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Interpretation and inference in mixture models: Simple MCMC works

  • Geweke, John

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Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

Volume (Year): 51 (2007)
Issue (Month): 7 (April)
Pages: 3529-3550

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Handle: RePEc:eee:csdana:v:51:y:2007:i:7:p:3529-3550
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  1. Dueker, Michael, 1999. "Conditional Heteroscedasticity in Qualitative Response Models of Time Series: A Gibbs-Sampling Approach to the Bank Prime Rate," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(4), pages 466-72, October.
  2. Sangjoon Kim & Neil Shephard & Siddhartha Chib, 1996. "Stochastic Volatility: Likelihood Inference And Comparison With Arch Models," Econometrics 9610002, EconWPA.
  3. Liesenfeld, Roman, 2001. "A generalized bivariate mixture model for stock price volatility and trading volume," Journal of Econometrics, Elsevier, vol. 104(1), pages 141-178, August.
  4. Pérez Quirós, Gabriel & Timmermann, Allan, 2001. "Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities," Working Paper Series 0058, European Central Bank.
  5. C. P. Robert & T. Rydén & D. M. Titterington, 2000. "Bayesian inference in hidden Markov models through the reversible jump Markov chain Monte Carlo method," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 62(1), pages 57-75.
  6. Wedel, M, et al, 1993. "A Latent Class Poisson Regression Model for Heterogeneous Count Data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(4), pages 397-411, Oct.-Dec..
  7. 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.
  8. Huang, Ho-Chuan, 2001. "Tests of CAPM with Nonstationary Beta," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 6(3), pages 255-68, July.
  9. Lamoureux, Christopher G & Lastrapes, William D, 1994. "Endogenous Trading Volume and Momentum in Stock-Return Volatility," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(2), pages 253-60, April.
  10. Fraley C. & Raftery A.E., 2002. "Model-Based Clustering, Discriminant Analysis, and Density Estimation," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 611-631, June.
  11. Kamel Jedidi & Harsharanjeet S. Jagpal & Wayne S. DeSarbo, 1997. "Finite-Mixture Structural Equation Models for Response-Based Segmentation and Unobserved Heterogeneity," Marketing Science, INFORMS, vol. 16(1), pages 39-59.
  12. Chang-Jin Kim & Charles Nelson, 1999. "A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models," Discussion Papers in Economics at the University of Washington 0035, Department of Economics at the University of Washington.
  13. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
  14. So, Mike K P & Lam, K & Li, W K, 1998. "A Stochastic Volatility Model with Markov Switching," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 244-53, April.
  15. Green P.J. & Richardson S., 2002. "Hidden Markov Models and Disease Mapping," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 1055-1070, December.
  16. Geweke, John & Keane, Michael, 2007. "Smoothly mixing regressions," Journal of Econometrics, Elsevier, vol. 138(1), pages 252-290, May.
  17. John Geweke, 2004. "Getting It Right: Joint Distribution Tests of Posterior Simulators," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 799-804, January.
  18. Fruhwirth-Schnatter S., 2001. "Markov Chain Monte Carlo Estimation of Classical and Dynamic Switching and Mixture Models," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 194-209, March.
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