Vector Autoregressions**

*by*Mark Dwyer

**Benchmark Priors for Bayesian Model Averaging**

*by*Carmen Fernandez & Eduardo Ley & Mark F.J. Steel

**MCMC Methods for Fitting and Comparing Multinomial Response Models**

*by*Siddhartha Chib & Edward Greenberg & Yuxin Chen

**Bayesian Analysis of Road Accidents: A General Framework for the Multinomial Case**

*by*Bolduc, Denis & Bonin, Sylvie

**Jeffreys Prior Analysis of the Simultaneous Equations Model in the Case with n+1 Endogenous Variables**

*by*John C. Chao & Peter C.B. Phillips

**Wald Revisited: The Optimal Level of Experimentation**

*by*Giuseppe Moscarini & Lones Smith

**Smooth transition GARCH models: a Bayesian perspective**

*by*LUBRANO, Michel

**A Bayesian approach to the econometrics of first-price auctions**

*by*ALBANO, Gian Luigi & JOUNEAU, Fréféric

**Statistics as a tool for the development of speech recognition automatic systems**

*by*José Luciano Maldonado

**Un Análisis de Sensibilidad del Proceso de Tarificación en los Seguros Generales**

*by*Gómez Déniz, E. & Hernández Bastida, A. & Vázquez Polo, F.J.

**Crecimiento regional en Colombia: ¿Persiste la desigualdad?**

*by*Ricardo Rocha & Alejandro Vivas

**Prediction Intervals for Arima Models**

*by*Snyder, R.D. & Ord, J.K. & Koehler, A.B.

**Fractional Cointegration : Bayesian Inferences Using a Jeffreys Prior**

*by*Martin, G.M.

**Private and Public Consumption Expenditure Substitutability : Bayesian Estimates for the G7 Countries**

*by*Martin, G.M. & Martin, V.L.

**Bayesian Arbitrage Threshold Analysis**

*by*Forbes, C.S. & Kalb, G.R.J. & Kofman, P.

**Bayesian Approaches to Segmenting A Simple Time Series**

*by*Oliver, J.J. & Forbes, C.S.

**Bayesian Semiparametric Regression: An Exposition and Application to Print Advertising Data**

*by*Smith, M. & Mathur, S.K. & Kohn, R.

**Costs of Equity from Factor-Based Models**

*by*Pastor, L. & Stambaugh, R.F.

**Nonparametric Bayesian Survival Analysis**

*by*Rolin, J-M

**The Turnpike Property and the Central Limit Theorem in Stochastic Models of Economic Dynamics**

*by*Flam, S.D. & Evstigneev, I.V.

**Bayesian Option Pricing Using Asymmetric GARCH**

*by*Bauwens, L. & Lubrano, M.

**Tests of the Expectations Hypothesis of the Term Structure in a Model with Bayesian Learning**

*by*Bulkley, George & Harris, Richard & Weller, Paul

**Patterns, Types, and Bayesian Learning**

*by*Matthew O. Jackson & Ehud Kalai & Rann Smorodinsky

**Statistical Modeling of Fishing Activities in the North Atlantic**

*by*Carmen Fernandez & Eduardo Ley & Mark F.J. Steel

**Testing for convergence clubs in income per-capita: A predictive density approach**

*by*Fabio Canova

**Asset Prices with Contingent Preferences**

*by*Gordon, Stephen & St-Amour, Pascal

**Estimating a Continuous-Time Asset Pricing Model with State-Dependent Risk Aversion**

*by*Gordon, Stephen & St-Amour, Pascal

**A Stochastic Frontier Analysis of Output Level and Growth in Poland and Western Economies**

*by*Osiewalski, J. & Koop, G. & Steel, M.F.J.

**Bayesian option pricing using asymmetric GARCH**

*by*BAUWENS, LUC & LUBRANO, Michel

**Cotas para el error total de una contabilidad: Aproximaciones bayesianas basadas en la distribución multinomial**

*by*Hernández Bastida, Agustín & Moreno Carretero, Mª Francisca & Vázquez Polo, Francisco José

**Power of tests in Binary Response Models**

*by*Savin, N.E. & Wurtz, A.

**The Effect of Nuisance Parameters on the Power of LM Tests in Logit and Probit Models**

*by*Savin, N.E. & Wurtz, A.

**Bootstrap Critical Values for Tests Based on the Smoothed Maximum Score Estimator**

*by*Horowitz, J.L.

**Bayesian Synthesis or Likelihood Synthesis - What Does the Borel Paradox Say?**

*by*Schweder, T. & Hjort, N.L.

**Analyzing Investments Whose Histories Differ in Length**

*by*Stambaugh, R-F

**Bayesian Encompassing Specification Tests of a Parametric Model Against a Non Parametric Alternative**

*by*Florens, J-P & Richard, J-F & Rolin, J-M

**Classical and Bayesian Inference Robustness in Multivariate Regression models**

*by*Fernandez, C & Osiewalski, J & Steel, M-F-J

**Hierarchical Bayes Models with Many Instrumental Variables**

*by*Chamberlain, G & Imbens, G-W

**Nonparametric Applications of Bayesian Inference**

*by*Chamberlain, G & Imbens, G-W

**Interacive Implementation**

*by*Baliga, S. & Sjostrom, T.

**Econometric Models of Option Pricing Errors**

*by*Renault, E.

**Bayesian Inference on GARCH Models Using the Gibbs Sampler**

*by*Bauwens, L. & Lubrano, M.

**Properties of the ADF Unit Root Test for Models with Trends and Cycles**

*by*Barthelemy, F. & Lubrano, M.

**Bayesian Analysis of Nonlinear Time Series Models with Threshold**

*by*Lubrano, M.

**Properties of Unit Root Tests for Models with Trend and Cycles**

*by*Barthelemy, F. & Lubrano, M.

**Divisible Conspicuous Good**

*by*Bosi, S.

**Learning Standards of Social Behaviour in a Stationary Society**

*by*Gilli, M.

**Transcending the Logic of Private Ownership: Chinese Enterprise Reform VS. Privatisation**

*by*Xiaoqiang, W.

**The Diffusion of New Crop Varieties**

*by*Fischer, Alistair J. & Anne J. Arnold

**Global Stability in Spite of "Local Instability" with Learning in General Equilibrium Models: A Generalization**

*by*Chatterji, S. & Chattopadhyay, S.

**Bayesian learning and expectations formation: Anything goes**

*by*Albert, Max

**Forecasting market shares using VAR and BVAR models: A comparison of their forecasting performance**

*by*Francisco F. R. Ramos

**ARMA-GARCH Models: Bayes Estimation Versus MLE, and Bayes Non-stationarity Test**

*by*Teruo Nakatsuma & Hiroki Tsurumi

**On the Use of Panel Data in Bayesian Stochastic Frontier Models**

*by*Fernández, C. & Osiewalski, J. & Steel, M.F.J.

**Research and Productivity**

*by*Jovanovic, B. & Nyarko, Y.

**Stepping Stone Mobility**

*by*Jovanovic, B. & Nyarko, Y.

**Learning by Doing and the Choice of Technology**

*by*Jovanovic, B. & Nyarko, Y.

**Classroom Games: Understanding Bayes' Rule**

*by*Charles A. Holt & Lisa R. Anderson

**Canadian Excess Returns and State-Dependent Risk Aversion**

*by*St-Amour, P.

**Bayesian Analysis of Road Accidents: Accounting for Deterministic Heterogeneity**

*by*Bolduc, D. & Bonin, S.

**Stochastic Volatility**

*by*Ghysels, E. & Harvey, A. & Renault, E.

**Bayesian Analysis of Seasonal Unit Roots and Seasonal Mean Shifts**

*by*Franses, Ph.H.B.F. & Hoek, H. & Paap, R.

**Acceptable Likelihood and Bayesian Inference with Retrospection**

*by*Faynzilberg, P.S.

**Un modelo macroeconométrico trimestral para la economía española**

*by*Luis J. Álvarez & Fernando C. Ballabriga & Javier Jareño

**Perfect Baysian Implementation in Economic Environments**

*by*Brusco, S.

**Intermediate Statistics and Econometrics: A Comparative Approach**

*by*Dale J. Poirier

**Bayesian Analysis of Long Memory and Persistence using ARFIMA Models**

*by*Gary Koop & Eduardo Ley & Jacek Osiewalski & Mark F.J. Steel

**On the Estimation of Demand Systems Through Consumption Efficiency**

*by*Eduardo Ley & Mark F.J. Steel

**Chocs externes et ajustements des taux de change réels européens**

*by*Bouoiyour, Jamal & Rey, Serge

**Posterior analysis of stochastic volatility models with flexible tails**

*by*Steel, M.F.J.

**Bayesian Tests for Co-Integration in the Case of Structural Breaks : An Application to the Analysis of Wage Moderation in France**

*by*Michel LUBRANO

**The Poor Stay Poor: Non-Convergence Across Countries and Regions**

*by*Canova, Fabio & Marcet, Albert

**Are Interest Rates Responsible for Unemployment in the Eighties ? A Bayesian Analysis of Cointegrated Relationship with a Regime Shift**

*by*de la Croix, David & Lubrano, Michel

**BVAR models in the context of cointegration: A Monte Carlo experiment**

*by*Luis J. Álvarez & Fernando C. Ballabriga

**Advances in Random Utility Models**

*by*Horowitz, Joel & Keane, Michael & Bolduc, Denis & Divakar, Suresh & Geweke, John & Gonul, Fosun & Hajivassiliou, Vassilis & Koppelman, Frank & Matzkin, Rosa & Rossi, Peter & Ruud, Paul

**Numerical Aspects of Bayesian VAR-modeling**

*by*Kadiyala, K. Rao & Karlsson, Sune

**Hospital efficiency analysis through individual effects: A Bayesian approach**

*by*Koop, G. & Osiewalski, J. & Steel, M.F.J.

**The Empirics of Economic Growth in Previously Centrally Planned Economies**

*by*Leamer, Edward & Taylor, Mark P

**Bayesian Inference for Periodic Regime-Switching Models**

*by*Eric Ghysels & Robert E. McCulloch & Ruey S. Tsay

**Sticking It Out: Entrepreneurial Survival and Liquidity Constraints**

*by*Douglas Holtz-Eakin & David Joulfaian & Harvey Rosen

**Posterior Odds Testing for a Unit Root with Data-Based Model Selection**

*by*Peter C.B. Phillips & Werner Ploberger

**Bayesian Routes and Unit Roots: de rebus prioribus semper est disputandum**

*by*Peter C.B. Phillips

**Comment on 'To Criticize the Critics,' by Peter C. B. Phillips**

*by*Christopher A. Sims

**Time Series Modelling with a Bayesian Frame of Reference: 1. Concepts and Illustrations**

*by*Peter C.B. Phillips & Werner Ploberger

**A Bayesian Analysis of Trend Determination in Economic Time Series**

*by*Eric Zivot & Peter C.B. Phillips

**The Long-Run Australian Consumption Function Reexamined: An Empirical Exercise in Bayesian Influence**

*by*Peter C.B. Phillips

**Seasonality in Regression: An Application of Smoothness Priors**

*by*Mark Gersovitz & James G. MacKinnon

**Some discussions of D. Fearnhead and D. Prangle's Read Paper "Constructing summary statistics for approximate Bayesian computation: semi-automatic approximate Bayesian computation"**

*by*Singh, Sumeetpal S. & Sedki, Mohammed & Jasra, Ajay & Pudlo, Pierre & Robert, Christian P. & Lee, Anthony & Marin, Jean-Michel & Kosmidis, Ioannis & Girolami, Mark & Andrieu, Christophe & Cornebise, Julien & Doucet, Arnaud & Barthelme, Simon & Chopin, Nicolas

**Book reviews**

*by*Robert, Christian P.

**Maximum Lilkelihood and Restricted Maximum Likelihood Estimation for a Class of Gaussian Markov Random Fields**

*by*Victor De Oliveira

**Bayesian Analysis Of Conditional Autoriegressive Models**

*by*Victor De Oliveira

**Normalized Power Prior Bayesian Analysis**

*by*Keying Ye & Yuyan Duan

**Bayesian Spatial Modeling of Housing Prices Subject to a Localized Externality**

*by*Mark D. Ecker & Victor De Oliveira

**A Study of the Probit Model with Latent Variables in Phase I Clinical Trials**

*by*Xiaobin Yang & Keying Ye & Yanping Wang

**Simulation-based Estimation of Contingent Claims Prices**

*by*Peter C.B.Phillips & Jun Yu

**Robust Deviance Information Criterion for Latent Variable Models**

*by*Yong Li & Zeng Tao & Jun Yu

**Evaluating Labor Market Targeted Fiscal Policies in High Unemployment EZ Countries**

*by*Elton Beqiraj & Massimiliano Tancioni

**Financial Frictions, Financial Shocks, and Aggregate Volatility**

*by*Cristina Fuentes-Albero

**Forecasting euro exchange rates: How much does model averaging help?**

*by*Jesus Crespo Cuaresma

**A new index of financial conditions**

*by*Gary Koop & Dimitris Korobilis

**Method For Determining And Eliminating The Drivers Of Non-Value Added Cost Due To Product Complexity And Process Parameters**

*by*Michael Louis George

**Extreme-quantile tracking for financial time series**

*by*Valérie CHAVEZ-DEMOULIN & Paul Embrechts & Sylvain Sardy

**Portfolio Allocation for European Markets with Predictability and Parameter Uncertainty**

*by*Eric JONDEAU & Michael ROCKINGER

**Frailty Correlated Default**

*by*Darrell DUFFIE & Andreas ECKNER & Guillaume HOREL & Leandro SAITA

**Learning about Beta: Time-Varying Factor Loadings, Expected Returns,and the Conditional CAPM**

*by*Francesco FRANZONI & Tobias ADRIAN

**Inferring Fundamental Value and Crash Nonlinearity from Bubble Calibration**

*by*Wanfeng YAN & Ryan WOODARD & Didier SORNETTE

**How Fast Can the New Economy Grow? A Bayesian Analysis of the Evolution of Trend Growth**

*by*Timothy Cogley