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Citations for "Priors for macroeconomic time series and their application"

by John Geweke

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  1. Éric Jacquier & Nicholas G. Polson & Peter E. Rossi, 1999. "Stochastic Volatility: Univariate and Multivariate Extensions," CIRANO Working Papers, CIRANO 99s-26, CIRANO.
  2. Tsionas, Efthymios G., 1998. "Monte Carlo inference in econometric models with symmetric stable disturbances," Journal of Econometrics, Elsevier, Elsevier, vol. 88(2), pages 365-401, November.
  3. Jesús Fernández-Villaverde & Juan F. Rubio-Ramirez, 2006. "Estimating Macroeconomic Models: A Likelihood Approach," Levine's Bibliography 122247000000000849, UCLA Department of Economics.
  4. Houser, Daniel, 2003. "Bayesian analysis of a dynamic stochastic model of labor supply and saving," Journal of Econometrics, Elsevier, Elsevier, vol. 113(2), pages 289-335, April.
  5. Lahiri, Kajal & Gao, Jian, 2002. "Bayesian analysis of nested logit model by Markov chain Monte Carlo," Journal of Econometrics, Elsevier, Elsevier, vol. 111(1), pages 103-133, November.
  6. Schotman, Peter, 1996. "A Bayesian approach to the empirical valuation of bond options," Journal of Econometrics, Elsevier, Elsevier, vol. 75(1), pages 183-215, November.
  7. Sauer, Johannes, 2008. "Quota Deregulation and Organic versus Conventional Milk – A Bayesian Distance Function Approach," 82nd Annual Conference, March 31 - April 2, 2008, Royal Agricultural College, Cirencester, UK, Agricultural Economics Society 36869, Agricultural Economics Society.
  8. Fernández, C. & Steel, M.F.J., 1996. "On Bayesian Modelling of Fat Tails and Skewness," Discussion Paper, Tilburg University, Center for Economic Research 1996-58, Tilburg University, Center for Economic Research.
  9. Pfann, Gerard A. & Schotman, Peter C. & Tschernig, Rolf, 1996. "Nonlinear interest rate dynamics and implications for the term structure," Journal of Econometrics, Elsevier, Elsevier, vol. 74(1), pages 149-176, September.
  10. Alain Desgagné & Jean-François Angers, 2007. "Conflicting information and location parameter inference," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(1), pages 67-97.
  11. Eric Ghysels, 1993. "A time series model with periodic stochastic regime switching," Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis 84, Federal Reserve Bank of Minneapolis.
  12. Jesús Fernández-Villaverde, 2009. "The Econometrics of DSGE Models," PIER Working Paper Archive 09-008, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  13. Stuart J. Fowler & Jennifer J. Wilgus, 2011. "An Estimatable DCDP Model of Search and Matching in Real Estate Markets," Working Papers, Middle Tennessee State University, Department of Economics and Finance 201105, Middle Tennessee State University, Department of Economics and Finance.
  14. 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, Elsevier, vol. 122(1), pages 185-212, September.
  15. Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez, 2006. "The Research Agenda: Jesus Fernandez-Villaverde and Juan F. Rubio-Ramirez on Estimating DSGE Models," EconomicDynamics Newsletter, Review of Economic Dynamics, Review of Economic Dynamics, vol. 8(1), November.
  16. Christopher A. Sims, 1992. "A Nine Variable Probabilistic Macroeconomic Forecasting Model," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1034, Cowles Foundation for Research in Economics, Yale University.
  17. Marriott, John & Newbold, Paul, 2000. "The strength of evidence for unit autoregressive roots and structural breaks: A Bayesian perspective," Journal of Econometrics, Elsevier, Elsevier, vol. 98(1), pages 1-25, September.
  18. Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez, 2004. "Estimating Dynamic Equilibrium Economies: Linear versus Nonlinear Likelihood," PIER Working Paper Archive 04-005, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  19. John Geweke, 1995. "Monte Carlo simulation and numerical integration," Staff Report, Federal Reserve Bank of Minneapolis 192, Federal Reserve Bank of Minneapolis.
  20. Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez, 2004. "Estimating Nonlinear Dynamic Equilibrium economies: A Likelihood Approach," PIER Working Paper Archive 04-001, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  21. Jean-Francois Angers, 2000. "P-credence and outliersl," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3-4), pages 81-108.
  22. Ching-Wai (Jeremy) Chiu & Haroon Mumtaz & Gabor Pinter, 2014. "Fat-tails in VAR Models," Working Papers, Queen Mary, University of London, School of Economics and Finance 714, Queen Mary, University of London, School of Economics and Finance.