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Citations for "Bayes inference in regression models with ARMA (p, q) errors"

by Chib, Siddhartha & Greenberg, Edward

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  1. Lee, Grace HY & M, Azali, 2010. "Is East Asia an optimum currency area?," MPRA Paper 52556, University Library of Munich, Germany.
  2. Turkington, Darrell A., 1998. "Efficient estimation in the linear simultaneous equations model with vector autoregressive disturbances," Journal of Econometrics, Elsevier, vol. 85(1), pages 51-74, July.
  3. Gary Koop & Eduardo Ley & Jacek Osiewalski & Mark F.J. Steel, 1995. "Bayesian Analysis of Long Memory and Persistence using ARFIMA Models," Econometrics 9505001, EconWPA, revised 11 Jul 1995.
  4. Stanislav Radchenko, 2004. "Limited Information Bayesian Analysis of a Simultaneous Equation with an Autocorrelated Error Term and its Application to the U.S. Gasoline Market," Econometrics 0408001, EconWPA.
  5. Christopher Otrok & Charles H. Whiteman, 1996. "Baynesian Leading Indicators: Measuring and Predicting Economic Conditions," Macroeconomics 9610002, EconWPA.
  6. Grace H.Y. Lee & M. Azali, 2009. "A Bayesian Approach to Optimum Currency Areas in East Asia," Monash Economics Working Papers 18-09, Monash University, Department of Economics.
  7. Mackowiak, Bartosz Adam & Moench, Emanuel & Wiederholt, Mirko, 2009. "Sectoral Price Data and Models of Price Setting," CEPR Discussion Papers 7339, C.E.P.R. Discussion Papers.
  8. Chib, Siddhartha & Ramamurthy, Srikanth, 2010. "Tailored randomized block MCMC methods with application to DSGE models," Journal of Econometrics, Elsevier, vol. 155(1), pages 19-38, March.
  9. Pai, Jeffrey S., 1997. "Bayesian analysis of compound loss distributions," Journal of Econometrics, Elsevier, vol. 79(1), pages 129-146, July.
  10. Kleibergen, F.R. & Hoek, H., 1995. "Bayesian Analysis of ARMA models using Noninformative Priors," Econometric Institute Research Papers EI 9553-/B, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  11. Noureddine Krichene, 2003. "Modeling Stochastic Volatility with Application to Stock Returns," IMF Working Papers 03/125, International Monetary Fund.
  12. Liesenfeld, Roman & Richard, Jean-François, 2008. "Improving MCMC, using efficient importance sampling," Computational Statistics & Data Analysis, Elsevier, vol. 53(2), pages 272-288, December.
  13. Paap, R. & van Dijk, H.K., 2002. "Bayes estimates of Markov trends in possibly cointegrated series: an application to US consumption and income," Econometric Institute Research Papers EI 2002-42, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  14. Koop, Gary & Korobilis, Dimitris, 2010. "Bayesian Multivariate Time Series Methods for Empirical Macroeconomics," Foundations and Trends(R) in Econometrics, now publishers, vol. 3(4), pages 267-358, July.
  15. Kleibergen, F.R. & Hoek, H., 1995. "Bayesian analysis of ARMA models using noninformative priors," Discussion Paper 1995-116, Tilburg University, Center for Economic Research.
  16. Vasco Cúrdia & Marco Del Negro & Daniel L. Greenwald, 2013. "Rare shocks, Great Recessions," Working Paper Series 2013-01, Federal Reserve Bank of San Francisco.
  17. Billio, M. & Monfort, A. & Robert, C. P., 1999. "Bayesian estimation of switching ARMA models," Journal of Econometrics, Elsevier, vol. 93(2), pages 229-255, December.
  18. Omori, Yasuhiro & Chib, Siddhartha & Shephard, Neil & Nakajima, Jouchi, 2007. "Stochastic volatility with leverage: Fast and efficient likelihood inference," Journal of Econometrics, Elsevier, vol. 140(2), pages 425-449, October.
  19. Deschamps, Philippe J., 2000. "Exact small-sample inference in stationary, fully regular, dynamic demand models," Journal of Econometrics, Elsevier, vol. 97(1), pages 51-91, July.
  20. Anatoliy Belaygorod & Michael J. Dueker, 2005. "Discrete monetary policy changes and changing inflation targets in estimated dynamic stochastic general equilibrium models," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 719-34.
  21. Ippei Fujiwara & Koji Takahashi, 2012. "Asian Financial Linkage: Macro‐Finance Dissonance," Pacific Economic Review, Wiley Blackwell, vol. 17(1), pages 136-159, 02.
  22. Anatoliy Belaygorod & Michael J. Dueker, 2007. "The price puzzle and indeterminacy in an estimated DSGE model," Working Papers 2006-025, Federal Reserve Bank of St. Louis.
  23. Franses, Ph.H.B.F. & Hoek, H. & Paap, R., 1995. "Bayesian Analysis of Seasonal Unit Roots and Seasonal Mean Shifts," Econometric Institute Research Papers EI 9527-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  24. Gordon, S. & Belanger, G., 1995. "Echantillonnage de Gibbs et autres application econometriques des chaines merkoviennes," Papers 9509, Laval - Recherche en Politique Economique.
  25. Jim Malley & Ulrich Woitek, 2011. "Productivity shocks and aggregate fluctuations in an estimated endogenous growth model with human capital," Working Papers 2011_20, Business School - Economics, University of Glasgow.
  26. Christopher Otrok & Panayiotis M. Pourpourides, 2011. "On The Cyclicality of Real Wages and Wage Di¤erentials," Working Papers 1116, Department of Economics, University of Missouri.
  27. Del Negro, Marco & Otrok, Christopher, 2007. "99 Luftballons: Monetary policy and the house price boom across U.S. states," Journal of Monetary Economics, Elsevier, vol. 54(7), pages 1962-1985, October.
  28. Andrew J. Filardo & Stephen F. Gordon, 1993. "Business cycle durations," Research Working Paper 93-11, Federal Reserve Bank of Kansas City.
  29. Diebold, Francis X. & Li, Canlin & Yue, Vivian Z., 2007. "Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach," CFS Working Paper Series 2008/27, Center for Financial Studies (CFS).
  30. Chib, Siddhartha & Jacobi, Liana, 2007. "Modeling and calculating the effect of treatment at baseline from panel outcomes," Journal of Econometrics, Elsevier, vol. 140(2), pages 781-801, October.
  31. Kim, Chang-Jin & Kim, Jaeho, 2013. "Bayesian Inference in Regime-Switching ARMA Models with Absorbing States: The Dynamics of the Ex-Ante Real Interest Rate Under Structural Breaks," MPRA Paper 51117, University Library of Munich, Germany.
  32. Chib, Siddhartha & Nardari, Federico & Shephard, Neil, 2006. "Analysis of high dimensional multivariate stochastic volatility models," Journal of Econometrics, Elsevier, vol. 134(2), pages 341-371, October.
  33. Chib, Siddhartha & Nardari, Federico & Shephard, Neil, 2002. "Markov chain Monte Carlo methods for stochastic volatility models," Journal of Econometrics, Elsevier, vol. 108(2), pages 281-316, June.
  34. Ronkainen , Vesa, 2012. "Stochastic modeling of financing longevity risk in pension insurance," Scientific Monographs E:44/2012, Bank of Finland.
  35. Chen, Ray-Bing & Wu, Ying Nian, 2007. "A null space method for over-complete blind source separation," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 5519-5536, August.
  36. Mario J. Crucini & M. Ayhan Kose & Christopher Otrok, 2008. "What Are the Driving Forces of International Business Cycles?," NBER Working Papers 14380, National Bureau of Economic Research, Inc.
  37. Marco Del Negro & Christopher Otrok, 2005. "Monetary policy and the house price boom across U.S. states," Working Paper 2005-24, Federal Reserve Bank of Atlanta.
  38. Siddhartha Chib & Edward Greenberg, 1994. "Markov Chain Monte Carlo Simulation Methods in Econometrics," Econometrics 9408001, EconWPA, revised 24 Oct 1994.
  39. Michael D. Bauer, 2015. "Restrictions on Risk Prices in Dynamic Term Structure Models," CESifo Working Paper Series 5241, CESifo Group Munich.
  40. Koop, Gary & Dijk, Herman K. Van, 2000. "Testing for integration using evolving trend and seasonals models: A Bayesian approach," Journal of Econometrics, Elsevier, vol. 97(2), pages 261-291, August.
  41. repec:dgr:uvatin:2011093 is not listed on IDEAS
  42. Fong, Pak Wing & Li, Wai Keung, 2003. "On time series with randomized unit root and randomized seasonal unit root," Computational Statistics & Data Analysis, Elsevier, vol. 43(3), pages 369-395, July.
  43. Joshua C.C. Chan, 2013. "Moving Average Stochastic Volatility Models with Application to Inflation Forecast," CAMA Working Papers 2013-31, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  44. Neil Shephard & Gabriele Fiorentini & Enrique Sentana, 2003. "Likelihood-based estimation of latent generalised ARCH structures," FMG Discussion Papers dp453, Financial Markets Group.
  45. Tsionas, Efthymios G., 2013. "Bayesian inference in regression with Pearson disturbances," Economics Letters, Elsevier, vol. 118(1), pages 177-181.
  46. 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.
  47. Onatski, Alexei & Williams, Noah, 2002. "Modeling model uncertainty," Working Paper Series 0169, European Central Bank.
  48. Juarez, Miguel A. & Steel, Mark F. J., 2006. "Non-Gaussian dynamic Bayesian modelling for panel data," MPRA Paper 450, University Library of Munich, Germany.
  49. Almeida, Carlos & Czado, Claudia, 2012. "Efficient Bayesian inference for stochastic time-varying copula models," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 1511-1527.
  50. Christopher Otrok & Panayiotis M. Pourpourides, 2011. "On the Cyclicality of Real Wages and Wage Differentials," Working Papers 2011-4, Central Bank of Cyprus.
  51. repec:dgr:uvatin:2099024 is not listed on IDEAS
  52. repec:dgr:uvatin:20110093 is not listed on IDEAS
  53. Myroslav Pidkuyko, 2014. "Dynamics of Consumption and Dividends over the Business Cycle," CERGE-EI Working Papers wp522, The Center for Economic Research and Graduate Education - Economic Institute, Prague.
  54. Ohtsuka, Yoshihiro & Oga, Takashi & Kakamu, Kazuhiko, 2010. "Forecasting electricity demand in Japan: A Bayesian spatial autoregressive ARMA approach," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2721-2735, November.
  55. Chib, Siddhartha, 2004. "Markov Chain Monte Carlo Technology," Papers 2004,22, Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE).
  56. Elena Goldman, 2006. "Testing efficiency of the ruble-sterling foreign-exchange market under the gold standard," Empirical Economics, Springer, vol. 31(2), pages 449-477, June.
  57. ZHU Xiaoneng & Shahidur RAHMAN, 2009. "A Regime Switching Macro-finance Model of the Term Structure," Economic Growth Centre Working Paper Series 0901, Nanyang Technological University, School of Humanities and Social Sciences, Economic Growth Centre.
  58. Hsieh, Ping-Hung & Yang, J. Jimmy, 2009. "A censored stochastic volatility approach to the estimation of price limit moves," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 337-351, March.
  59. Balcombe, Kelvin & Tiffin, R, 2010. "The Determinants of Technology Adoption by UK Farmers using Bayesian Model Averaging. The Cases of Organic Production and Computer Usage," MPRA Paper 25193, University Library of Munich, Germany.
  60. Markku Lanne & Jani Luoto, 2014. "Noncausal Bayesian Vector Autoregression," CREATES Research Papers 2014-07, School of Economics and Management, University of Aarhus.
  61. Marco Del Negro & Christopher Otrok, 2008. "Dynamic factor models with time-varying parameters: measuring changes in international business cycles," Staff Reports 326, Federal Reserve Bank of New York.
  62. Yasutomo Murasawa, 2014. "Measuring the natural rates, gaps, and deviation cycles," Empirical Economics, Springer, vol. 47(2), pages 495-522, September.
  63. Matteo Manera & Bruno Sitzia, 2005. "Empirical factor demands and flexible functional forms: a bayesian approach," Economic Systems Research, Taylor & Francis Journals, vol. 17(1), pages 57-75.
  64. Belaygorod, Anatoliy & Dueker, Michael, 2009. "Indeterminacy, change points and the price puzzle in an estimated DSGE model," Journal of Economic Dynamics and Control, Elsevier, vol. 33(3), pages 624-648, March.
  65. Zheng, Tingguo & Guo, Huiming, 2013. "Estimating a small open economy DSGE model with indeterminacy: Evidence from China," Economic Modelling, Elsevier, vol. 31(C), pages 642-652.
  66. Deschamps, Philippe J., 2011. "Bayesian Estimation of Generalized Hyperbolic Skewed Student GARCH Models," DQE Working Papers 16, Department of Quantitative Economics, University of Freiburg/Fribourg Switzerland, revised 09 Jun 2012.
  67. Chib, Siddhartha & Greenberg, Edward, 1995. "Hierarchical analysis of SUR models with extensions to correlated serial errors and time-varying parameter models," Journal of Econometrics, Elsevier, vol. 68(2), pages 339-360, August.
  68. Grace H.Y. Lee, 2009. "Aggregate Shocks Decomposition For Eight East Asian Countries," Monash Economics Working Papers 17-09, Monash University, Department of Economics.
  69. Kim, Sangjoon & Shephard, Neil & Chib, Siddhartha, 1998. "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models," Review of Economic Studies, Wiley Blackwell, vol. 65(3), pages 361-93, July.
  70. 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.
  71. repec:dgr:uvatin:1999024 is not listed on IDEAS
  72. repec:wyi:journl:002201 is not listed on IDEAS
  73. Barnett, G. & Kohn, R. & Sheather, S., . "Bayesian Estimation of an Autoregressive Model Using Markov Chain Monte Carlo," Statistics Working Paper _001, Australian Graduate School of Management.
  74. Neville Francis & Michael T. Owyang & Özge Savascin, 2012. "An endogenously clustered factor approach to international business cycles," Working Papers 2012-014, Federal Reserve Bank of St. Louis.
  75. Giaccotto, Carmelo & Golec, Joseph & Vernon, John, 2011. "New estimates of the cost of capital for pharmaceutical firms," Journal of Corporate Finance, Elsevier, vol. 17(3), pages 526-540, June.
  76. repec:dgr:uvatin:19990024 is not listed on IDEAS
  77. Neil Shephard & Michael K Pitt, 1995. "Likelihood analysis of non-Gaussian parameter driven models," Economics Papers 15 & 108., Economics Group, Nuffield College, University of Oxford.
  78. M. A. Alkhamisi & Ghazi Shukur, 2005. "Bayesian analysis of a linear mixed model with AR(p) errors via MCMC," Journal of Applied Statistics, Taylor & Francis Journals, vol. 32(7), pages 741-755.
  79. repec:wop:ubisop:0023 is not listed on IDEAS
  80. van den Hauwe, Sjoerd & Paap, Richard & van Dijk, Dick, 2013. "Bayesian forecasting of federal funds target rate decisions," Journal of Macroeconomics, Elsevier, vol. 37(C), pages 19-40.
  81. David, Ardia, 2006. "Bayesian Estimation of the GARCH(1,1) Model with Normal Innovations," MPRA Paper 12985, University Library of Munich, Germany.
  82. 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.
  83. Christopher J. Neely & David E. Rapach, 2008. "Is inflation an international phenomenon?," Working Papers 2008-025, Federal Reserve Bank of St. Louis.
  84. Wichitaksorn, Nuttanan & Tsurumi, Hiroki, 2013. "Comparison of MCMC algorithms for the estimation of Tobit model with non-normal error: The case of asymmetric Laplace distribution," Computational Statistics & Data Analysis, Elsevier, vol. 67(C), pages 226-235.
  85. Chib, Siddhartha & Jacobi, Liana, 2008. "Analysis of treatment response data from eligibility designs," Journal of Econometrics, Elsevier, vol. 144(2), pages 465-478, June.
  86. repec:dgr:uvatin:19990072 is not listed on IDEAS
  87. repec:dgr:kubcen:1995116 is not listed on IDEAS
  88. Chib, Siddhartha & Greenberg, Edward, 2010. "Additive cubic spline regression with Dirichlet process mixture errors," Journal of Econometrics, Elsevier, vol. 156(2), pages 322-336, June.
  89. Kim, Chang-Jin & Kim, Jaeho, 2013. "The `Pile-up Problem' in Trend-Cycle Decomposition of Real GDP: Classical and Bayesian Perspectives," MPRA Paper 51118, University Library of Munich, Germany.
  90. repec:dgr:uvatin:2097006 is not listed on IDEAS
  91. repec:dgr:uvatin:19970006 is not listed on IDEAS
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