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Citations for "Bayesian Inference in Econometric Models Using Monte Carlo Integration"

by Geweke, John

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  1. Dimitrios Christelis & Dimitris Georgarakos, 2008. "Investing at Home and Abroad: Different Costs, Different People?," CSEF Working Papers 188, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, revised 10 Jan 2013.
  2. Steel, M.F.J., 1991. "Bayesian Inference in Time Series," Papers 9153, Tilburg - Center for Economic Research.
  3. Neil Shephard & Siem Jan Koopman, 2002. "Testing the assumptions behind the use of importance sampling," Economics Series Working Papers 2002-W17, University of Oxford, Department of Economics.
  4. Susanne Schennach & James Heckman & Flavio Cunha, 2007. "Estimating the Technology of Cognitive and Noncognitive Skill Formation," 2007 Meeting Papers 973, Society for Economic Dynamics.
  5. W. Kuiper & Anton Cozijnsen, 2011. "The Performance of German Firms in the Business-Related Service Sectors Revisited: Differential Evolution Markov Chain Estimation of the Multinomial Probit Model," Computational Economics, Society for Computational Economics, vol. 37(4), pages 331-362, April.
  6. Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez, 2006. "Estimating Macroeconomic Models: A Likelihood Approach," NBER Technical Working Papers 0321, National Bureau of Economic Research, Inc.
  7. Ib Thomsen & Li-Chun Zhang & Joseph Sexton, 2000. "Markov Chain Generated Profile Likelihood Inference under Generalized Proportional to Size Non-ignorable Non-response," Discussion Papers 274, Research Department of Statistics Norway.
  8. Michael Chernew & Gautam Gowrisankaran & A. Mark Fendrick, 2001. "Payer Type and the Returns to Bypass Surgery: Evidence from Hospital Entry Behavior," NBER Working Papers 8632, National Bureau of Economic Research, Inc.
  9. Chan, Joshua & Strachan, Rodney, 2012. "Estimation in Non-Linear Non-Gaussian State Space Models with Precision-Based Methods," MPRA Paper 39360, University Library of Munich, Germany.
  10. Richard, Jean-Francois & Zhang, Wei, 2007. "Efficient high-dimensional importance sampling," Journal of Econometrics, Elsevier, vol. 141(2), pages 1385-1411, December.
  11. John Geweke, 1998. "Using simulation methods for Bayesian econometric models: inference, development, and communication," Staff Report 249, Federal Reserve Bank of Minneapolis.
  12. Edward P. Herbst & Frank Schorfheide, 2013. "Sequential Monte Carlo sampling for DSGE models," Finance and Economics Discussion Series 2013-43, Board of Governors of the Federal Reserve System (U.S.).
  13. David Ardia & Nalan Basturk & Lennart Hoogerheide & Herman K. van Dijk, 2010. "A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihoods," Tinbergen Institute Discussion Papers 10-059/4, Tinbergen Institute.
  14. Koop, Gary & Ley, Eduardo & Osiewalski, Jacek & Steel, Mark F. J., 1997. "Bayesian analysis of long memory and persistence using ARFIMA models," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 149-169.
  15. Voicu, Alexandru, 2005. "Employment dynamics in the Romanian labor market. A Markov chain Monte Carlo approach," Journal of Comparative Economics, Elsevier, vol. 33(3), pages 604-639, September.
  16. Fernández, C. & Steel, M.F.J., 1996. "On Bayesian Inference under Sampling from Scale Mixtures of Normals," Discussion Paper 1996-02, Tilburg University, Center for Economic Research.
  17. Jesús Fernández-Villaverde & Juan F Rubio-Ramírez, 2007. "How Structural Are Structural Parameters?," Levine's Bibliography 843644000000000057, UCLA Department of Economics.
  18. Liang, Faming & Zhang, Jian, 2009. "Learning Bayesian networks for discrete data," Computational Statistics & Data Analysis, Elsevier, vol. 53(4), pages 865-876, February.
  19. Geweke, John & Keane, Michael, 2000. "An empirical analysis of earnings dynamics among men in the PSID: 1968-1989," Journal of Econometrics, Elsevier, vol. 96(2), pages 293-356, June.
  20. Patricio Valdivieso & Benjamín Villena-Roldán, 2012. "Participation in Organizations, Trust, and Social Capital Formation: Evidence from Chile," Documentos de Trabajo 293, Centro de Economía Aplicada, Universidad de Chile.
  21. Sugita, Katsuhiro, 2002. "Testing For Cointegration Rank Using Bayes Factors," The Warwick Economics Research Paper Series (TWERPS) 654, University of Warwick, Department of Economics.
  22. David Ardia & Lennart Hoogerheide & Herman K. van Dijk, 2009. "To Bridge, to Warp or to Wrap? A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihoods," Tinbergen Institute Discussion Papers 09-017/4, Tinbergen Institute.
  23. Hottenrott, Hanna & Peters, Bettina, 2012. "Innovative capability and financing constraints for innovation: More money, more innovation?," ZEW Discussion Papers 09-081 [rev.2], ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  24. Christelis, Dimitris & Georgarakos, Dimitris & Haliassos, Michael, 2009. "Stockholding: From participation to location and to participation spillovers," CFS Working Paper Series 2009/02, Center for Financial Studies (CFS).
  25. McCAUSLAND, William & MARLEY, A. A. J., 2013. "Baysesian inference and model comparison for ramdom choice structures," Cahiers de recherche 2013-06, Universite de Montreal, Departement de sciences economiques.
  26. Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2002. "Likelihood-based estimation of latent generalised ARCH structures," Economics Papers 2002-W19, Economics Group, Nuffield College, University of Oxford.
  27. David Ardia & Lennart F. Hoogerheide & Herman K. van Dijk, . "Adaptive Mixture of Student-t Distributions as a Flexible Candidate Distribution for Efficient Simulation: The R Package AdMit," Journal of Statistical Software, American Statistical Association, vol. 29(i03).
  28. Geweke, John F. & Horowitz, Joel L. & Pesaran, M. Hashem, 2006. "Econometrics: A Bird's Eye View," IZA Discussion Papers 2458, Institute for the Study of Labor (IZA).
  29. Christopher Otrok, 2000. "On Measuring the Welfare Cost of Business Cycles," Econometric Society World Congress 2000 Contributed Papers 1094, Econometric Society.
  30. Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2011. "Systemic risk diagnostics: coincident indicators and early warning signals," Working Paper Series 1327, European Central Bank.
  31. Kleibergen, F.R. & Paap, R., 1998. "Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration," Econometric Institute Research Papers EI 9821, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  32. McCausland, William J., 2012. "The HESSIAN method: Highly efficient simulation smoothing, in a nutshell," Journal of Econometrics, Elsevier, vol. 168(2), pages 189-206.
  33. Vasco Cúrdia & Ricardo Reis, 2010. "Correlated Disturbances and U.S. Business Cycles," NBER Working Papers 15774, National Bureau of Economic Research, Inc.
  34. Jurgen A. Doornik & David F. Hendry & Neil Shephard, . "Computationally-intensive Econometrics using a Distributed Matrix-programming Language," Economics Papers 2001-W22, Economics Group, Nuffield College, University of Oxford.
  35. Garland Durham & John Geweke, 2013. "Adaptive Sequential Posterior Simulators for Massively Parallel Computing Environments," Working Paper Series 9, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
  36. Ardia, David, 2007. "Bayesian Estimation of a Markov-Switching Threshold Asymmetric GARCH Model with Student-t Innovations," DQE Working Papers 6, Department of Quantitative Economics, University of Freiburg/Fribourg Switzerland, revised 08 Jul 2008.
  37. Bauwens, L. & Bos, C.S. & van Dijk, H.K. & van Oest, R.D., 2003. "Adaptive radial-based direction sampling; Some flexible and robust Monte Carlo integration methods," Econometric Institute Research Papers EI 2003-22, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  38. Fuentes-Albero, Cristina & Melosi, Leonardo, 2013. "Methods for computing marginal data densities from the Gibbs output," Journal of Econometrics, Elsevier, vol. 175(2), pages 132-141.
  39. Li, Kai & Sarkar, Asani & Wang, Zhenyu, 2003. "Diversification benefits of emerging markets subject to portfolio constraints," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 57-80, February.
  40. Villani, Mattias, 2006. "Bayesian point estimation of the cointegration space," Journal of Econometrics, Elsevier, vol. 134(2), pages 645-664, October.
  41. repec:dgr:uvatin:2012026 is not listed on IDEAS
  42. HOOGERHEIDE, Lennart F. & KAASHOEK, Johan F. & VAN DIJK, Herman K., 2005. "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," CORE Discussion Papers 2005029, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  43. Maarten Dossche & Gerdie Everaert, 2005. "Measuring inflation persistence: A structural time series approach," Money Macro and Finance (MMF) Research Group Conference 2005 85, Money Macro and Finance Research Group.
  44. James W. Bono & David H. Wolpert, 2009. "How to Use Decision Theory to Choose Among Mechanisms," Working Papers 2009-11, American University, Department of Economics.
  45. Berger, Tino & Kempa, Bernd, 2014. "Time-varying equilibrium rates in small open economies: Evidence for Canada," Journal of Macroeconomics, Elsevier, vol. 39(PA), pages 203-214.
  46. Liang, Faming, 2009. "On the use of stochastic approximation Monte Carlo for Monte Carlo integration," Statistics & Probability Letters, Elsevier, vol. 79(5), pages 581-587, March.
  47. Laurent Davezies & Xavier D'Haultfoeuille & Denis Fougère, 2009. "Identification of peer effects using group size variation," Econometrics Journal, Royal Economic Society, vol. 12(3), pages 397-413, November.
  48. Roman Liesenfeld & Jean-Francois Richard, 2006. "Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 335-360.
  49. Charles S. Bos & Neil Shephard, 2004. "Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space form," Tinbergen Institute Discussion Papers 04-015/4, Tinbergen Institute.
  50. Ardia, David & Hoogerheide, Lennart F. & van Dijk, Herman K., 2008. "AdMit: Adaptive Mixtures of Student-t Distributions," DQE Working Papers 10, Department of Quantitative Economics, University of Freiburg/Fribourg Switzerland, revised 07 Jan 2009.
  51. Siem Jan Koopman & Rutger Lit & Andr� Lucas, 2014. "The Dynamic Skellam Model with Applications," Tinbergen Institute Discussion Papers 14-032/IV/DSF73, Tinbergen Institute.
  52. Shanken, Jay & Tamayo, Ane, 2012. "Payout yield, risk, and mispricing: A Bayesian analysis," Journal of Financial Economics, Elsevier, vol. 105(1), pages 131-152.
  53. repec:dgr:uvatin:2007027 is not listed on IDEAS
  54. Shmuel Kandel & Robert McCulloch & Robert F. Stambaugh, 1993. "Bayesian Inference and Portfolio Efficiency," NBER Technical Working Papers 0134, National Bureau of Economic Research, Inc.
  55. Heckelei, Thomas & Mittelhammer, Ron C., 2003. "Bayesian bootstrap multivariate regression," Journal of Econometrics, Elsevier, vol. 112(2), pages 241-264, February.
  56. Durham, Garland B., 2006. "Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models," Journal of Econometrics, Elsevier, vol. 133(1), pages 273-305, July.
  57. Siem Jan Koopman & Charles S. Bos, 2002. "Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series," Tinbergen Institute Discussion Papers 02-113/4, Tinbergen Institute.
  58. Troske, Kenneth & Voicu, Alexandru, 2004. "Joint Estimation of Sequential Labor Force Participation and Fertility Decisions Using Markov Chain Monte Carlo Techniques," IZA Discussion Papers 1251, Institute for the Study of Labor (IZA).
  59. Hoogerheide, L.F. & Kaashoek, J.F. & van Dijk, H.K., 2004. "Neural network based approximations to posterior densities: a class of flexible sampling methods with applications to reduced rank models," Econometric Institute Research Papers EI 2004-19, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  60. Brandt, Michael W. & Kang, Qiang, 2004. "On the relationship between the conditional mean and volatility of stock returns: A latent VAR approach," Journal of Financial Economics, Elsevier, vol. 72(2), pages 217-257, May.
  61. Sofia Anyfantaki & Antonis Demos, 2012. "Estimation and Properties of a Time-Varying EGARCH(1,1) in Mean Model," DEOS Working Papers 1228, Athens University of Economics and Business.
  62. Bhattacharya, Sourabh, 2008. "Consistent estimation of the accuracy of importance sampling using regenerative simulation," Statistics & Probability Letters, Elsevier, vol. 78(15), pages 2522-2527, October.
  63. T. Berger & G. Everaert, 2006. "Re-examining the Structural and the Persistence Approach to Unemployment," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 06/383, Ghent University, Faculty of Economics and Business Administration.
  64. John Geweke, 1992. "Priors for macroeconomic time series and their application," Discussion Paper / Institute for Empirical Macroeconomics 64, Federal Reserve Bank of Minneapolis.
  65. Ley, Eduardo & Steel, Mark F J, 1996. "On the Estimation of Demand Systems through Consumption Efficiency," The Review of Economics and Statistics, MIT Press, vol. 78(3), pages 539-43, August.
  66. Frank Kleibergen & Henk Hoek, 1997. "Bayesian Analysis of ARMA Models using Noninformative Priors," Tinbergen Institute Discussion Papers 97-006/4, Tinbergen Institute.
  67. DeJong, David N. & Ingram, Beth F. & Whiteman, Charles H., 2000. "A Bayesian approach to dynamic macroeconomics," Journal of Econometrics, Elsevier, vol. 98(2), pages 203-223, October.
  68. Tim BOLLERSLEV & Ray Y. CHOU & Narayanan JAYARAMAN & Kenneth F. KRONER, 1991. "Les modéles ARCH en finance : un point sur la théorie et les résultats empiriques," Annales d'Economie et de Statistique, ENSAE, issue 24, pages 1-59.
  69. Weiping Kostenko, 2009. "Does Labour Market Achievement Matter for the Wellbeing of Australian Immigrants? Culture and Gender Differences," Melbourne Institute Working Paper Series wp2009n21, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  70. repec:dgr:uvatin:2005002 is not listed on IDEAS
  71. Tsiakas, Ilias, 2008. "Overnight information and stochastic volatility: A study of European and US stock exchanges," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 251-268, February.
  72. repec:dgr:uvatin:2011057 is not listed on IDEAS
  73. Romeo, Charles J., 1997. "Measuring information loss due to inconsistencies in duration data from longitudinal surveys," Journal of Econometrics, Elsevier, vol. 78(2), pages 159-177, June.
  74. David Revelt & Kenneth Train, 2001. "Customer-Specific Taste Parameters and Mixed Logit: Households' Choice of Electricity Supplier," Econometrics 0012001, EconWPA.
  75. repec:dgr:uvatin:2005081 is not listed on IDEAS
  76. Fok, Dennis & Franses, Philip Hans, 2007. "Modeling the diffusion of scientific publications," Journal of Econometrics, Elsevier, vol. 139(2), pages 376-390, August.
  77. Sungbae An & Frank Schorfheide, 2006. "Bayesian analysis of DSGE models," Working Papers 06-5, Federal Reserve Bank of Philadelphia.
  78. Creal, D., 2009. "A survey of sequential Monte Carlo methods for economics and finance," Serie Research Memoranda 0018, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  79. Cogley, Timothy W. & Morozov, Sergei & Sargent, Thomas J., 2003. "Bayesian fan charts for UK inflation: Forecasting and sources of uncertainty in an evolving monetary system," CFS Working Paper Series 2003/44, Center for Financial Studies (CFS).
  80. Rombouts, Jeroen V.K. & Stentoft, Lars, 2014. "Bayesian option pricing using mixed normal heteroskedasticity models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 588-605.
  81. Teruo Nakatsuma & Hiroki Tsurumi, 1999. "Bayesian Estimation of ARMA-GARCH Model of Weekly Foreign Exchange Rates," Asia-Pacific Financial Markets, Springer, vol. 6(1), pages 71-84, January.
  82. Caterina Conigliani, 2008. "A bayesian model averaging approach with non-informative priors for cost-effectiveness analyses in health economics," Departmental Working Papers of Economics - University 'Roma Tre' 0094, Department of Economics - University Roma Tre.
  83. Velu, Raja & Zhou, Guofu, 1999. "Testing multi-beta asset pricing models," Journal of Empirical Finance, Elsevier, vol. 6(3), pages 219-241, September.
  84. Lennart Hoogerheide & Herman K. van Dijk, 2008. "Bayesian Forecasting of Value at Risk and Expected Shortfall using Adaptive Importance Sampling," Tinbergen Institute Discussion Papers 08-092/4, Tinbergen Institute.
  85. DeJong, David Neil & Dharmarajan, Hariharan & Liesenfeld, Roman & Moura, Guilherme V. & Richard, Jean-François, 2009. "Efficient likelihood evaluation of state-space representations," Economics Working Papers 2009,02, Christian-Albrechts-University of Kiel, Department of Economics.
  86. Ilias Tsiakas, 2004. "Analysis of the predictive ability of information accumulated over nights, weekends and holidays," Econometric Society 2004 Australasian Meetings 208, Econometric Society.
  87. HOOGERHEIDE, Lennart F. & VAN DIJK, Herman K. & VAN OEST, Rutger D., 2007. "Simulation based Bayesian econometric inference: principles and some recent computational advances," CORE Discussion Papers 2007015, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  88. John C. Robertson & Ellis W. Tallman & Charles H. Whiteman, 2002. "Forecasting using relative entropy," Working Paper 2002-22, Federal Reserve Bank of Atlanta.
  89. Canova, Fabio & Marrinan, Jane, 1995. "Predicting excess returns in financial markets," European Economic Review, Elsevier, vol. 39(1), pages 35-69, January.
  90. Villani, Mattias & Larsson, Rolf, 2004. "The Multivariate Split Normal Distribution and Asymmetric Principal Components Analysis," Working Paper Series 175, Sveriges Riksbank (Central Bank of Sweden).
  91. Tomasz Wozniak, 2012. "Testing Causality Between Two Vectors in Multivariate GARCH Models," Department of Economics - Working Papers Series 1139, The University of Melbourne.
  92. Liesenfeld, Roman & Richard, Jean-Francois, 2003. "Univariate and multivariate stochastic volatility models: estimation and diagnostics," Journal of Empirical Finance, Elsevier, vol. 10(4), pages 505-531, September.
  93. Siem Jan Koopman & André Lucas & Robert Daniels, 2005. "A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk," Tinbergen Institute Discussion Papers 05-060/4, Tinbergen Institute.
  94. Siem Jan Koopman & Eugenie Hol Uspensky, 2002. "The stochastic volatility in mean model: empirical evidence from international stock markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(6), pages 667-689.
  95. Geweke, John & Amisano, Gianni, 2007. "Hierarchical Markov normal mixture models with applications to financial asset returns," Working Paper Series 0831, European Central Bank.
  96. Asim Ansari & Raghuram Iyengar, 2006. "Semiparametric Thurstonian Models for Recurrent Choices: A Bayesian Analysis," Psychometrika, Springer, vol. 71(4), pages 631-657, December.
  97. Streftaris, George & Worton, Bruce J., 2008. "Efficient and accurate approximate Bayesian inference with an application to insurance data," Computational Statistics & Data Analysis, Elsevier, vol. 52(5), pages 2604-2622, January.
  98. repec:dgr:uvatin:2008092 is not listed on IDEAS
  99. Vassilis A. Hajivassiliou, 1993. "Simulating Normal Rectangle Probabilities and Their Derivatives: The Effects of Vectorization," Cowles Foundation Discussion Papers 1049, Cowles Foundation for Research in Economics, Yale University.
  100. DeJong, D.N. & Ingram, B.F. & Whiteman, C.H., 1995. "Keynes vs. Prescott and Solow: Identifying Sources of Business Cycle Fluctuations," Working Papers 95-06, University of Iowa, Department of Economics.
  101. Otello Ardovino & Luca Pennacchio & Giuseppe Piroli, 2014. "Direct and indirect effects of R&D cooperation on the innovation of Italian firms," EERI Research Paper Series EERI RP 2014/03, Economics and Econometrics Research Institute (EERI), Brussels.
  102. Dong Heon Kim, 2010. "What is an oil shock? Panel data evidence," Discussion Paper Series 1007, Institute of Economic Research, Korea University.
  103. repec:dgr:uvatin:2012009 is not listed on IDEAS
  104. Michael W. Brandt & Qiang Kang, 2002. "On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach," NBER Working Papers 9056, National Bureau of Economic Research, Inc.
  105. repec:dgr:uvatin:2010059 is not listed on IDEAS
  106. Jacquier, Eric & Polson, Nicholas G. & Rossi, P.E.Peter E., 2004. "Bayesian analysis of stochastic volatility models with fat-tails and correlated errors," Journal of Econometrics, Elsevier, vol. 122(1), pages 185-212, September.
  107. Gordon, Stephen & Bélanger, Gilles, 1996. "Échantillonnage de Gibbs et autres applications économétriques des chaînes markoviennes," L'Actualité Economique, Société Canadienne de Science Economique, vol. 72(1), pages 27-49, mars.
  108. John F. Geweke, 1995. "Bayesian reduced rank regression in econometrics," Working Papers 540, Federal Reserve Bank of Minneapolis.
  109. Tomasz Wozniak, 2012. "Granger-causal analysis of VARMA-GARCH models," Economics Working Papers ECO2012/19, European University Institute.
  110. repec:dgr:uvatin:2005117 is not listed on IDEAS
  111. Jeroen Rombouts & Lars Peter Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," CIRANO Working Papers 2009s-19, CIRANO.
  112. Eric Jacquier & Robert Jarrow, . "Model Error in Contingent Claim Models (Dynamic Evaluation)," Rodney L. White Center for Financial Research Working Papers 07-96, Wharton School Rodney L. White Center for Financial Research.
  113. Shiko Maruyama, 2009. "Estimating Sequential-move Games by a Recursive Conditioning Simulator," Discussion Papers 2009-01, School of Economics, The University of New South Wales.
  114. Jenkins, Amanda & Velandia, Margarita M. & Lambert, Dayton M. & Roberts, Roland K. & Larson, James A. & English, Burton C. & Martin, Steven W., 2011. "Factors Influencing the Selection of Precision Farming Information Sources by Cotton Producers," Agricultural and Resource Economics Review, Northeastern Agricultural and Resource Economics Association, vol. 40(2), August.
  115. Geweke, John & Zhou, Guofu, 1996. "Measuring the Pricing Error of the Arbitrage Pricing Theory," Review of Financial Studies, Society for Financial Studies, vol. 9(2), pages 557-87.
  116. Larose, Daniel T. & Dey, Dipak K., 1998. "Modeling publication bias using weighted distributions in a Bayesian framework," Computational Statistics & Data Analysis, Elsevier, vol. 26(3), pages 279-302, January.
  117. Siem Jan Koopman & and Geert Mesters, 2014. "Empirical Bayes Methods for Dynamic Factor Models," Tinbergen Institute Discussion Papers 14-061/III, Tinbergen Institute.
  118. Román, Concepción & Congregado, Emilio & Millán, José María, 2013. "Start-up incentives: Entrepreneurship policy or active labour market programme?," Journal of Business Venturing, Elsevier, vol. 28(1), pages 151-175.
  119. repec:dgr:uvatin:2004015 is not listed on IDEAS
  120. David Roodman, 2011. "Fitting fully observed recursive mixed-process models with cmp," Stata Journal, StataCorp LP, vol. 11(2), pages 159-206, June.
  121. repec:dgr:uvatin:2010046 is not listed on IDEAS
  122. repec:dgr:uvatin:2002113 is not listed on IDEAS
  123. Mark Dwyer, 1998. "Impulse Response Priors for Discriminating Structural Vector Autoregressions," UCLA Economics Working Papers 780, UCLA Department of Economics.
  124. Denis Fougère & Thierry Kamionka, 2002. "Bayesian Inference for the Mover-Stayer Model in Continuous Time with an Application to Labour Market Transition Data," Working Papers 2002-23, Centre de Recherche en Economie et Statistique.
  125. Lennart F. Hoogerheide & Johan F. Kaashoek, 2004. "Functional Approximations to Likelihoods/Posterior Densities: A Neural Network Approach to Efficient Sampling," Computing in Economics and Finance 2004 74, Society for Computational Economics.
  126. Ardia, David & Hoogerheide, Lennart F., 2010. "Efficient Bayesian estimation and combination of GARCH-type models," MPRA Paper 22919, University Library of Munich, Germany.
  127. Adams, Richard H. & Cuecuecha, Alfredo, 2013. "The Impact of Remittances on Investment and Poverty in Ghana," World Development, Elsevier, vol. 50(C), pages 24-40.
  128. Christian Brinch, 2012. "Efficient simulated maximum likelihood estimation through explicitly parameter dependent importance sampling," Computational Statistics, Springer, vol. 27(1), pages 13-28, March.
  129. Zha, Tao, 1999. "Block recursion and structural vector autoregressions," Journal of Econometrics, Elsevier, vol. 90(2), pages 291-316, June.
  130. Davide Pettenuzzo & Allan G. Timmermann & Rossen I. Valkanov, 2008. "Return Predictability under Equilibrium Constraints on the Equity Premium," Working Papers 37, Brandeis University, Department of Economics and International Businesss School.
  131. V.A. Hajivassiliou & P. A. Ruud, 1993. "Classical Estimation Methods for LDV Models Using Simulation," Econometrics 9311002, EconWPA.
  132. John Geweke, 1995. "Monte Carlo simulation and numerical integration," Staff Report 192, Federal Reserve Bank of Minneapolis.
  133. Koopman, Siem Jan & Shephard, Neil & Creal, Drew, 2009. "Testing the assumptions behind importance sampling," Journal of Econometrics, Elsevier, vol. 149(1), pages 2-11, April.
  134. Otieno, Zipora & Okello, Julius & Nyikal, Rose & Mwang'ombe, Agnes & Clavel, Daniele, 2011. "The role of varietal traits in the adoption of improved dryland crop varieties: The case of pigeon pea in Kenya," African Journal of Agricultural and Resource Economics, African Association of Agricultural Economists, vol. 6(2), September.
  135. Chen, Cathy W.S. & Gerlach, Richard & Wei, D.C.M., 2009. "Bayesian causal effects in quantiles: Accounting for heteroscedasticity," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 1993-2007, April.
  136. Borus Jungbacker & Siem Jan Koopman, 2005. "On Importance Sampling for State Space Models," Tinbergen Institute Discussion Papers 05-117/4, Tinbergen Institute.
  137. Nakatsuma, Teruo, 2000. "Bayesian analysis of ARMA-GARCH models: A Markov chain sampling approach," Journal of Econometrics, Elsevier, vol. 95(1), pages 57-69, March.
  138. repec:dgr:uvatin:2012099 is not listed on IDEAS
  139. Heckelei, Thomas & Mittelhammer, Ronald C., 1996. "Bayesian Bootstrap Analysis of Systems of Equations," Discussion Papers 18786, University of Bonn, Institute for Food and Resource Economics.
  140. Hoogerheide, L.F. & Kaashoek, J.F. & van Dijk, H.K., 2003. "Neural network approximations to posterior densities: an analytical approach," Econometric Institute Research Papers EI 2003-38, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  141. John Geweke, 1991. "Evaluating the accuracy of sampling-based approaches to the calculation of posterior moments," Staff Report 148, Federal Reserve Bank of Minneapolis.
  142. Chib, Siddhartha & Greenberg, Edward & Winkelmann, Rainer, 1998. "Posterior simulation and Bayes factors in panel count data models," Journal of Econometrics, Elsevier, vol. 86(1), pages 33-54, June.
  143. Siem Jan Koopman & Kai Ming Lee, 2005. "Measuring Asymmetric Stochastic Cycle Components in U.S. Macroeconomic Time Series," Tinbergen Institute Discussion Papers 05-081/4, Tinbergen Institute.
  144. Frühwirth-Schnatter, Sylvia & Wagner, Helga, 2008. "Marginal likelihoods for non-Gaussian models using auxiliary mixture sampling," Computational Statistics & Data Analysis, Elsevier, vol. 52(10), pages 4608-4624, June.
  145. Pitt, Michael K. & Silva, Ralph dos Santos & Giordani, Paolo & Kohn, Robert, 2012. "On some properties of Markov chain Monte Carlo simulation methods based on the particle filter," Journal of Econometrics, Elsevier, vol. 171(2), pages 134-151.
  146. Bollerslev, Tim, 2001. "Financial econometrics: Past developments and future challenges," Journal of Econometrics, Elsevier, vol. 100(1), pages 41-51, January.
  147. Fernandez-Cornejo, Jorge & Wechsler, Seth James, 2012. "Revisiting the Impact of Bt Corn Adoption by U.S. Farmers," Agricultural and Resource Economics Review, Northeastern Agricultural and Resource Economics Association, vol. 41(3), December.
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  149. Mesters, G. & Koopman, S.J., 2014. "Generalized dynamic panel data models with random effects for cross-section and time," Journal of Econometrics, Elsevier, vol. 180(2), pages 127-140.
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