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

by Geweke, John

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  1. David Ardia & Lennart F. Hoogerheide, 2010. "Efficient Bayesian Estimation and Combination of GARCH-Type Models," Tinbergen Institute Discussion Papers 10-046/4, Tinbergen Institute.
  2. John Geweke, 1998. "Using simulation methods for Bayesian econometric models: inference, development, and communication," Staff Report 249, Federal Reserve Bank of Minneapolis.
  3. repec:dgr:uvatin:20140061 is not listed on IDEAS
  4. 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).
  5. 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.
  6. 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.
  7. Flavio Cunha & James Heckman & Susanne Schennach, 2010. "Estimating the technology of cognitive and noncognitive skill formation," CeMMAP working papers CWP09/10, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  8. 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.
  9. Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez, 2008. "How Structural Are Structural Parameters?," NBER Chapters, in: NBER Macroeconomics Annual 2007, Volume 22, pages 83-137 National Bureau of Economic Research, Inc.
  10. Vijverberg, Wim P. M., 1997. "Monte Carlo evaluation of multivariate normal probabilities," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 281-307.
  11. Steel, M.F.J., 1991. "Bayesian Inference in Time Series," Papers 9153, Tilburg - Center for Economic Research.
  12. Ou Yang & Xueyan Zhao & Preety Srivastava, 2015. "Binge Drinking, Antisocial and Unlawful Behaviours, and Beverage Types," Melbourne Institute Working Paper Series wp2015n03, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  13. 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.
  14. repec:dgr:uvatin:2010021 is not listed on IDEAS
  15. repec:dgr:uvatin:2012099 is not listed on IDEAS
  16. Matthieu Droumaguet & Tomasz Wozniak, 2012. "Bayesian Testing of Granger Causality in Markov-Switching VARs," Economics Working Papers ECO2012/06, European University Institute.
  17. Jeroen V.K. Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," Cahiers de recherche 0926, CIRPEE.
  18. 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.
  19. Voicu, Alexandru, 2005. "Employment dynamics in the Romanian labor market. A Markov chain Monte Carlo approach," Journal of Comparative Economics, Elsevier, vol. 33(3), pages 604-639, September.
  20. 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).
  21. 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.
  22. 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.
  23. 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.
  24. repec:dgr:uvatin:2005117 is not listed on IDEAS
  25. repec:dgr:uvatin:2005002 is not listed on IDEAS
  26. Tomasz Wozniak, 2012. "Testing Causality Between Two Vectors in Multivariate GARCH Models," Department of Economics - Working Papers Series 1139, The University of Melbourne.
  27. HOOGERHEIDE, Lennart F. & KAASHOEK, Johan F. & VAN DIJK, Herman 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," CORE Discussion Papers 2005029, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  28. Francis X. Diebold & Jose A. Lopez, 1995. "Measuring Volatility Dynamics," NBER Technical Working Papers 0173, National Bureau of Economic Research, Inc.
  29. 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).
  30. 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.
  31. 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.
  32. 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.
  33. Vassilis A. Hajivassiliou and Paul A. Ruud., 1993. "Classical Estimation Methods for LDV Models Using Simulation," Economics Working Papers 93-219, University of California at Berkeley.
  34. 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.
  35. Berger, Tino & Kempa, Bernd, 2014. "Time-varying equilibrium rates in small open economies: Evidence for Canada," Journal of Macroeconomics, Elsevier, vol. 39(PA), pages 203-214.
  36. Shanken, Jay & Tamayo, Ane, 2012. "Payout yield, risk, and mispricing: A Bayesian analysis," Journal of Financial Economics, Elsevier, vol. 105(1), pages 131-152.
  37. 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.
  38. 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.
  39. 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.
  40. 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.
  41. Bernd Schwaab & Siem Jan Koopman & Andr� Lucas, 2015. "Global Credit Risk: World, Country and Industry Factors," Tinbergen Institute Discussion Papers 15-029/III/DSF87, Tinbergen Institute.
  42. Edward P. Herbst & Frank Schorfheide, 2013. "Sequential Monte Carlo Sampling for DSGE Models," NBER Working Papers 19152, National Bureau of Economic Research, Inc.
  43. Dong Heon Kim, 2010. "What is an oil shock? Panel data evidence," Discussion Paper Series 1007, Institute of Economic Research, Korea University.
  44. 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.
  45. Siem Jan Koopman & Rutger Lit & Thuy Minh Nguyen, 2012. "Fast Efficient Importance Sampling by State Space Methods," Tinbergen Institute Discussion Papers 12-008/4, Tinbergen Institute, revised 16 Oct 2014.
  46. David Ardia & Lennart Hoogerheide & Herman K. van Dijk, 2009. "To Bridge, to Warp or to Wrap? A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihoods," Tinbergen Institute Discussion Papers 09-017/4, Tinbergen Institute.
  47. repec:dgr:uvatin:2098025 is not listed on IDEAS
  48. Tanizaki, Hisashi, 1997. "Nonlinear and nonnormal filters using Monte Carlo methods," Computational Statistics & Data Analysis, Elsevier, vol. 25(4), pages 417-439, September.
  49. Jean-Francois Richard, 2007. "Efficient High-Dimensional Importance Sampling," Working Papers 321, University of Pittsburgh, Department of Economics, revised Jan 2007.
  50. Dossche, Maarten & Everaert, Gerdie, 2005. "Measuring inflation persistence: a structural time series approach," Working Paper Series 0495, European Central Bank.
  51. Sungbae An & Frank Schorfheide, 2006. "Bayesian analysis of DSGE models," Working Papers 06-5, Federal Reserve Bank of Philadelphia.
  52. 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.
  53. 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.
  54. Frank Kleibergen & Herman K. van Dijk, 1998. "Bayesian Simultaneous Equations Analysis using Reduced Rank Structures," Tinbergen Institute Discussion Papers 98-025/4, Tinbergen Institute.
  55. 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.
  56. repec:dgr:uvatin:2005081 is not listed on IDEAS
  57. repec:dgr:uvatin:20140032 is not listed on IDEAS
  58. John C. Robertson & Ellis W. Tallman & Charles H. Whiteman, 2002. "Forecasting using relative entropy," Working Paper 2002-22, Federal Reserve Bank of Atlanta.
  59. 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.
  60. 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).
  61. Lennart Hoogerheide & Herman K. van Dijk, 2008. "Possibly Ill-behaved Posteriors in Econometric Models," Tinbergen Institute Discussion Papers 08-036/4, Tinbergen Institute, revised 18 Apr 2008.
  62. 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.
  63. 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.
  64. 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.
  65. 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.
  66. Cogley, Timothy, 2009. "Is the market price of risk infinite?," Economics Letters, Elsevier, vol. 102(1), pages 13-16, January.
  67. Chan, Joshua & Strachan, Rodney, 2012. "Estimation in Non-Linear Non-Gaussian State Space Models with Precision-Based Methods," MPRA Paper 39360, University Library of Munich, Germany.
  68. 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.
  69. Cúrdia, Vasco & Reis, Ricardo, 2010. "Correlated Disturbances and U.S. Business Cycles," CEPR Discussion Papers 7712, C.E.P.R. Discussion Papers.
  70. Christopher Otrok, 2000. "On Measuring the Welfare Cost of Business Cycles," Econometric Society World Congress 2000 Contributed Papers 1094, Econometric Society.
  71. 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.
  72. repec:dgr:uvatin:2010059 is not listed on IDEAS
  73. 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).
  74. 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.
  75. Tomasz Wozniak, 2012. "Granger-causal analysis of VARMA-GARCH models," Economics Working Papers ECO2012/19, European University Institute.
  76. Frank Kleibergen & Henk Hoek, 1997. "Bayesian Analysis of ARMA Models using Noninformative Priors," Tinbergen Institute Discussion Papers 97-006/4, Tinbergen Institute.
  77. Shmuel Kandel & Robert McCulloch & Robert F. Stambaugh, 1993. "Bayesian Inference and Portfolio Efficiency," NBER Technical Working Papers 0134, National Bureau of Economic Research, Inc.
  78. 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.
  79. Conti, Gabriella & Frühwirth-Schnatter, Sylvia & Heckman, James J. & Piatek, Rémi, 2014. "Bayesian Exploratory Factor Analysis," IZA Discussion Papers 8338, Institute for the Study of Labor (IZA).
  80. 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.
  81. Lee, Lung-fei, 1999. "Estimation of dynamic and ARCH Tobit models," Journal of Econometrics, Elsevier, vol. 92(2), pages 355-390, October.
  82. 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.
  83. repec:dgr:uvatin:2010104 is not listed on IDEAS
  84. 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.
  85. 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.
  86. Siem Jan Koopman & Rutger Lit & Andr� Lucas, 2014. "The Dynamic Skellam Model with Applications," Tinbergen Institute Discussion Papers 14-032/IV/DSF73, Tinbergen Institute.
  87. 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.
  88. Irina V. Bezlepkina & Nikolai M. Svetlov, 2000. "Approaching the losses caused by imperfect short-term financing at the Russian farms," Econometrics 0004006, EconWPA.
  89. Siem Jan Koopman & Andr� Lucas & Robert J. Daniels, 2005. "A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk," DNB Working Papers 055, Netherlands Central Bank, Research Department.
  90. David Roodman, 2011. "Fitting fully observed recursive mixed-process models with cmp," Stata Journal, StataCorp LP, vol. 11(2), pages 159-206, June.
  91. 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.
  92. Kleppe, Tore Selland & Liesenfeld, Roman, 2014. "Efficient importance sampling in mixture frameworks," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 449-463.
  93. repec:dgr:uvatin:2011057 is not listed on IDEAS
  94. Koop, Gary & Ley, Eduardo & Osiewalski, Jacek & Steel, Mark F. J., 1997. "Bayesian analysis of long memory and persistence using ARFIMA models," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 149-169.
  95. 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.
  96. 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.
  97. repec:dgr:uvatin:2008092 is not listed on IDEAS
  98. Geweke, J. & Joel Horowitz & Pesaran, M.H., 2006. "Econometrics: A Bird’s Eye View," Cambridge Working Papers in Economics 0655, Faculty of Economics, University of Cambridge.
  99. repec:dgr:uvatin:2004015 is not listed on IDEAS
  100. 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.
  101. 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.
  102. 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).
  103. Christelis, Dimitris & Georgarakos, Dimitris, 2013. "Investing at home and abroad: Different costs, different people?," Journal of Banking & Finance, Elsevier, vol. 37(6), pages 2069-2086.
  104. David N. DeJong & Hariharan Dharmarajan & Roman Liesenfeld & Guilherme Moura & Jean-Francois Richard, 2009. "Efficient Likelihood Evaluation of State-Space Representations," Working Papers 2009/15, Czech National Bank, Research Department.
  105. repec:dgr:uvatin:20130191 is not listed on IDEAS
  106. 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.
  107. Zhou, Guofu, 1995. "Small sample rank tests with applications to asset pricing," Journal of Empirical Finance, Elsevier, vol. 2(1), pages 71-93, March.
  108. 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.
  109. Sun, Libo & Lee, Chihoon & Hoeting, Jennifer A., 2015. "A penalized simulated maximum likelihood approach in parameter estimation for stochastic differential equations," Computational Statistics & Data Analysis, Elsevier, vol. 84(C), pages 54-67.
  110. Canova, Fabio & Marrinan, Jane, 1995. "Predicting excess returns in financial markets," European Economic Review, Elsevier, vol. 39(1), pages 35-69, January.
  111. Riccardo Lucchetti & Claudia Pigini, 2015. "DPB: Dynamic Panel Binary data models in Gretl," gretl working papers 1, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali, revised 24 Apr 2015.
  112. repec:dgr:uvatin:20120099 is not listed on IDEAS
  113. repec:dgr:uvatin:2008062 is not listed on IDEAS
  114. Neil Shephard & Gabriele Fiorentini & Enrique Sentana, 2003. "Likelihood-based estimation of latent generalised ARCH structures," FMG Discussion Papers dp453, Financial Markets Group.
  115. Nalan Basturk & Cem Cakmakli & S. Pinar Ceyhan & Herman K. van Dijk, 2013. "Historical Developments in Bayesian Econometrics after Cowles Foundation Monographs 10, 14," Tinbergen Institute Discussion Papers 13-191/III, Tinbergen Institute.
  116. Osiewalski, J. & Steel, M.F.J., 1996. "Numerical Tools for the Bayesian Analysis of Stochastic Frontier Models," Discussion Paper 1996-03, Tilburg University, Center for Economic Research.
  117. 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.
  118. Sugita, Katsuhiro, 2002. "Testing For Cointegration Rank Using Bayes Factors," The Warwick Economics Research Paper Series (TWERPS) 654, University of Warwick, Department of Economics.
  119. repec:dgr:uvatin:2012110 is not listed on IDEAS
  120. Jay Shanken & Ane Tamayo, 2001. "Risk, Mispricing, and Asset Allocation: Conditioning on Dividend Yield," NBER Working Papers 8666, National Bureau of Economic Research, Inc.
  121. 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.
  122. 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.
  123. Vassilis Argyrou Hajivassiliou, 1993. "Simulating Normal Rectangle Probabilities and Their Derivatives: The Effects of Vectorization," Working Papers _025, Yale University.
  124. Charles S. Bos & Neil Shephard, 2004. "Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space form," Tinbergen Institute Discussion Papers 04-015/4, Tinbergen Institute.
  125. 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.
  126. 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.
  127. Fok, D. & Franses, Ph.H.B.F., 2005. "Modeling the diffusion of scientific publications," Econometric Institute Research Papers EI 2005-48, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  128. Ley, Eduardo & Steel, Mark F J, 1996. "On the Estimation of Demand Systems through Consumption Efficiency," The Review of Economics and Statistics, MIT Press, vol. 78(3), pages 539-43, August.
  129. 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.
  130. 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.
  131. 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.
  132. John Geweke, 1991. "Evaluating the accuracy of sampling-based approaches to the calculation of posterior moments," Staff Report 148, Federal Reserve Bank of Minneapolis.
  133. 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.
  134. repec:dgr:uvatin:2011004 is not listed on IDEAS
  135. 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.
  136. Heckelei, Thomas & Mittelhammer, Ron C., 2003. "Bayesian bootstrap multivariate regression," Journal of Econometrics, Elsevier, vol. 112(2), pages 241-264, February.
  137. 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.
  138. David Ardia & Nalan Basturk & Lennart Hoogerheide & Herman K. van Dijk, 2010. "A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihood," Tinbergen Institute Discussion Papers 10-059/4, Tinbergen Institute.
  139. B. Jungbacker & S.J. Koopman, 2005. "Model-based Measurement of Actual Volatility in High-Frequency Data," Tinbergen Institute Discussion Papers 05-002/4, Tinbergen Institute.
  140. 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.
  141. 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.
  142. David Revelt & Kenneth Train, 2001. "Customer-Specific Taste Parameters and Mixed Logit: Households' Choice of Electricity Supplier," Econometrics 0012001, EconWPA.
  143. Chib, Siddhartha, 2004. "Markov Chain Monte Carlo Technology," Papers 2004,22, Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE).
  144. Lennart Hoogerheide & Anne Opschoor & Herman K. van Dijk, 2012. "A Class of Adaptive Importance Sampling Weighted EM Algorithms for Efficient and Robust Posterior and Predictive Simulation," Tinbergen Institute Discussion Papers 12-026/4, Tinbergen Institute.
  145. Nalan Basturk & Lennart Hoogerheide & Anne Opschoor & Herman K. van Dijk, 2012. "The R Package MitISEM: Mixture of Student-t Distributions using Importance Sampling Weighted Expectation Maximization for Efficient and Robust Simulation," Tinbergen Institute Discussion Papers 12-096/III, Tinbergen Institute.
  146. repec:cup:cbooks:9780521747387 is not listed on IDEAS
  147. 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.
  148. 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.
  149. 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.
  150. repec:dgr:uvatin:2002113 is not listed on IDEAS
  151. Hemous, David & Olsen, Morten, 2014. "The Rise of the Machines: Automation, Horizontal Innovation and Income Inequality," CEPR Discussion Papers 10244, C.E.P.R. Discussion Papers.
  152. repec:dgr:uvatin:2008036 is not listed on IDEAS
  153. Karlsson, Sune, 2012. "Forecasting with Bayesian Vector Autoregressions," Working Papers 2012:12, Örebro University, School of Business.
  154. 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.
  155. 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.
  156. John Geweke & Guofu Zhou, 1996. "Measuring the Pricing Error of the Arbitrage Pricing Theory," CEMA Working Papers 276, China Economics and Management Academy, Central University of Finance and Economics.
  157. Siem Jan Koopman & Marius Ooms & André Lucas & Kees van Montfort & Victor van der Geest, 2008. "Estimating systematic continuous-time trends in recidivism using a non-Gaussian panel data model," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 62(1), pages 104-130.
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  161. Uhlig, H.F.H.V.S., 1996. "Bayesian Vector Autoregressions with Stochastic Volatility," Discussion Paper 1996-09, Tilburg University, Center for Economic Research.
  162. John F. Geweke, 1995. "Bayesian reduced rank regression in econometrics," Working Papers 540, Federal Reserve Bank of Minneapolis.
  163. 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.
  164. 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.
  165. 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.
  166. Siem Jan Koopman & Geert Mesters, 2014. "Empirical Bayes Methods for Dynamic Factor Models," Tinbergen Institute Discussion Papers 14-061/III, Tinbergen Institute.
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  168. Richard Gates, 2006. "A Mata Geweke–Hajivassiliou–Keane multivariate normal simulator," Stata Journal, StataCorp LP, vol. 6(2), pages 190-213, June.
  169. 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.
  170. 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.
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  175. Christian Brinch, 2012. "Efficient simulated maximum likelihood estimation through explicitly parameter dependent importance sampling," Computational Statistics, Springer, vol. 27(1), pages 13-28, March.
  176. Villani, Mattias, 2006. "Bayesian point estimation of the cointegration space," Journal of Econometrics, Elsevier, vol. 134(2), pages 645-664, October.
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  178. 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.
  179. 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.
  180. 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.
  181. 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.
  182. Geweke, John & Amisano, Gianni, 2007. "Hierarchical Markov normal mixture models with applications to financial asset returns," Working Paper Series 0831, European Central Bank.
  183. David Ardia & Lennart F. Hoogerheide & Herman K. van Dijk, . "Adaptive Mixture of Student-t Distributions as a Flexible Candidate Distribution for Efficient Simulation: The R Package AdMit," Journal of Statistical Software, American Statistical Association, vol. 29(i03).
  184. 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.
  185. 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.
  186. 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.
  187. Nalan Basturk & Stefano Grassi & Lennart Hoogerheide & Anne Opschoor & Herman K. van Dijk, 2015. "The R-package MitISEM: Efficient and Robust Simulation Procedures for Bayesian Inference," Tinbergen Institute Discussion Papers 15-042/III, Tinbergen Institute.
  188. Ilias Tsiakas, 2004. "Analysis of the predictive ability of information accumulated over nights, weekends and holidays," Econometric Society 2004 Australasian Meetings 208, Econometric Society.
  189. 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.
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  192. 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.
  193. Bollerslev, Tim, 2001. "Financial econometrics: Past developments and future challenges," Journal of Econometrics, Elsevier, vol. 100(1), pages 41-51, January.
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  195. 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.
  196. 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).
  197. HOOGERHEIDE, Lennart F. & VAN DIJK, Herman K. & VAN OEST, Rutger D., 2007. "Simulation based Bayesian econometric inference: principles and some recent computational advances," CORE Discussion Papers 2007015, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  198. Siem Jan Koopman & Charles S. Bos, 2002. "Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series," Tinbergen Institute Discussion Papers 02-113/4, Tinbergen Institute.
  199. 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.
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  201. 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.
  202. 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.
  203. 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.
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  205. 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..
  206. David Roodman, 2009. "Estimating Fully Observed Recursive Mixed-Process Models with cmp," Working Papers 168, Center for Global Development.
  207. 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.
  208. Zha, Tao, 1999. "Block recursion and structural vector autoregressions," Journal of Econometrics, Elsevier, vol. 90(2), pages 291-316, June.
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  210. 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.
  211. 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.
  212. Kajal Lahiri & Jian Gao, 2001. "Bayesian Analysis of Nested Logit Model by Markov Chain Monte Carlo," Discussion Papers 01-14, University at Albany, SUNY, Department of Economics.
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  214. 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.
  215. Maksym, Obrizan, 2010. "A Bayesian Model of Sample Selection with a Discrete Outcome Variable," MPRA Paper 28577, University Library of Munich, Germany.
  216. 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.
  217. Shea, Paul, 2008. "Real-time rational expectations and indeterminacy," Economics Letters, Elsevier, vol. 99(3), pages 530-533, June.
  218. Siem Jan Koopman & Andre Lucas & Marcel Scharth, 2011. "Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models," Tinbergen Institute Discussion Papers 11-057/4, Tinbergen Institute, revised 27 Jan 2012.
  219. Nalan Basturk & Cem Cakmakli & S. Pinar Ceyhan & Herman K. van Dijk, 2014. "On the Rise of Bayesian Econometrics after Cowles Foundation Monographs 10, 14," Tinbergen Institute Discussion Papers 14-085/III, Tinbergen Institute, revised 04 Sep 2014.
  220. Geert Mesters & Siem Jan Koopman & Marius Ooms, 2011. "Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models," Tinbergen Institute Discussion Papers 11-090/4, Tinbergen Institute.
  221. Kleibergen, F.R. & Hoek, H., 1995. "Bayesian analysis of ARMA models using noninformative priors," Discussion Paper 1995-116, Tilburg University, Center for Economic Research.
  222. 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.
  223. Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2011. "Systemic risk diagnostics: coincident indicators and early warning signals," Working Paper Series 1327, European Central Bank.
  224. 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.
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  226. Velu, Raja & Zhou, Guofu, 1999. "Testing multi-beta asset pricing models," Journal of Empirical Finance, Elsevier, vol. 6(3), pages 219-241, September.
  227. 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.
  228. 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.
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  230. Siem Jan Koopman & Rutger Lit, 2012. "A Dynamic Bivariate Poisson Model for Analysing and Forecasting Match Results in the English Premier League," Tinbergen Institute Discussion Papers 12-099/III, Tinbergen Institute.
  231. 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.
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  233. 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.
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  236. 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.
  237. 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.
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  240. Liang, Faming & Zhang, Jian, 2009. "Learning Bayesian networks for discrete data," Computational Statistics & Data Analysis, Elsevier, vol. 53(4), pages 865-876, February.
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  242. 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.
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  245. 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.
  246. 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.
  247. McCausland, William J., 2012. "The HESSIAN method: Highly efficient simulation smoothing, in a nutshell," Journal of Econometrics, Elsevier, vol. 168(2), pages 189-206.
  248. Lennart Hoogerheide & Anne Opschoor & Herman K. van Dijk, 2011. "A Class of Adaptive EM-based Importance Sampling Algorithms for Efficient and Robust Posterior and Predictive Simulation," Tinbergen Institute Discussion Papers 11-004/4, Tinbergen Institute.
  249. Siem Jan Koopman & Kai Ming Lee, 2005. "Measuring Asymmetric Stochastic Cycle Components in U.S. Macroeconomic Time Series," Tinbergen Institute Discussion Papers 05-081/4, Tinbergen Institute.
  250. 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.
  251. Bernd Schwaab & Andre Lucas & Siem Jan Koopman, 2010. "Systemic Risk Diagnostics," Tinbergen Institute Discussion Papers 10-104/2/DSF 2, Tinbergen Institute, revised 29 Nov 2010.
  252. 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.
  253. 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.
  254. Borus Jungbacker & Siem Jan Koopman, 2005. "On Importance Sampling for State Space Models," Tinbergen Institute Discussion Papers 05-117/4, Tinbergen Institute.
  255. Joshua C.C. Chan & Rodney Strachan, 2014. "The Zero Lower Bound: Implications for Modelling the Interest Rate," Working Paper Series 42_14, The Rimini Centre for Economic Analysis.
  256. Villani, Mattias, 2005. "Bayesian Inference of General Linear Restrictions on the Cointegration Space," Working Paper Series 189, Sveriges Riksbank (Central Bank of Sweden).
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.