IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login

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

by Geweke, John

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window

  1. 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.
  2. 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.
  3. Ricardo Reis & Vasco Curdia, 2009. "Correlated Disturbances and U.S. Business Cycles," 2009 Meeting Papers 129, Society for Economic Dynamics.
  4. Vassilis A. Hajivassiliou & Paul A. Ruud, 1993. "Classical Estimation Methods for LDV Models Using Simulation," Cowles Foundation Discussion Papers 1051, Cowles Foundation for Research in Economics, Yale University.
  5. 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.
  6. 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).
  7. Bollerslev, Tim, 2001. "Financial econometrics: Past developments and future challenges," Journal of Econometrics, Elsevier, vol. 100(1), pages 41-51, January.
  8. repec:dgr:uvatin:2010021 is not listed on IDEAS
  9. 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.
  10. Kleppe, Tore Selland & Liesenfeld, Roman, 2014. "Efficient importance sampling in mixture frameworks," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 449-463.
  11. Dong Kim, 2012. "What is an oil shock? Panel data evidence," Empirical Economics, Springer, vol. 43(1), pages 121-143, August.
  12. 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.
  13. 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).
  14. repec:dgr:uvatin:2008036 is not listed on IDEAS
  15. 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.
  16. repec:dgr:uvatin:20140061 is not listed on IDEAS
  17. 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.
  18. repec:dgr:uvatin:2098025 is not listed on IDEAS
  19. Lee, Lung-fei, 1999. "Estimation of dynamic and ARCH Tobit models," Journal of Econometrics, Elsevier, vol. 92(2), pages 355-390, October.
  20. 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).
  21. Eduardo Ley & Mark F.J. Steel, 1995. "On the Estimation of Demand Systems Through Consumption Efficiency," Econometrics 9503001, EconWPA, revised 22 Feb 1996.
  22. 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.
  23. Revelt, David & Train, Kenneth, 2000. "Customer-Specific Taste Parameters and Mixed Logit: Households' Choice of Electricity Supplier," Department of Economics, Working Paper Series qt1900p96t, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
  24. Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2011. "Systemic risk diagnostics: coincident indicators and early warning signals," Working Paper Series 1327, European Central Bank.
  25. Hoogerheide, Lennart & Opschoor, Anne & van Dijk, Herman K., 2012. "A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation," Journal of Econometrics, Elsevier, vol. 171(2), pages 101-120.
  26. Fok, Dennis & Franses, Philip Hans, 2007. "Modeling the diffusion of scientific publications," Journal of Econometrics, Elsevier, vol. 139(2), pages 376-390, August.
  27. Sungbae An & Frank Schorfheide, 2007. "Bayesian Analysis of DSGE Models," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 113-172.
  28. repec:dgr:uvatin:19970006 is not listed on IDEAS
  29. repec:dgr:uvatin:2009017 is not listed on IDEAS
  30. Susanne Schennach & James Heckman & Flavio Cunha, 2007. "Estimating the Technology of Cognitive and Noncognitive Skill Formation," 2007 Meeting Papers 973, Society for Economic Dynamics.
  31. 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.
  32. repec:dgr:uvatin:20050002 is not listed on IDEAS
  33. Mark Dwyer, 1998. "Impulse Response Priors for Discriminating Structural Vector Autoregressions," UCLA Economics Working Papers 780, UCLA Department of Economics.
  34. David N. DeJong & Beth F. Ingram & Charles H. Whiteman, 1995. "Keynes vs. Prescott and Solow: Identifying Sources of Business Cycle Fluctuations," Macroeconomics 9504002, EconWPA, revised 18 Apr 1995.
  35. Maarten Dossche & Gerdie Everaert, 2005. "Measuring Inflation Persistence: A Structural Time Series Approach," Computing in Economics and Finance 2005 459, Society for Computational Economics.
  36. 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.
  37. Geweke, John, 1996. "Monte carlo simulation and numerical integration," Handbook of Computational Economics, in: H. M. Amman & D. A. Kendrick & J. Rust (ed.), Handbook of Computational Economics, edition 1, volume 1, chapter 15, pages 731-800 Elsevier.
  38. Kandel, Shmuel & McCulloch, Robert & Stambaugh, Robert F, 1995. "Bayesian Inference and Portfolio Efficiency," Review of Financial Studies, Society for Financial Studies, vol. 8(1), pages 1-53.
  39. 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.
  40. Jeroen Rombouts & Lars Peter Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," CIRANO Working Papers 2009s-19, CIRANO.
  41. Villani, Mattias, 2005. "Bayesian Inference of General Linear Restrictions on the Cointegration Space," Working Paper Series 189, Sveriges Riksbank (Central Bank of Sweden).
  42. Chib, Siddhartha & Greenberg, Edward, 1996. "Markov Chain Monte Carlo Simulation Methods in Econometrics," Econometric Theory, Cambridge University Press, vol. 12(03), pages 409-431, August.
  43. Charles Bos & Neil Shephard, 2006. "Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 219-244.
  44. Irina V. Bezlepkina & Nikolai M. Svetlov, 2000. "Approaching the losses caused by imperfect short-term financing at the Russian farms," Econometrics 0004006, EconWPA.
  45. Roberto Fontana & Alessandro Nuvolari & Hiroshi Shimizu & Andrea Vezzulli, 2012. "Schumpeterian patterns of innovation and the sources of breakthrough inventions: evidence from a data-set of R&D awards," Journal of Evolutionary Economics, Springer, vol. 22(4), pages 785-810, September.
  46. 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.
  47. Wang, Xiaoning & Schumitzky, Alan & D'Argenio, David Z., 2007. "Nonlinear random effects mixture models: Maximum likelihood estimation via the EM algorithm," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 6614-6623, August.
  48. Allen, W. David, 2009. "Interview effects in the reporting of domestic violence," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 38(2), pages 288-300, March.
  49. Koopman, Siem Jan & Lucas, André, 2008. "A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 510-525.
  50. Maksym, Obrizan, 2010. "A Bayesian Model of Sample Selection with a Discrete Outcome Variable," MPRA Paper 28577, University Library of Munich, Germany.
  51. Richard, Jean-Francois & Zhang, Wei, 2007. "Efficient high-dimensional importance sampling," Journal of Econometrics, Elsevier, vol. 141(2), pages 1385-1411, December.
  52. Francis X. Diebold & Jose A. Lopez, 1995. "Measuring Volatility Dynamics," NBER Technical Working Papers 0173, National Bureau of Economic Research, Inc.
  53. Jesús Fernández-Villaverde & Juan F Rubio-Ramírez, 2007. "How Structural Are Structural Parameters?," Levine's Bibliography 843644000000000057, UCLA Department of Economics.
  54. repec:dgr:uvatin:20020113 is not listed on IDEAS
  55. repec:dgr:uvatin:2012099 is not listed on IDEAS
  56. Jes�s Fern�ndez-Villaverde & Juan F. Rubio-Ram�rez, 2007. "Estimating Macroeconomic Models: A Likelihood Approach," Review of Economic Studies, Oxford University Press, vol. 74(4), pages 1059-1087.
  57. Jacek Osiewalski & Mark Steel, 1998. "Numerical Tools for the Bayesian Analysis of Stochastic Frontier Models," Journal of Productivity Analysis, Springer, vol. 10(1), pages 103-117, July.
  58. Kleppe, Tore Selland & Liesenfeld, Roman, 2011. "Efficient high-dimensional importance sampling in mixture frameworks," Economics Working Papers 2011,11, Christian-Albrechts-University of Kiel, Department of Economics.
  59. Vassilis A. Hajivassiliou, 1991. "Simulation Estimation Methods for Limited Dependent Variable Models," Cowles Foundation Discussion Papers 1007, Cowles Foundation for Research in Economics, Yale University.
  60. Claudia Pigini & Andrea Filippo Presbitero & Alberto Zazzaro, 2014. "State Dependence in Access to Credit," Mo.Fi.R. Working Papers 102, Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences.
  61. repec:dgr:uvatin:2005060 is not listed on IDEAS
  62. Hoogerheide, L.F. & Kaashoek, J.F. & van Dijk, H.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," Econometric Institute Research Papers EI 2005-12, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  63. Hoogerheide, L.F. & Kaashoek, J.F. & van Dijk, H.K., 2002. "Functional approximations to posterior densities: a neural network approach to efficient sampling," Econometric Institute Research Papers EI 2002-48, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  64. Denis Fougère & Thierry Kamionka, 2003. "Bayesian inference for the mover-stayer model in continuous time with an application to labour market transition data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(6), pages 697-723.
  65. Jay Shanken & Ane Tamayo, 2001. "Risk, Mispricing, and Asset Allocation: Conditioning on Dividend Yield," NBER Working Papers 8666, National Bureau of Economic Research, Inc.
  66. Troske, Kenneth & Voicu, Alexandru, 2009. "The Effect of Children on the Level of Labor Market Involvement of Married Women: What is the Role of Education?," IZA Discussion Papers 4074, Institute for the Study of Labor (IZA).
  67. repec:dgr:uvatin:20080036 is not listed on IDEAS
  68. 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).
  69. 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.
  70. repec:dgr:uvatin:2010046 is not listed on IDEAS
  71. Lahiri, Kajal & Gao, Jian, 2002. "Bayesian analysis of nested logit model by Markov chain Monte Carlo," Journal of Econometrics, Elsevier, vol. 111(1), pages 103-133, November.
  72. Gary Koop, 1995. "Bayesian Analysis of Long Memory and Persistence using ARFIMA Models," Working Papers gkoop-95-01, University of Toronto, Department of Economics.
  73. 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.
  74. 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.
  75. repec:dgr:uvatin:2011090 is not listed on IDEAS
  76. 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.
  77. 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.
  78. Voicu, Alexandru, 2002. "Employment Dynamics in the Romanian Labor Market: A Markov Chain Monte Carlo Approach," IZA Discussion Papers 438, Institute for the Study of Labor (IZA).
  79. 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.
  80. Roman Liesenfeld & Guilherme V. Moura & Jean-François Richard & Hariharan Dharmarajan, 2013. "Efficient Likelihood Evaluation of State-Space Representations," Review of Economic Studies, Oxford University Press, vol. 80(2), pages 538-567.
  81. Liesenfeld, Roman & Richard, Jean-François, 2004. "Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models," Economics Working Papers 2004,12, Christian-Albrechts-University of Kiel, Department of Economics.
  82. Christian Aßmann & Jens Boysen-Hogrefe & Nils Jannsen, 2013. "Costs Of Housing Crises: International Evidence," Bulletin of Economic Research, Wiley Blackwell, vol. 65(4), pages 299-313, October.
  83. Shanken, Jay & Tamayo, Ane, 2012. "Payout yield, risk, and mispricing: A Bayesian analysis," Journal of Financial Economics, Elsevier, vol. 105(1), pages 131-152.
  84. 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.).
  85. David Ardia, 2009. "Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations," Econometrics Journal, Royal Economic Society, vol. 12(1), pages 105-126, 03.
  86. repec:dgr:uvatin:2005081 is not listed on IDEAS
  87. Davezies, Laurent & d'Haultfoeuille, Xavier & Fougère, Denis, 2006. "Identification of Peer Effects Using Group Size Variation," IZA Discussion Papers 2324, Institute for the Study of Labor (IZA).
  88. Gabriella Conti & Sylvia Fruehwirth-Schnatter & James J. Heckman & Remi Piatek, 2014. "Bayesian Exploratory Factor Analysis," Working Papers 2014-014, Human Capital and Economic Opportunity Working Group.
  89. Liesenfeld, Roman & Richard, Jean-François, 2006. "Improving MCMC Using Efficient Importance Sampling," Economics Working Papers 2006,05, Christian-Albrechts-University of Kiel, Department of Economics.
  90. Matthieu Droumaguet & Tomasz Wozniak, 2012. "Bayesian Testing of Granger Causality in Markov-Switching VARs," Economics Working Papers ECO2012/06, European University Institute.
  91. Fabio Canova & Eva Ortega, 1996. "Testing calibrated general equilibrium models," Economics Working Papers 166, Department of Economics and Business, Universitat Pompeu Fabra.
  92. Arimura, Toshi H. & Darnall, Nicole & Katayama, Hajime, 2011. "Is ISO 14001 a gateway to more advanced voluntary action? The case of green supply chain management," Journal of Environmental Economics and Management, Elsevier, vol. 61(2), pages 170-182, March.
  93. John Geweke, 1999. "Using simulation methods for bayesian econometric models: inference, development,and communication," Econometric Reviews, Taylor & Francis Journals, vol. 18(1), pages 1-73.
  94. 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.
  95. Vijverberg, Wim P. M., 1997. "Monte Carlo evaluation of multivariate normal probabilities," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 281-307.
  96. Ardia, David & Hoogerheide, Lennart F. & van Dijk, Herman K., 2008. "Adaptive mixture of Student-t distributions as a flexible candidate distribution for efficient simulation: the R package AdMit," DQE Working Papers 9, Department of Quantitative Economics, University of Freiburg/Fribourg Switzerland, revised 07 Jan 2009.
  97. repec:dgr:uvatin:2007027 is not listed on IDEAS
  98. 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.
  99. repec:dgr:kubcen:199602 is not listed on IDEAS
  100. repec:dgr:uvatin:20130191 is not listed on IDEAS
  101. Velu, Raja & Zhou, Guofu, 1999. "Testing multi-beta asset pricing models," Journal of Empirical Finance, Elsevier, vol. 6(3), pages 219-241, September.
  102. repec:dgr:uvatin:2012110 is not listed on IDEAS
  103. Yasar, Mahmut, 2013. "Political Influence of Exporting and Import-Competing Firms: Evidence from Eastern European and Central Asian Countries," World Development, Elsevier, vol. 51(C), pages 154-168.
  104. 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.
  105. 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.
  106. Kleppe, Tore Selland & Yu, Jun & Skaug, Hans J., 2014. "Maximum likelihood estimation of partially observed diffusion models," Journal of Econometrics, Elsevier, vol. 180(1), pages 73-80.
  107. Siddhartha Chib & Michael K Pitt & Neil Shephard, 2004. "Likelihood based inference for diffusion driven models," Economics Papers 2004-W20, Economics Group, Nuffield College, University of Oxford.
  108. McCausland, William J., 2012. "The HESSIAN method: Highly efficient simulation smoothing, in a nutshell," Journal of Econometrics, Elsevier, vol. 168(2), pages 189-206.
  109. repec:dgr:uvatin:20050081 is not listed on IDEAS
  110. Grigor Sukiassyan & Jeffrey Nugent, 2008. "Associations versus registration as alternative strategies of small firms," Small Business Economics, Springer, vol. 31(2), pages 147-161, August.
  111. 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.
  112. Shea, Paul, 2008. "Real-time rational expectations and indeterminacy," Economics Letters, Elsevier, vol. 99(3), pages 530-533, June.
  113. 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.
  114. repec:dgr:uvatin:2004015 is not listed on IDEAS
  115. 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.
  116. repec:dgr:uvatin:2002113 is not listed on IDEAS
  117. Hoogerheide, L.F. & van Dijk, H.K. & van Oest, R.D., 2007. "Simulation based bayesian econometric inference: principles and some recent computational advances," Econometric Institute Research Papers EI 2007-03, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  118. 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.
  119. Chernew, Michael & Gowrisankaran, Gautam & Fendrick, A. Mark, 2002. "Payer type and the returns to bypass surgery: evidence from hospital entry behavior," Journal of Health Economics, Elsevier, vol. 21(3), pages 451-474, May.
  120. Heckelei, Thomas & Mittelhammer, Ron C., 2003. "Bayesian bootstrap multivariate regression," Journal of Econometrics, Elsevier, vol. 112(2), pages 241-264, February.
  121. repec:dgr:uvatin:20080092 is not listed on IDEAS
  122. Ardia, David & Hoogerheide, Lennart F., 2010. "Efficient Bayesian estimation and combination of GARCH-type models," MPRA Paper 22919, University Library of Munich, Germany.
  123. 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.
  124. Joshua Chan & Rodney Strachan, 2012. "Estimation in Non-Linear Non-Gaussian State Space Models with Precision-Based Methods," CAMA Working Papers 2012-13, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  125. repec:dgr:kubcen:1995116 is not listed on IDEAS
  126. repec:dgr:uvatin:20140032 is not listed on IDEAS
  127. 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.
  128. Bognanni, Mark & Herbst, Edward, 2014. "Estimating (Markov-Switching) VAR Models without Gibbs Sampling: A Sequential Monte Carlo Approach," Working Paper 1427, Federal Reserve Bank of Cleveland.
  129. 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.
  130. repec:dgr:uvatin:2008092 is not listed on IDEAS
  131. repec:dgr:uvatin:2010059 is not listed on IDEAS
  132. 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.
  133. 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.
  134. David Roodman, 2009. "Estimating Fully Observed Recursive Mixed-Process Models with cmp," Working Papers 168, Center for Global Development.
  135. 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.
  136. repec:dgr:uvatin:2012009 is not listed on IDEAS
  137. 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.
  138. Tino Berger & Bernd Kempa, 2014. "Time-varying equilibrium rates in small open economies: Evidence for Canada," CQE Working Papers 3414, Center for Quantitative Economics (CQE), University of Muenster.
  139. repec:dgr:uvatin:2008062 is not listed on IDEAS
  140. Hoogerheide, Lennart & van Dijk, Herman K., 2010. "Bayesian forecasting of Value at Risk and Expected Shortfall using adaptive importance sampling," International Journal of Forecasting, Elsevier, vol. 26(2), pages 231-247, April.
  141. Romeo, Charles J, 1999. "Conducting Inference in Semiparametric Duration Models under Inequality Restrictions on the Shape of the Hazard Implied by Job Search Theory," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(6), pages 587-605, Nov.-Dec..
  142. Tomasz Wozniak, 2012. "Granger-causal analysis of VARMA-GARCH models," Economics Working Papers ECO2012/19, European University Institute.
  143. Giovanni Bruno & Orietta Dessy, 2014. "Average partial effects in multivariate probit models with latent heterogeneity: Monte Carlo experiments and an application to immigrants' ethnic identity and economic performance," Italian Stata Users' Group Meetings 2014 10, Stata Users Group.
  144. repec:dgr:uvatin:20090017 is not listed on IDEAS
  145. Canova, Fabio & Marrinan, Jane, 1995. "Predicting excess returns in financial markets," European Economic Review, Elsevier, vol. 39(1), pages 35-69, January.
  146. Kleibergen, Frank & Paap, Richard, 2002. "Priors, posteriors and bayes factors for a Bayesian analysis of cointegration," Journal of Econometrics, Elsevier, vol. 111(2), pages 223-249, December.
  147. 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.
  148. Tanizaki, Hisashi, 1997. "Nonlinear and nonnormal filters using Monte Carlo methods," Computational Statistics & Data Analysis, Elsevier, vol. 25(4), pages 417-439, September.
  149. repec:dgr:uvatin:20050117 is not listed on IDEAS
  150. repec:dgr:uvatin:20040015 is not listed on IDEAS
  151. John Geweke & Gianni Amisano, 2007. "Hierarchical Markov Normal Mixture Models with Applications to Financial Asset Returns," Working Papers 0705, University of Brescia, Department of Economics.
  152. Tomasz Wozniak, 2012. "Testing Causality Between Two Vectors in Multivariate GARCH Models," Economics Working Papers ECO2012/20, European University Institute.
  153. repec:dgr:uvatin:2005002 is not listed on IDEAS
  154. McCAUSLAND, William & MARLEY, A. A. J., 2013. "Bayesian inference and model comparison for ramdom choice structures," Cahiers de recherche 2013-06, Universite de Montreal, Departement de sciences economiques.
  155. 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.
  156. 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.
  157. Canova, Fabio & Marrinan, Jane, 1996. "Reconciling the term structure of interest rates with the consumption-based ICAP model," Journal of Economic Dynamics and Control, Elsevier, vol. 20(4), pages 709-750, April.
  158. 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.
  159. Geweke, John, 1996. "Bayesian reduced rank regression in econometrics," Journal of Econometrics, Elsevier, vol. 75(1), pages 121-146, November.
  160. David Roodman, 2011. "Fitting fully observed recursive mixed-process models with cmp," Stata Journal, StataCorp LP, vol. 11(2), pages 159-206, June.
  161. 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.
  162. Eric Jacquier & Robert Jarrow, . "Model Error in Contingent Claim Models (Dynamic Evaluation)," Rodney L. White Center for Financial Research Working Papers 7-96, Wharton School Rodney L. White Center for Financial Research.
  163. Gregor Semieniuk & Ellis Scharfenaker, 2014. "A Bayesian Latent Variable Mixture Model for Filtering Firm Profit Rate," SCEPA working paper series. SCEPA's main areas of research are macroeconomic policy, inequality and poverty, and globalization. 2014-1, Schwartz Center for Economic Policy Analysis (SCEPA), The New School.
  164. repec:dgr:uvatin:2012026 is not listed on IDEAS
  165. McCAUSLAND, William, 2008. "The Hessian Method (Highly Efficient State Smoothing, In a Nutshell)," Cahiers de recherche 2008-03, Universite de Montreal, Departement de sciences economiques.
  166. 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.
  167. David, D. & Hoogerheide, L.F. & van Dijk, H.K., 2008. "The AdMit Package," Econometric Institute Research Papers EI 2008-17, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  168. Kleibergen, F.R. & Hoek, H., 1995. "Bayesian analysis of ARMA models using noninformative priors," Discussion Paper 1995-116, Tilburg University, Center for Economic Research.
  169. Villani, Mattias, 2006. "Bayesian point estimation of the cointegration space," Journal of Econometrics, Elsevier, vol. 134(2), pages 645-664, October.
  170. 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.
  171. repec:dgr:uvatin:20120099 is not listed on IDEAS
  172. repec:dgr:uvatin:2012096 is not listed on IDEAS
  173. Sándor, Z. & Andr�s, P., 2003. "Alternate Samplingmethods for Estimating Multivariate Normal Probabilities," Econometric Institute Research Papers EI 2003-05, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  174. Velandia, Margarita M. & Lambert, Dayton M. & Jenkins, Amanda & Roberts, Roland K. & Larson, James A. & English, Burton C. & Martin, Steven W., 2009. "Factors Influencing Selection of Information Sources by Cotton Producers Considering Adoption of Precision Agriculture Technologies," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49326, Agricultural and Applied Economics Association.
  175. 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.
  176. 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.
  177. Ku, Se-Ju & Yoo, Seung-Hoon, 2010. "Willingness to pay for renewable energy investment in Korea: A choice experiment study," Renewable and Sustainable Energy Reviews, Elsevier, vol. 14(8), pages 2196-2201, October.
  178. Fan, Tsai-Hung & Berger, James O., 2000. "Robust Bayesian displays for standard inferences concerning a normal mean," Computational Statistics & Data Analysis, Elsevier, vol. 33(4), pages 381-399, June.
  179. 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.
  180. 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.
  181. Zhenyu Wang & Asani Sarkar & Kai Li, 1999. "Assessing the impact of short-sale constraints on the gains from international diversification," Staff Reports 89, Federal Reserve Bank of New York.
  182. Christopher Otrok, 2000. "On Measuring the Welfare Cost of Business Cycles," Econometric Society World Congress 2000 Contributed Papers 1094, Econometric Society.
  183. repec:dgr:uvatin:20080062 is not listed on IDEAS
  184. 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.
  185. Kleibergen, F.R. & Paap, R., 1996. "Priors, Posterior Odds and Lagrange Multiplier Statistics in Bayesian Analyses of Cointegration," Econometric Institute Research Papers EI 9668-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  186. Ardia, David & Baştürk, Nalan & Hoogerheide, Lennart & van Dijk, Herman K., 2012. "A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihood," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3398-3414.
  187. 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.
  188. repec:dgr:vuarem:2009-18 is not listed on IDEAS
  189. Fernandez-Cornejo, Jorge & Wechsler, Seth James, 2012. "Fifteen Years Later: Examining the Adoption of Bt Corn Varieties by U.S. Farmers," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124257, Agricultural and Applied Economics Association.
  190. Ilias Tsiakas, 2004. "Analysis of the predictive ability of information accumulated over nights, weekends and holidays," Econometric Society 2004 Australasian Meetings 208, Econometric Society.
  191. Martinez-Garcia, Enrique & Wynne, Mark A., 2014. "Assessing Bayesian model comparison in small samples," Globalization and Monetary Policy Institute Working Paper 189, Federal Reserve Bank of Dallas.
  192. Robertson, John C & Tallman, Ellis W & Whiteman, Charles H, 2005. "Forecasting Using Relative Entropy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(3), pages 383-401, June.
  193. Steel, M.F.J., 1991. "Bayesian Inference in Time Series," Papers 9153, Tilburg - Center for Economic Research.
  194. Uhlig, H.F.H.V.S., 1996. "Bayesian Vector Autoregressions with Stochastic Volatility," Discussion Paper 1996-09, Tilburg University, Center for Economic Research.
  195. John Geweke, 1991. "Evaluating the accuracy of sampling-based approaches to the calculation of posterior moments," Staff Report 148, Federal Reserve Bank of Minneapolis.
  196. Geweke, John, 1994. "Priors for Macroeconomic Time Series and Their Application," Econometric Theory, Cambridge University Press, vol. 10(3-4), pages 609-632, August.
  197. Berger, Tino & Kempa, Bernd, 2012. "Taylor rules and the Canadian–US equilibrium exchange rate," Journal of International Money and Finance, Elsevier, vol. 31(5), pages 1060-1075.
  198. Teruo Nakatsuma & Hiroki Tsurumi, 1996. "ARMA-GARCH Models: Bayes Estimation Versus MLE, and Bayes Non-stationarity Test," Departmental Working Papers 199619, Rutgers University, Department of Economics.
  199. 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.
  200. repec:dgr:uvatin:2011057 is not listed on IDEAS
  201. Salmeron, Antonio & Cano, Andres & Moral, Serafin, 2000. "Importance sampling in Bayesian networks using probability trees," Computational Statistics & Data Analysis, Elsevier, vol. 34(4), pages 387-413, October.
  202. Alexander Bade & Gabriel Frahm & Uwe Jaekel, 2009. "A general approach to Bayesian portfolio optimization," Mathematical Methods of Operations Research, Springer, vol. 70(2), pages 337-356, October.
  203. Berlingieri, Francesco & Zierahn, Ulrich, 2014. "Field of study, qualification mismatch, and wages: Does sorting matter?," ZEW Discussion Papers 14-076, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  204. Zha, Tao, 1999. "Block recursion and structural vector autoregressions," Journal of Econometrics, Elsevier, vol. 90(2), pages 291-316, June.
  205. Richard Gates, 2006. "A Mata Geweke–Hajivassiliou–Keane multivariate normal simulator," Stata Journal, StataCorp LP, vol. 6(2), pages 190-213, June.
  206. Tanizaki, Hisashi & Mariano, Roberto S., 1998. "Nonlinear and non-Gaussian state-space modeling with Monte Carlo simulations," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 263-290.
  207. repec:dgr:uvatin:20140085 is not listed on IDEAS
  208. Asim Ansari & Raghuram Iyengar, 2006. "Semiparametric Thurstonian Models for Recurrent Choices: A Bayesian Analysis," Psychometrika, Springer, vol. 71(4), pages 631-657, December.
  209. 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.
  210. repec:dgr:uvatin:2011004 is not listed on IDEAS
  211. 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).
  212. repec:dgr:uvatin:20070027 is not listed on IDEAS
  213. 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.
  214. 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.
  215. Voicu, Alexandru & Buddelmeyer, Hielke, 2003. "Children and Women's Participation Dynamics: Transitory and Long-Term Effects," IZA Discussion Papers 729, Institute for the Study of Labor (IZA).
  216. Sandor, Zsolt & Andras, P.Peter, 2004. "Alternative sampling methods for estimating multivariate normal probabilities," Journal of Econometrics, Elsevier, vol. 120(2), pages 207-234, June.
  217. Cogley, Timothy, 2009. "Is the market price of risk infinite?," Economics Letters, Elsevier, vol. 102(1), pages 13-16, January.
  218. 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.
  219. repec:spr:compst:v:70:y:2009:i:2:p:337-356 is not listed on IDEAS
  220. repec:dgr:uvatin:20050060 is not listed on IDEAS
  221. 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.
  222. Christian Brinch, 2012. "Efficient simulated maximum likelihood estimation through explicitly parameter dependent importance sampling," Computational Statistics, Springer, vol. 27(1), pages 13-28, March.
  223. 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.
  224. 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.
  225. Garland Durham, 2004. "Likelihood-based estimation and specification analysis of one- and two-factor SV models with leverage effects," Econometric Society 2004 North American Summer Meetings 294, Econometric Society.
  226. 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.
  227. Sugita, Katsuhiro, 2002. "Testing For Cointegration Rank Using Bayes Factors," The Warwick Economics Research Paper Series (TWERPS) 654, University of Warwick, Department of Economics.
  228. F. Douglas Foster & Charles H. Whiteman, 2006. "Bayesian Prediction, Entropy, and Option Pricingx," Australian Journal of Management, Australian School of Business, vol. 31(2), pages 181-205, December.
  229. repec:dgr:uvatin:2010104 is not listed on IDEAS
  230. Jiti Gao & Han Hong, 2014. "Nonparametric Regression Approach to Bayesian Estimation," Monash Econometrics and Business Statistics Working Papers 25/14, Monash University, Department of Econometrics and Business Statistics.
  231. Zhou, Guofu, 1995. "Small sample rank tests with applications to asset pricing," Journal of Empirical Finance, Elsevier, vol. 2(1), pages 71-93, March.
  232. Chib, Siddhartha, 2004. "Markov Chain Monte Carlo Technology," Papers 2004,22, Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE).
  233. 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.
  234. repec:cup:cbooks:9780521747387 is not listed on IDEAS
  235. repec:dgr:kubcen:199153 is not listed on IDEAS
  236. 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.
  237. repec:dgr:uvatin:2005117 is not listed on IDEAS
  238. Karlsson, Sune, 2012. "Forecasting with Bayesian Vector Autoregressions," Working Papers 2012:12, Örebro University, School of Business.
  239. 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.
  240. repec:dgr:uvatin:1998025 is not listed on IDEAS
  241. van Dijk, H.K., 2002. "On Bayesian structural inference in a simultaneous equation model," Econometric Institute Research Papers EI 2002-10, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  242. Liang, Faming & Zhang, Jian, 2009. "Learning Bayesian networks for discrete data," Computational Statistics & Data Analysis, Elsevier, vol. 53(4), pages 865-876, February.
  243. 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.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.