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Priors for macroeconomic time series and their application

Citations

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Cited by:

  1. Nikolay Hristov & Oliver Hülsewig & Thomas Siemsen & Timo Wollmershäuser, 2014. "Smells Like Fiscal Policy? Assessing the Potential Effectiveness of the ECB's OMT Program," CESifo Working Paper Series 4628, CESifo Group Munich.
  2. Pfann, Gerard A. & Schotman, Peter C. & Tschernig, Rolf, 1996. "Nonlinear interest rate dynamics and implications for the term structure," Journal of Econometrics, Elsevier, vol. 74(1), pages 149-176, September.
  3. 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.
  4. Lahiri, Kajal & Gao, Jian, 2002. "Bayesian analysis of nested logit model by Markov chain Monte Carlo," Journal of Econometrics, Elsevier, pages 103-133.
  5. 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.
  6. 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.
  7. Christopher A. Sims, 1993. "A Nine-Variable Probabilistic Macroeconomic Forecasting Model," NBER Chapters,in: Business Cycles, Indicators and Forecasting, pages 179-212 National Bureau of Economic Research, Inc.
  8. repec:eee:intfor:v:33:y:2017:i:4:p:1124-1143 is not listed on IDEAS
  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. Chiu, Ching-Wai (Jeremy) & Mumtaz, Haroon & Pintér, Gábor, 2017. "Forecasting with VAR models: Fat tails and stochastic volatility," International Journal of Forecasting, Elsevier, pages 1124-1143.
  11. Eric Jacquier & Nicholas G. Polson & Peter Rossi, "undated". "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.
  12. Eric M. Leeper, 2015. "Fiscal Analysis is Darned Hard," NBER Working Papers 21822, National Bureau of Economic Research, Inc.
  13. Houser, Daniel, 2003. "Bayesian analysis of a dynamic stochastic model of labor supply and saving," Journal of Econometrics, Elsevier, pages 289-335.
  14. Watanabe, Toshiaki, 2001. "On sampling the degree-of-freedom of Student's-t disturbances," Statistics & Probability Letters, Elsevier, pages 177-181.
  15. Jesús Fernández-Villaverde, 2010. "The econometrics of DSGE models," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, pages 3-49.
  16. repec:wly:quante:v:8:y:2017:i:1:p:149-180 is not listed on IDEAS
  17. Juan F. Rubio-Ramirez & Jesus Fernández-Villaverde, 2005. "Estimating dynamic equilibrium economies: linear versus nonlinear likelihood," Journal of Applied Econometrics, John Wiley & Sons, Ltd., pages 891-910.
  18. Jan Eeckhout & Philipp Kircher, 2011. "Identifying Sorting--In Theory," Review of Economic Studies, Oxford University Press, vol. 78(3), pages 872-906.
  19. 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).
  20. Ghysels, E., 1993. "A Time Series Model with Periodic Stochastic Regime Switching," Cahiers de recherche 9314, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  21. Schotman, Peter, 1996. "A Bayesian approach to the empirical valuation of bond options," Journal of Econometrics, Elsevier, pages 183-215.
  22. 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.
  23. Marriott, John & Newbold, Paul, 2000. "The strength of evidence for unit autoregressive roots and structural breaks: A Bayesian perspective," Journal of Econometrics, Elsevier, pages 1-25.
  24. Ciccone, Antonio & Matsuyama, Kiminori, 1996. "Start-up costs and pecuniary externalities as barriers to economic development," Journal of Development Economics, Elsevier, vol. 49(1), pages 33-59, April.
  25. 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.
  26. Tsionas, Efthymios G., 1998. "Monte Carlo inference in econometric models with symmetric stable disturbances," Journal of Econometrics, Elsevier, pages 365-401.
  27. Vosseler, Alexander, 2016. "Bayesian model selection for unit root testing with multiple structural breaks," Computational Statistics & Data Analysis, Elsevier, pages 616-630.
  28. Jesús Fernández-Villaverde, 2010. "The econometrics of DSGE models," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, pages 3-49.
  29. 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, pages 185-212.
  30. V. Bhaskar & George J. Mailath & Stephen Morris, 2008. "Purification in the Infinitely-Repeated Prisoners' Dilemma," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 11(3), pages 515-528, July.
  31. Cross, Jamie & Poon, Aubrey, 2016. "Forecasting structural change and fat-tailed events in Australian macroeconomic variables," Economic Modelling, Elsevier, vol. 58(C), pages 34-51.
  32. Diaz-Gimenez, Javier & Prescott, Edward C. & Fitzgerald, Terry & Alvarez, Fernando, 1992. "Banking in computable general equilibrium economies," Journal of Economic Dynamics and Control, Elsevier, pages 533-559.
  33. 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.
  34. 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.
  35. Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez, 2004. "Estimating Nonlinear Dynamic Equilibrium economies: A Likelihood Approach," PIER Working Paper Archive 04-001, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  36. Lahiri, Kajal & Gao, Jian, 2002. "Bayesian analysis of nested logit model by Markov chain Monte Carlo," Journal of Econometrics, Elsevier, pages 103-133.
  37. Lori Dickes & Elizabeth Crouch, 2015. "The Impact of Changing Lake Levels on Property Values: A Hedonic Model of Lake Thurmond," The Review of Regional Studies, Southern Regional Science Association, pages 221-235.
  38. 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.
  39. 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.
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