Asymptotic expansions of posterior expectations, distributions and densities for stochastic processes
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References listed on IDEAS
- Hall, Peter, 1990. "Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems," Journal of Multivariate Analysis, Elsevier, vol. 32(2), pages 177-203, February.
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- Frank Schorfheide, 2000. "Loss function-based evaluation of DSGE models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(6), pages 645-670.
- Dasgupta, Shibasish & Khare, Kshitij & Ghosh, Malay, 2014. "Asymptotic expansion of the posterior density in high dimensional generalized linear models," Journal of Multivariate Analysis, Elsevier, vol. 131(C), pages 126-148.
- Ana Beatriz Galvão & Liudas Giraitis & George Kapetanios & Katerina Petrova, 2015. "A Bayesian Local Likelihood Method for Modelling Parameter Time Variation in DSGE Models," Working Papers 770, Queen Mary University of London, School of Economics and Finance.
- Sungbae An & Frank Schorfheide, 2007. "Bayesian Analysis of DSGE Models," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 113-172.
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KeywordsAsymptotic expansions; Bayesian approach; inference for stochastic processes; asymptotic posterior normality;
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