Research classified by Journal of Economic Literature (JEL) codes

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Top JEL
/ C: Mathematical and Quantitative Methods
/ / C1: Econometric and Statistical Methods and Methodology: General
/ / / C11: Bayesian Analysis: General

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This JEL code is mentioned in the following RePEc Biblio entries:

1. Bayesian Vector autoregressions (BVARs)

2015

• Warne, Anders & Droumaguet, Matthieu & Woźniak, Tomasz, 2015, "Granger causality and regime inference in Bayesian Markov-Switching VARs," Working Paper Series, European Central Bank, number 1794, May.
• Gross, Marco & Población García, Francisco Javier, 2015, "A false sense of security in applying handpicked equations for stress test purposes," Working Paper Series, European Central Bank, number 1845, Sep.
• Ciccarelli, Matteo & García, Juan Angel, 2015, "International spillovers in inflation expectations," Working Paper Series, European Central Bank, number 1857, Oct.
• Korobilis, Dimitris, 2015, "Quantile forecasts of inflation under model uncertainty," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2015-72, Apr.
• Korobilis, Dimitris, 2015, "Prior selection for panel vector autoregressions," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2015-73, Apr.
• Byrne, Joseph P. & Cao, Shuo & Korobilis, Dimitris, 2015, "Co-Movement, Spillovers and Excess Returns in Global Bond Markets," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2015-75, Jun.
• Chen, Xiaoshan & Leeper, Eric M. & Leith, Campbell, 2015, "US Monetary and Fiscal Policies - Conflict or Cooperation?," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2015-77, Jun.
• Lenno Uuskula, 2015, "Firm turnover and inflation dynamics," Bank of Estonia Working Papers, Bank of Estonia, number wp2015-01, Feb, revised 03 Feb 2015.
• Leon-Gonzalez, Roberto & Vinayagathasan, Thanabalasingam, 2015, "Robust determinants of growth in Asian developing economies: A Bayesian panel data model averaging approach," Journal of Asian Economics, Elsevier, volume 36, issue C, pages 34-46, DOI: 10.1016/j.asieco.2014.12.001.
• Lhuissier, Stéphane & Zabelina, Margarita, 2015, "On the stability of Calvo-style price-setting behavior," Journal of Economic Dynamics and Control, Elsevier, volume 57, issue C, pages 77-95, DOI: 10.1016/j.jedc.2015.05.002.
• Liu, Xiaochun & Luger, Richard, 2015, "Unfolded GARCH models," Journal of Economic Dynamics and Control, Elsevier, volume 58, issue C, pages 186-217, DOI: 10.1016/j.jedc.2015.06.007.
• Cantore, Cristiano & Levine, Paul & Pearlman, Joseph & Yang, Bo, 2015, "CES technology and business cycle fluctuations," Journal of Economic Dynamics and Control, Elsevier, volume 61, issue C, pages 133-151, DOI: 10.1016/j.jedc.2015.09.006.
• Baxa, Jaromír & Plašil, Miroslav & Vašíček, Bořek, 2015, "Changes in inflation dynamics under inflation targeting? Evidence from Central European countries," Economic Modelling, Elsevier, volume 44, issue C, pages 116-130, DOI: 10.1016/j.econmod.2014.10.028.
• Ambriško, Róbert & Babecký, Jan & Ryšánek, Jakub & Valenta, Vilém, 2015, "Assessing the impact of fiscal measures on the Czech economy," Economic Modelling, Elsevier, volume 44, issue C, pages 350-357, DOI: 10.1016/j.econmod.2014.07.021.
• Merola, Rossana, 2015, "The role of financial frictions during the crisis: An estimated DSGE model," Economic Modelling, Elsevier, volume 48, issue C, pages 70-82, DOI: 10.1016/j.econmod.2014.10.037.
• Kamber, Günes & Smith, Christie & Thoenissen, Christoph, 2015, "Financial frictions and the role of investment-specific technology shocks in the business cycle," Economic Modelling, Elsevier, volume 51, issue C, pages 571-582, DOI: 10.1016/j.econmod.2015.09.010.
• Buncic, Daniel & Moretto, Carlo, 2015, "Forecasting copper prices with dynamic averaging and selection models," The North American Journal of Economics and Finance, Elsevier, volume 33, issue C, pages 1-38, DOI: 10.1016/j.najef.2015.03.002.
• Chan, Joshua C.C. & Grant, Angelia L., 2015, "Pitfalls of estimating the marginal likelihood using the modified harmonic mean," Economics Letters, Elsevier, volume 131, issue C, pages 29-33, DOI: 10.1016/j.econlet.2015.03.036.
• Nonejad, Nima, 2015, "Flexible model comparison of unobserved components models using particle Gibbs with ancestor sampling," Economics Letters, Elsevier, volume 133, issue C, pages 35-39, DOI: 10.1016/j.econlet.2015.04.034.
• Dardanoni, Valentino & De Luca, Giuseppe & Modica, Salvatore & Peracchi, Franco, 2015, "Model averaging estimation of generalized linear models with imputed covariates," Journal of Econometrics, Elsevier, volume 184, issue 2, pages 452-463, DOI: 10.1016/j.jeconom.2014.06.002.
• Fernández-Villaverde, Jesús & Guerrón-Quintana, Pablo & Rubio-Ramírez, Juan F., 2015, "Estimating dynamic equilibrium models with stochastic volatility," Journal of Econometrics, Elsevier, volume 185, issue 1, pages 216-229, DOI: 10.1016/j.jeconom.2014.08.010.
• Cederburg, Scott & O’Doherty, Michael S., 2015, "Asset-pricing anomalies at the firm level," Journal of Econometrics, Elsevier, volume 186, issue 1, pages 113-128, DOI: 10.1016/j.jeconom.2014.06.004.
• Wachter, Jessica A. & Warusawitharana, Missaka, 2015, "What is the chance that the equity premium varies over time? Evidence from regressions on the dividend-price ratio," Journal of Econometrics, Elsevier, volume 186, issue 1, pages 74-93, DOI: 10.1016/j.jeconom.2014.05.018.
• Kaufmann, Sylvia, 2015, "K-state switching models with time-varying transition distributions—Does loan growth signal stronger effects of variables on inflation?," Journal of Econometrics, Elsevier, volume 187, issue 1, pages 82-94, DOI: 10.1016/j.jeconom.2015.02.001.
• Li, Yong & Liu, Xiao-Bin & Yu, Jun, 2015, "A Bayesian chi-squared test for hypothesis testing," Journal of Econometrics, Elsevier, volume 189, issue 1, pages 54-69, DOI: 10.1016/j.jeconom.2015.06.021.
• Yu, Ping, 2015, "Adaptive estimation of the threshold point in threshold regression," Journal of Econometrics, Elsevier, volume 189, issue 1, pages 83-100, DOI: 10.1016/j.jeconom.2013.09.002.
• Rasaki, Mutiu Gbade & Malikane, Christopher, 2015, "Macroeconomic shocks and fluctuations in African economies," Economic Systems, Elsevier, volume 39, issue 4, pages 675-696, DOI: 10.1016/j.ecosys.2015.02.002.
• Lewis, Vivien & Stevens, Arnoud, 2015, "Entry and markup dynamics in an estimated business cycle model," European Economic Review, Elsevier, volume 74, issue C, pages 14-35, DOI: 10.1016/j.euroecorev.2014.11.005.
• Forte, Anabel & Peiró-Palomino, Jesús & Tortosa-Ausina, Emili, 2015, "Does social capital matter for European regional growth?," European Economic Review, Elsevier, volume 77, issue C, pages 47-64, DOI: 10.1016/j.euroecorev.2015.03.013.
• Grassi, Stefano & Santucci de Magistris, Paolo, 2015, "It's all about volatility of volatility: Evidence from a two-factor stochastic volatility model," Journal of Empirical Finance, Elsevier, volume 30, issue C, pages 62-78, DOI: 10.1016/j.jempfin.2014.11.007.
• Brown, Sarah & Ghosh, Pulak & Su, Li & Taylor, Karl, 2015, "Modelling household finances: A Bayesian approach to a multivariate two-part model," Journal of Empirical Finance, Elsevier, volume 33, issue C, pages 190-207, DOI: 10.1016/j.jempfin.2015.03.017.
• Kang, Kyu Ho, 2015, "The predictive density simulation of the yield curve with a zero lower bound," Journal of Empirical Finance, Elsevier, volume 33, issue C, pages 51-66, DOI: 10.1016/j.jempfin.2015.06.002.
• Chen, Zhongfei & Barros, Carlos Pestana & Borges, Maria Rosa, 2015, "A Bayesian stochastic frontier analysis of Chinese fossil-fuel electricity generation companies," Energy Economics, Elsevier, volume 48, issue C, pages 136-144, DOI: 10.1016/j.eneco.2014.12.020.
• Camarero, Mariam & Forte, Anabel & Garcia-Donato, Gonzalo & Mendoza, Yurena & Ordoñez, Javier, 2015, "Variable selection in the analysis of energy consumption–growth nexus," Energy Economics, Elsevier, volume 52, issue PA, pages 207-216, DOI: 10.1016/j.eneco.2015.10.012.
• Aye, Goodness & Gupta, Rangan & Hammoudeh, Shawkat & Kim, Won Joong, 2015, "Forecasting the price of gold using dynamic model averaging," International Review of Financial Analysis, Elsevier, volume 41, issue C, pages 257-266, DOI: 10.1016/j.irfa.2015.03.010.
• Bai, Jushan & Zhou, Guofu, 2015, "Fama–MacBeth two-pass regressions: Improving risk premia estimates," Finance Research Letters, Elsevier, volume 15, issue C, pages 31-40, DOI: 10.1016/j.frl.2015.08.001.
• Di, Junpeng & Zhu, Pingfang, 2015, "A method for evaluating the extreme risk sources of financial markets: The case of stock markets in China," Global Finance Journal, Elsevier, volume 26, issue C, pages 18-28, DOI: 10.1016/j.gfj.2015.01.002.
• Wan, Cheng & Bertschi, Ljudmila, 2015, "Swiss coherent mortality model as a basis for developing longevity de-risking solutions for Swiss pension funds: A practical approach," Insurance: Mathematics and Economics, Elsevier, volume 63, issue C, pages 66-75, DOI: 10.1016/j.insmatheco.2015.03.025.
• Karl Härdle, Wolfgang & López-Cabrera, Brenda & Teng, Huei-Wen, 2015, "State price densities implied from weather derivatives," Insurance: Mathematics and Economics, Elsevier, volume 64, issue C, pages 106-125, DOI: 10.1016/j.insmatheco.2015.05.001.
• Kolasa, Marcin & Rubaszek, Michał, 2015, "Forecasting using DSGE models with financial frictions," International Journal of Forecasting, Elsevier, volume 31, issue 1, pages 1-19, DOI: 10.1016/j.ijforecast.2014.05.001.
• Rombouts, Jeroen V.K. & Stentoft, Lars, 2015, "Option pricing with asymmetric heteroskedastic normal mixture models," International Journal of Forecasting, Elsevier, volume 31, issue 3, pages 635-650, DOI: 10.1016/j.ijforecast.2014.09.002.
• Bańbura, Marta & Giannone, Domenico & Lenza, Michele, 2015, "Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections," International Journal of Forecasting, Elsevier, volume 31, issue 3, pages 739-756, DOI: 10.1016/j.ijforecast.2014.08.013.
• Woźniak, Tomasz, 2015, "Testing causality between two vectors in multivariate GARCH models," International Journal of Forecasting, Elsevier, volume 31, issue 3, pages 876-894, DOI: 10.1016/j.ijforecast.2015.01.005.
• Berg, Tim O. & Henzel, Steffen R., 2015, "Point and density forecasts for the euro area using Bayesian VARs," International Journal of Forecasting, Elsevier, volume 31, issue 4, pages 1067-1095, DOI: 10.1016/j.ijforecast.2015.03.006.
• Nishino, Haruhisa & Kakamu, Kazuhiko, 2015, "A random walk stochastic volatility model for income inequality," Japan and the World Economy, Elsevier, volume 36, issue C, pages 21-28, DOI: 10.1016/j.japwor.2015.06.003.
• Lamoureux, Christopher G. & Nejadmalayeri, Ali, 2015, "Costs of capital and public issuance choice," Journal of Banking & Finance, Elsevier, volume 61, issue C, pages 27-45, DOI: 10.1016/j.jbankfin.2015.08.028.
• Asatryan, Zareh & Feld, Lars P., 2015, "Revisiting the link between growth and federalism: A Bayesian model averaging approach," Journal of Comparative Economics, Elsevier, volume 43, issue 3, pages 772-781, DOI: 10.1016/j.jce.2014.04.005.
• Lo, Ming Chien & Morley, James, 2015, "Bayesian analysis of nonlinear exchange rate dynamics and the purchasing power parity persistence puzzle," Journal of International Money and Finance, Elsevier, volume 51, issue C, pages 285-302, DOI: 10.1016/j.jimonfin.2014.12.003.
• Gnimassoun, Blaise, 2015, "The importance of the exchange rate regime in limiting current account imbalances in sub-Saharan African countries," Journal of International Money and Finance, Elsevier, volume 53, issue C, pages 36-74, DOI: 10.1016/j.jimonfin.2014.12.012.
• Bijsterbosch, Martin & Falagiarda, Matteo, 2015, "The macroeconomic impact of financial fragmentation in the euro area: Which role for credit supply?," Journal of International Money and Finance, Elsevier, volume 54, issue C, pages 93-115, DOI: 10.1016/j.jimonfin.2015.02.013.
• Huang, Yu-Fan, 2015, "Time variation in U.S. monetary policy and credit spreads," Journal of Macroeconomics, Elsevier, volume 43, issue C, pages 205-215, DOI: 10.1016/j.jmacro.2014.11.005.
• Morita, Hiroshi, 2015, "State-dependent effects of fiscal policy in Japan: Do rule-of-thumb households increase the effects of fiscal policy?," Journal of Macroeconomics, Elsevier, volume 43, issue C, pages 49-61, DOI: 10.1016/j.jmacro.2014.09.002.
• Caraiani, Petre, 2015, "Estimating DSGE models across time and frequency," Journal of Macroeconomics, Elsevier, volume 44, issue C, pages 33-49, DOI: 10.1016/j.jmacro.2015.02.003.
• León-González, Roberto & Montolio, Daniel, 2015, "Endogeneity and panel data in growth regressions: A Bayesian model averaging approach," Journal of Macroeconomics, Elsevier, volume 46, issue C, pages 23-39, DOI: 10.1016/j.jmacro.2015.07.003.
• Forni, L. & Gerali, A. & Notarpietro, A. & Pisani, M., 2015, "Euro area, oil and global shocks: An empirical model-based analysis," Journal of Macroeconomics, Elsevier, volume 46, issue C, pages 295-314, DOI: 10.1016/j.jmacro.2015.09.010.
• Huynh, Kim P. & Jung, Juergen, 2015, "Subjective health expectations," Journal of Policy Modeling, Elsevier, volume 37, issue 4, pages 693-711, DOI: 10.1016/j.jpolmod.2015.04.001.
• Hubrich, Kirstin & Tetlow, Robert J., 2015, "Financial stress and economic dynamics: The transmission of crises," Journal of Monetary Economics, Elsevier, volume 70, issue C, pages 100-115, DOI: 10.1016/j.jmoneco.2014.09.005.
• Cúrdia, Vasco & Ferrero, Andrea & Ng, Ging Cee & Tambalotti, Andrea, 2015, "Has U.S. monetary policy tracked the efficient interest rate?," Journal of Monetary Economics, Elsevier, volume 70, issue C, pages 72-83, DOI: 10.1016/j.jmoneco.2014.09.004.
• Usui, Takehiro & Kakamu, Kazuhiko & Chikasada, Mitsuko, 2015, "To introduce recycling or not: A panel data analysis in Japan," Resources, Conservation & Recycling, Elsevier, volume 101, issue C, pages 84-95, DOI: 10.1016/j.resconrec.2015.05.006.
• Wesselbaum, Dennis, 2015, "Sectoral labor market effects of fiscal spending," Structural Change and Economic Dynamics, Elsevier, volume 34, issue C, pages 19-35, DOI: 10.1016/j.strueco.2015.05.002.
• Elmar Mertens & James M Nason, 2015, "Inflation and Professional Forecast Dynamics: An Evaluation of Stickiness, Persistence, and Volatility," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2015-06, Mar.
• Joshua C.C. Chan, 2015, "The Stochastic Volatility in Mean Model with Time-Varying Parameters: An Application to Inflation Modeling," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2015-07, Mar.
• Joshua C.C. Chan & Angelia L. Grant, 2015, "Pitfalls of Estimating the Marginal Likelihood Using the Modified Harmonic Mean," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2015-08, Mar.
• Joshua C.C. Chan & Eric Eisenstat, 2015, "Efficient estimation of Bayesian VARMAs with time-varying coefficients," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2015-19, Jun.
• Joshua C.C. Chan & Angelia L. Grant, 2015, "Modeling energy price dynamics: GARCH versus stochastic volatility," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2015-20, Jun.
• Joshua C.C. Chan & Angelia L. Grant, 2015, "A Bayesian model comparison for trend-cycle decompositions of output," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2015-31, Aug.
• Joshua C.C. Chan & Eric Eisenstat, 2015, "Bayesian model comparison for time-varying parameter VARs with stochastic volatility," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2015-32, Aug.
• Joshua C.C. Chan, 2015, "Large Bayesian VARs: A flexible Kronecker error covariance structure," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2015-41, Nov.
• Joshua C.C. Chan, 2015, "Specification tests for time-varying parameter models with stochastic volatility," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2015-42, Nov.
• Anna Kormilitsina & Sarah Zubairy, 2015, "Propagation Mechanisms for Government Spending Shocks: A Bayesian Comparison," EcoMod2015, EcoMod, number 8646, Jul.
• Enrique Martínez-García, 2015, "The Global Component of Local Inflation: Revisiting the Empirical Content of the Global Slack Hypothesis with Bayesian Methods," International Symposia in Economic Theory and Econometrics, Emerald Group Publishing Limited, "Monetary Policy in the Context of the Financial Crisis: New Challenges and Lessons", DOI: 10.1108/S1571-038620150000024016.
• de Bruijn, L.P. & Franses, Ph.H.B.F., 2015, "Stochastic levels and duration dependence in US unemployment," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2015-20, Sep.
• Mehmet Balcilar & Rangan Gupta & Nico Frederick Katzke, 2015, "Identifying Periods of US Housing Market Explosivity," Working Papers, Eastern Mediterranean University, Department of Economics, number 15-03.
• Bekiros, Stelios D.; Cardani, Roberta; Paccagnini, Alessia; Villa, Stefania, 2015, "Dealing with Financial Instability under a DSGE modeling approach with Banking Intermediation: a forecastability analysis versus TVP-VARs," Economics Working Papers, European University Institute, number ECO2015/04.
• Jan Klacso, 2015, "The Effects of the Euro Area Entrance on the Monetary Transmission Mechanism in Slovakia in Light of the Global Economic Recession," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 65, issue 1, pages 55-83, January.
• Valeriu Nalban, 2015, "Exchange Rate Pass-Through in Central and Eastern Europe: A Panel Bayesian VAR Approach," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 65, issue 4, pages 290-306, August.
• Tomas Havranek & Diana Zigraiova, 2015, "Bank Competition and Financial Stability: Much Ado About Nothing?," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2015/07, Apr, revised Apr 2015.
• Simona Malovana, 2015, "Foreign Exchange Interventions at the Zero Lower Bound in the Czech Economy: A DSGE Approach," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2015/13, May, revised May 2015.
• Marcin Hitczenko, 2015, "Identifying and Evaluating Sample Selection Bias in Consumer Payment Surveys," Consumer Payments Research Data Reports, Federal Reserve Bank of Atlanta, number 2015-07, Nov.
• Mark J. Jensen, 2015, "Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2015-12, Nov.
• Mark Fisher, 2015, "Fitting a distribution to survey data for the half-life of deviations from PPP," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2015-15, Dec.
• Marcin Hitczenko, 2015, "Identifying and evaluating sample selection bias in consumer payment surveys," Research Data Report, Federal Reserve Bank of Boston, number 15-7, Nov.
• Todd E. Clark & Fabian Krueger & Francesco Ravazzolo, 2015, "Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1439, Jan, DOI: 10.26509/frbc-wp-201439.
• Joshua C. C. Chan & Todd E. Clark & Gary Koop, 2015, "A New Model of Inflation, Trend Inflation, and Long-Run Inflation Expectations," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1520, Oct, DOI: 10.26509/frbc-wp-201520.
• Ruben Hernandez-Murillo & Michael T. Owyang & Margarita Rubio, 2015, "Clustered Housing Cycles," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1524, Oct, DOI: 10.26509/frbc-wp-201524.
• Enrique Martínez García, 2015, "The global component of local inflation: revisiting the empirical content of the global slack hypothesis with Bayesian methods," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 225, Feb, DOI: 10.24149/gwp225.
• Michael B. Gordy & Pawel J. Szerszen, 2015, "Bayesian Estimation of Time-Changed Default Intensity Models," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2015-2, Jan, DOI: 10.17016/FEDS.2015.002.
• Mark Bognanni & Edward P. Herbst, 2015, "Estimating (Markov-Switching) VAR Models without Gibbs Sampling: A Sequential Monte Carlo Approach," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2015-116, Dec, DOI: 10.17016/FEDS.2015.116.
• Antonello D'Agostino & Domenico Giannone & Michele Lenza & Michele Modugno, 2015, "Nowcasting Business Cycles: a Bayesian Approach to Dynamic Heterogeneous Factor Models," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2015-66, Aug, DOI: 10.17016/FEDS.2015.066.
• Yasuo Hirose & Takushi Kurozumi & Willem Van Zandweghe, 2015, "Monetary policy, trend inflation, and the Great Moderation: an alternative interpretation: comment based on system estimation," Research Working Paper, Federal Reserve Bank of Kansas City, number RWP 15-17, Dec, DOI: 10.18651/RWP2015-17.
• P.A.V.B. Swamy & George S. Tavlas & Stephen G. Hall, 2015, "On the Interpretation of Instrumental Variables in the Presence of Specification Errors," Econometrics, MDPI, volume 3, issue 1, pages 1-10, January.
• Emir Malikov & Subal C. Kumbhakar & Efthymios G. Tsionas, 2015, "Bayesian Approach to Disentangling Technical and Environmental Productivity," Econometrics, MDPI, volume 3, issue 2, pages 1-23, June.
• Gerti Shijaku, 2015, "The Macroeconomic Pass-through Effects of Monetary Policy through Sign Restrictions Approach: In the Case of Albania," IHEID Working Papers, Economics Section, The Graduate Institute of International Studies, number 11-2015, Jun.
• Dimitris Korobilis., 2015, "Quantile forecasts of inflation under model uncertainty," Working Papers, Business School - Economics, University of Glasgow, number 2015_09, Apr.
• Dimitris Korobilis., 2015, "Prior selection for panel vector autoregressions," Working Papers, Business School - Economics, University of Glasgow, number 2015_10, Apr.
• Joseph P. Byrne & Shuo Cao & Dimitris Korobilis, 2015, "Co-Movement, Spillovers and Excess Returns in Global Bond Markets?," Working Papers, Business School - Economics, University of Glasgow, number 2015_12, Jun.
• Xiaoshan Che & Eric M. Leepe & Campbell Leith, 2015, "US Monetary and Fiscal Policies - conflict or cooperation?," Working Papers, Business School - Economics, University of Glasgow, number 2015_14, Jun.
• Gary Koop & Dimitris Korobilis, 2015, "Forecasting With High Dimensional Panel VARs," Working Papers, Business School - Economics, University of Glasgow, number 2015_25, Nov.
• Nuno Silva, 2015, "Time-Varying Stock Return Predictability: The Eurozone Case," Notas Económicas, Faculty of Economics, University of Coimbra, issue 41, pages 28-38, June.
• Mário Augusto & Rui Pascoal & Ana Margarida Monteiro, 2015, "Size Distribution of Portuguese Firms between 2006 and 2012," GEMF Working Papers, GEMF, Faculty of Economics, University of Coimbra, number 2015-04, Feb.
• António Alberto Santos, 2015, "The evolution of the Volatility in Financial Returns: Realized Volatility vs Stochastic Volatility Measures," GEMF Working Papers, GEMF, Faculty of Economics, University of Coimbra, number 2015-10, Apr.
• António A. F. Santos, 2015, "On the Forecasting of Financial Volatility Using Ultra-High Frequency Data," GEMF Working Papers, GEMF, Faculty of Economics, University of Coimbra, number 2015-17, Aug.
• Nuno Silva, 2015, "Industry based equity premium forecasts," GEMF Working Papers, GEMF, Faculty of Economics, University of Coimbra, number 2015-19, Dec.
• Louis Lévy-Garboua & Muniza Askari & Marco Gazel, 2015, "Confidence Biases and Learning among Intuitive Bayesians," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-01243584, Oct.
• Laurent E. Calvet & Veronika Czellar, 2015, "Accurate Methods for Approximate Bayesian Computation Filtering," Post-Print, HAL, number hal-02313212, Oct, DOI: 10.1093/jjfinec/nbu019.
• M. Mbarek & Damien Rousselière & Julien Salanié, 2015, "Using multiple imputation for a zero-inflated contingent valuation with a potentially biased sampling," Post-Print, HAL, number halshs-01208292, Jun.
• M. Mbarek & Damien Rousselière & Julien Salanié, 2015, "Using multiple imputation for a zero-inflated contingent valuation with a potentially biased sampling," Post-Print, HAL, number halshs-01208312, Nov.
• Louis Lévy-Garboua & Muniza Askari & Marco Gazel, 2015, "Confidence Biases and Learning among Intuitive Bayesians," Post-Print, HAL, number halshs-01243584, Oct.
• Karlsson, Sune & Temesgen, Asrat, 2015, "Bayesian Inference in Regression Models with Ordinal Explanatory Variables," Working Papers, Örebro University, School of Business, number 2015:9, Sep.
• Quiroz, Matias & Villani, Mattias & Kohn, Robert, 2015, "Speeding Up Mcmc By Efficient Data Subsampling," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 297, Mar.
• Quiroz, Matias & Villani, Mattias & Kohn, Robert, 2015, "Scalable Mcmc For Large Data Problems Using Data Subsampling And The Difference Estimator," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 306, Aug.
• Quiroz, Matias, 2015, "Speeding Up Mcmc By Delayed Acceptance And Data Subsampling," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 307, Aug.
• Mickelsson, Glenn, 2015, "Estimation of DSGE models: Maximum Likelihood vs. Bayesian methods," Working Paper Series, Uppsala University, Department of Economics, number 2015:6, Dec.
• Boris B. Demeshev & Oxana A. Malakhovskaya, 2015, "Forecasting Russian Macroeconomic Indicators with BVAR," HSE Working papers, National Research University Higher School of Economics, number WP BRP 105/EC/2015.
• Ishihara, Tsunehiro, 2015, "Estimation of Generalized Realized Stochastic Volatility Model: An Application to Calendar Effect of Nikkei 225," Economic Review, Hitotsubashi University, volume 66, issue 1, pages 1-18, January, DOI: 10.15057/27507.
• Ishihara, Tsunehiro & Watanabe, Toshiaki, 2015, "Econometric Analysis of Business Cycles: A Survey with the Application to the Composite Index in Japan," Economic Review, Hitotsubashi University, volume 66, issue 2, pages 145-168, April, DOI: 10.15057/27510.
• Morita, Hiroshi, 2015, "Japanese Fiscal Policy under the Zero Lower Bound of Nominal Interest Rates: Time-Varying Parameters Vector Autoregression," Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number 627, Jul.
• Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2015, "Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 550.
• Hlouskova, Jaroslava & Sögner, Leopold, 2015, "GMM Estimation of Affine Term Structure Models," Economics Series, Institute for Advanced Studies, number 315, Sep.

2014

• Debopam Bhattacharya & Shin Kanaya & Margaret Stevens, 2014, "Are University Admissions Academically Fair?," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-06, Feb.
• Markku Lanne & Jani Luoto, 2014, "Noncausal Bayesian Vector Autoregression," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-07, Mar.
• Stefano Grassi & Nima Nonejad & Paolo Santucci de Magistris, 2014, "Forecasting with the Standardized Self-Perturbed Kalman Filter," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-12, Apr.
• Storm, Hugo & Heckelei, Thomas & Mittelhammer, Ron C., 2014, "Bayesian Estimation of Non-Stationary Markov Models Combining Micro and Macro Data," 2014 International Congress, August 26-29, 2014, Ljubljana, Slovenia, European Association of Agricultural Economists, number 186376, Sep, DOI: 10.22004/ag.econ.186376.
• Andreza Aparecida Palma & Marcelo Savino Portugal, 2014, "Preferences Of The Central Bank Of Brazil Under The Inflation Targeting Regime: Estimation Using A Dsge Model For A Small Open Economy," Anais do XLI Encontro Nacional de Economia [Proceedings of the 41st Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], number 055.
• Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2014, "Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures," Papers, arXiv.org, number 1401.3911, Jan, revised Mar 2016.
• Roberto Casarin & Fabrizio Leisen & German Molina & Enrique ter Horst, 2014, "A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities," Papers, arXiv.org, number 1409.1956, Sep.
• Gabriella Conti & Sylvia Frühwirth-Schnatter & James Heckman & Rémi Piatek, 2014, "Bayesian exploratory factor analysis," CeMMAP working papers, Institute for Fiscal Studies, number 30/14, Jul, DOI: 10.1920/wp.cem.2014.3014.
• Hruschka, Harald, 2014, "Linking Multi-Category Purchases to Latent Activities of Shoppers: Analysing Market Baskets by Topic Models," University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics, number 482, Sep.
• Stefania Villa, 2014, "Financial frictions in the Euro Area and the United States: a Bayesian assessment," BCAM Working Papers, Birkbeck Centre for Applied Macroeconomics, number 1407, Dec.
• Jesus Fernandez-Villaverde & Pablo Guerron-Quintana & Juan F. Rubio-Ramirez, 2014, "Estimating Dynamic Equilibrium Models with Stochastic Volatility," Working Papers, BBVA Bank, Economic Research Department, number 1424, Sep.
• Daniel Aromi & Marcos Dal Bianco, 2014, "Un analisis de los desequilibrios del tipo de cambio real argentino bajo cambios de regimen," Working Papers, BBVA Bank, Economic Research Department, number 1431, Nov.
• Tatjana Dahlhaus, 2014, "Monetary Policy Transmission during Financial Crises: An Empirical Analysis," Staff Working Papers, Bank of Canada, number 14-21, DOI: 10.34989/swp-2014-21.
• Daniel Aromí & Marcos Dal Bianco, 2014, "An Analysis of Real Exchange Rate Misalignments under Regime Shifts in Argentina," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, volume 1, issue 71, pages 40-71, December.
• Enrique Moral-Benito & Oliver Roehn, 2014, "The impact of financial (de)regulation on current account balances," Working Papers, Banco de España, number 1424, Sep.
• Martínez-Ovando Juan Carlos & Olivares-Guzmán Sergio I. & Roldán-Rodríguez Adriana, 2014, "Predictive Inference on Finite Populations Segmented in Planned and Unplanned Domains," Working Papers, Banco de México, number 2014-04, Feb.
• Ignacio Lozano & Alexander Guarín, 2014, "Fragilidad Bancaria en Colombia: Un Análisis Basado en las Hojas de Balance," Borradores de Economia, Banco de la Republica de Colombia, number 813, Jun, DOI: 10.32468/be.813.
• Ignacio Lozano & Alexander Guarín, 2014, "Banking Fragility in Colombia: An Empirical Analysis Based on Balance Sheets," Borradores de Economia, Banco de la Republica de Colombia, number 813i, Mar, DOI: 10.32468/be.813-I.
• Luis F. Melo Velandia & Rubén A. Loaiza Maya & Mauricio Villamizar-Villegas, 2014, "Bayesian Combination for Inflation Forecasts: The Effects of a Prior Based on Central Banks’ Estimates," Borradores de Economia, Banco de la Republica de Colombia, number 853, Nov, DOI: 10.32468/be.853.
• Hernán Rincón & Diego Rodríguez & Jorge Toro & Santiago Téllez, 2014, "FISCO: Modelo Fiscal para Colombia," Borradores de Economia, Banco de la Republica de Colombia, number 855, Dec, DOI: 10.32468/be.855.
• Ignacio Lozano & Alexander Guarin, 2014, "Banking fragility in Colombia: An empirical analysis based on balance sheets," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, volume 32, issue 75, pages 48-63, December, DOI: 10.1016/j.espe.2014.10.001.
• Marek Jarocinski & Albert Marcet, 2015, "Contrasting Bayesian and Frequentist Approaches to Autoregressions: the Role of the Initial Condition," Working Papers, Barcelona School of Economics, number 776, Sep.
• Mariusz Próchniak & Bartosz Witkowski, 2014, "The application of Bayesian model averaging in assessing the impact of the regulatory framework on economic growth," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, volume 14, issue 1-2, pages 159-180, December.
• Herzberg, Frederik, 2014, "Aggregating infinitely many probability measures," Center for Mathematical Economics Working Papers, Center for Mathematical Economics, Bielefeld University, number 499, May.
• Herzberg, Frederik, 2016, "Respect for experts or respect for unanimity? The liberal paradox in probabilistic opinion pooling," Center for Mathematical Economics Working Papers, Center for Mathematical Economics, Bielefeld University, number 513, Mar.
• Dennis Wesselbaum, 2014, "Labour Market Dynamics in Australia," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, volume 47, issue 2, pages 173-188, June.
• Tai-Kuang Ho & Kuo-Chun Yeh, 2014, "The Post-Asian Crisis Drop In Investment: The Cases Of Indonesia, Korea, Malaysia, And Thailand," Contemporary Economic Policy, Western Economic Association International, volume 32, issue 3, pages 618-638, July.
• Kelvin Balcombe & Michail Bitzios & Iain Fraser & Janet Haddock-Fraser, 2014, "Using Attribute Importance Rankings Within Discrete Choice Experiments: An Application to Valuing Bread Attributes," Journal of Agricultural Economics, Wiley Blackwell, volume 65, issue 2, pages 446-462, June.
• Markku Lanne & Jani Luoto, 2014, "Does Output Gap, Labour's Share or Unemployment Rate Drive Inflation?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 76, issue 5, pages 715-726, October.
• Jan R. Magnus & Wendun Wang, 2014, "Concept-Based Bayesian Model Averaging and Growth Empirics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 76, issue 6, pages 874-897, December.
• Michel Lubrano & Abdoul Aziz Junior Ndoye, 2014, "Bayesian Unconditional Quantile Regression: An Analysis of Recent Expansions in Wage Structure and Earnings Inequality in the US 1992–2009," Scottish Journal of Political Economy, Scottish Economic Society, volume 61, issue 2, pages 129-153, May.
• Francesco Furlanetto & Francesco Ravazzolo & Samad Sarferaz, 2014, "Identification of financial factors in economic fluctuations," Working Paper, Norges Bank, number 2014/09, Jul.
• Knut Are Aastveit & Claudia Foroni & Francesco Ravazzolo, 2014, "Density forecasts with MIDAS models," Working Paper, Norges Bank, number 2014/10, Jul.
• Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Harman K. van Dijk, 2014, "Parallel sequential Monte Carlo for efficient density combination: The DeCo MATLAB toolbox," Working Paper, Norges Bank, number 2014/11, Jul.
• Knut Are Aastveit & Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2014, "Have standard VARs remained stable since the crisis?," Working Paper, Norges Bank, number 2014/13, Sep.
• Davide Pettenuzzo & Francesco Ravazzolo, 2014, "Optimal portfolio choice under decision-based model combinations," Working Paper, Norges Bank, number 2014/15, Nov.
• Knut Are Aastveit & Francesco Ravazzolo & Herman K. van Dijk, 2014, "Combined Density Nowcasting in an uncertain economic environment," Working Paper, Norges Bank, number 2014/17, Dec.
• Drago Bergholt, 2014, "Foreign shocks in an estimated multi-sector model," Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School, number No 4/2014, Apr.
• Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2014, "Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model," Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School, number No 8/2014, Nov.
• Min-Ho Nam & Hyuntae Kim, 2014, "Estimation of Current Account Benchmarks via Bayesian Model Averaging (in Korean)," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, volume 20, issue 3, pages 39-74, September.
• Azamat Abdymomunov & Kyu Ho Kang & Ki Jeong Kim, 2014, "Forecasting the Term Structure of Government Bond Yields Using Credit Spreads and Structural Breaks," Working Papers, Economic Research Institute, Bank of Korea, number 2014-19, Jul.
• F. Pancotto & G. Pignataro & D. Raggi, 2014, "Higher order beliefs and the dynamics of exchange rates," Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna, number wp957, Jul.
• Pereira Manuel Coutinho & Lopes Artur Silva, 2014, "Time-varying fiscal policy in the US," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 18, issue 2, pages 157-184, April, DOI: 10.1515/snde-2012-0062.
• Ravazzolo Francesco & Vahey Shaun P., 2014, "Forecast densities for economic aggregates from disaggregate ensembles," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 18, issue 4, pages 367-381, September, DOI: 10.1515/snde-2012-0088.
• Davide Pettenuzzo & Rossen Valkanov & Allan Timmermann, 2014, "A Bayesian MIDAS Approach to Modeling First and Second Moment Dynamics," Working Papers, Brandeis School of Business and Economics, number 76, Jul.
• Davide Pettenuzzo & Francesco Ravazzolo, 2014, "Optimal Portfolio Choice under Decision-Based Model Combinations," Working Papers, Brandeis School of Business and Economics, number 80, Oct.
• Jean-Louis Arcand, 2014, "The (Lack of) Impact of Impact: Why Impact Evaluations Seldom Lead to Evidence-based Policymaking," Revue d’économie du développement, De Boeck Université, volume 22, issue HS01, pages 289-311.
• Jorge E. Galán & Michael G. Pollitt, 2014, "Inefficiency persistence and heterogeneity in Colombian electricity distribution utilities," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1423, Aug.
• Ristan Stijepović, 2014, "Recovery and Reduction of Non-Performing Loans – Podgorica Approach," Journal of Central Banking Theory and Practice, Central bank of Montenegro, volume 3, issue 3, pages 101-118.
• Dai, Li & Minford, Patrick & Zhou, Peng, 2014, "A DSGE Model of China," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2014/4, May.
• Tim Oliver Berg & Steffen Henzel, 2014, "Point and Density Forecasts for the Euro Area Using Bayesian VARs," CESifo Working Paper Series, CESifo, number 4711.
• Enrique Moral-Benito & Oliver Röhn, 2014, "The Impact of Financial (De-)Regulation on Current Account Balances," CESifo Working Paper Series, CESifo, number 5082.
• Matthew J. Baker, 2014, "Adaptive Markov chain Monte Carlo sampling and estimation in Mata," Working Papers, City University of New York Graduate Center, Ph.D. Program in Economics, number 3, Jul.
• Ignacio Lozano & Alexander Guar�n, 2014, "Banking Fragility in Colombia: An Empirical Analysis Based on Balance Sheets," Borradores de Economia, Banco de la Republica, number 11145, Mar.
• Luis F. Melo Velandia & Rub�n A. Loaiza Maya & Mauricio Villamizar-Villegas, 2014, "Bayesian Combination for Inflation Forecasts: The Effects of a Prior Based on Central Banks� Estimates," Borradores de Economia, Banco de la Republica, number 12323, Nov.
• Hern�n Rinc�n & Diego Rodr�guez & Jorge Toro & Santiago T�llez, 2014, "FISCO: Modelo Fiscal para Colombia," Borradores de Economia, Banco de la Republica, number 12336, Dec.
• Ignacio Lozano & Alexander Guar�n, 2014, "Banking fragility in Colombia: An empirical analysis based on balance sheets," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, volume 32, issue 75, pages 48-63, DOI: 10.1016/j.espe.2014.10.001.
• Andrés Ramírez Hassan & Johnatan Cardona Jim�nez, 2014, "Which team will win the 2014 FIFA World Cup? A Bayesian approach for dummies," Documentos de Trabajo de Valor Público, Universidad EAFIT, number 10898, Feb.
• Andrés Ramírez Hassan & Jhonatan Cardona Jim�nez & Raul Pericchi Guerra, 2014, "What is the effect of sample and prior distributions on a Bayesian autoregressive linear model? An application to piped water consumption," Documentos de Trabajo de Valor Público, Universidad EAFIT, number 12434, Jul.
• DASH, Sanjeeb & GÜNLÜK, Oktay & WOLSEY, Laurence A., 2014, "The continuous knapsack set," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2014007, Mar.
• CARPANTIER, Jean-François & DUFAYS, Arnaud, 2014, "Specific Markov-switching behaviour for ARMA parameters," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2014014, Jun.
• BAUWENS, Luc & DUFAYS, Arnaud & ROMBOUTS, Jeroen V.K., 2014, "Marginal likelihood for Markov-switching and change-point GARCH models," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2533, Jan.