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Citations for "Priors for macroeconomic time series and their application"

by John Geweke

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  1. Christopher A. Sims, 1992. "A Nine Variable Probabilistic Macroeconomic Forecasting Model," Cowles Foundation Discussion Papers 1034, Cowles Foundation for Research in Economics, Yale University.
  2. 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.
  3. Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez, 2007. "Estimating Macroeconomic Models: A Likelihood Approach," Review of Economic Studies, Oxford University Press, vol. 74(4), pages 1059-1087.
  4. Jesús Fernández-Villaverde & Juan Francisco Rubio-Ramírez, 2004. "Estimating dynamic equilibrium economies: linear versus nonlinear likelihood," FRB Atlanta Working Paper 2004-3, Federal Reserve Bank of Atlanta.
  5. Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez, 2006. "The Research Agenda: Jesus Fernandez-Villaverde and Juan F. Rubio-Ramirez on Estimating DSGE Models," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 8(1), November.
  6. Tsionas, Efthymios G., 1998. "Monte Carlo inference in econometric models with symmetric stable disturbances," Journal of Econometrics, Elsevier, vol. 88(2), pages 365-401, November.
  7. Wollmershäuser, Timo & Hristov, Nikolay & Hülsewig, Oliver & Siemsen, Thomas, 2014. "Smells Like Fiscal Policy? Assessing the Potential Effectiveness of the ECB s OMT Program," Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100280, Verein für Socialpolitik / German Economic Association.
  8. Marriott, John & Newbold, Paul, 2000. "The strength of evidence for unit autoregressive roots and structural breaks: A Bayesian perspective," Journal of Econometrics, Elsevier, vol. 98(1), pages 1-25, September.
  9. Jean-Francois Angers, 2000. "P-credence and outliersl," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3-4), pages 81-108.
  10. Jesús Fernández-Villaverde & Juan Francisco Rubio-Ramírez, 2004. "Estimating nonlinear dynamic equilibrium economies: a likelihood approach," FRB Atlanta Working Paper 2004-1, Federal Reserve Bank of Atlanta.
  11. Ghysels, E., 1993. "A Time Series Model with Periodic Stochastic Regime Switching," Cahiers de recherche 9314, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  12. Eric Jacquier & Nicholas G. Polson & Peter Rossi, . "Stochastic Volatility: Univariate and Multivariate Extensions," Rodney L. White Center for Financial Research Working Papers 19-95, Wharton School Rodney L. White Center for Financial Research.
  13. Houser, Daniel, 2003. "Bayesian analysis of a dynamic stochastic model of labor supply and saving," Journal of Econometrics, Elsevier, vol. 113(2), pages 289-335, April.
  14. Alain Desgagné & Jean-François Angers, 2007. "Conflicting information and location parameter inference," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(1), pages 67-97.
  15. 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.
  16. Sauer, Johannes, 2008. "Quota Deregulation and Organic versus Conventional Milk – A Bayesian Distance Function Approach," 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida 6425, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  17. Fernández, C. & Steel, M.F.J., 1996. "On Bayesian Modelling of Fat Tails and Skewness," Discussion Paper 1996-58, Tilburg University, Center for Economic Research.
  18. Jesús Fernández-Villaverde, 2009. "The Econometrics of DSGE Models," NBER Working Papers 14677, National Bureau of Economic Research, Inc.
  19. G. Pfann & P. Schotman & R. Tschernig, 1994. "Nonlinear Interest Rate Dynamics and Implications for the Term Structure," SFB 373 Discussion Papers 1994,43, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  20. Stuart J. Fowler & Jennifer J. Wilgus, 2011. "An Estimatable DCDP Model of Search and Matching in Real Estate Markets," Working Papers 201105, Middle Tennessee State University, Department of Economics and Finance.
  21. John F. Geweke, 1995. "Monte Carlo simulation and numerical integration," Staff Report 192, Federal Reserve Bank of Minneapolis.
  22. Schotman, Peter, 1996. "A Bayesian approach to the empirical valuation of bond options," Journal of Econometrics, Elsevier, vol. 75(1), pages 183-215, November.
  23. Ching-Wai (Jeremy) Chiu & Haroon Mumtaz & Gabor Pinter, 2014. "Fat-tails in VAR Models," Working Papers 714, Queen Mary University of London, School of Economics and Finance.
  24. Vosseler, Alexander, 2016. "Bayesian model selection for unit root testing with multiple structural breaks," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 616-630.
  25. Bin Chen & Jinho Choi & Juan Carlos Escanciano, 2015. "Testing for Fundamental Vector Moving Average Representations," Caepr Working Papers 2015-022 Classification-C, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.