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Citations for "Monte Carlo simulation and numerical integration"

by John Geweke

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  1. Luca Spataro, 2002. "New Tools in Micromodeling Retirement Decisions: Overview and Applications to the Italian Case," CeRP Working Papers 28, Center for Research on Pensions and Welfare Policies, Turin (Italy).
  2. Victoria Prowse, 2007. "Modeling Employment Dynamics with State Dependence and Unobserved Heterogeneity," Economics Series Working Papers 337, University of Oxford, Department of Economics.
  3. Christopher Otrok & Charles H. Whiteman, 1996. "Baynesian Leading Indicators: Measuring and Predicting Economic Conditions," Macroeconomics 9610002, EconWPA.
  4. Torben G. Andersen & Tim Bollerslev, 1997. "Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts," NBER Working Papers 6023, National Bureau of Economic Research, Inc.
  5. C. Lanier Benkard & Patrick Bajari, 2004. "Demand Estimation with Heterogeneous Consumers and Unobserved Product Characteristics: A Hedonic Approach," NBER Working Papers 10278, National Bureau of Economic Research, Inc.
  6. Davis, Graham A. & Vásquez Cordano, Arturo L., 2013. "The fate of the poor in growing mineral and energy economies," Resources Policy, Elsevier, vol. 38(2), pages 138-151.
  7. Aruoba, S. Boragan & Fernandez-Villaverde, Jesus & Rubio-Ramirez, Juan F., 2006. "Comparing solution methods for dynamic equilibrium economies," Journal of Economic Dynamics and Control, Elsevier, vol. 30(12), pages 2477-2508, December.
  8. Chokri Dridi, 2002. "A Short Note on the Numerical Approximation of the Standard Normal Cumulative Distribution and Its Inverse," Computational Economics 0212001, EconWPA, revised 07 Jan 2003.
  9. Aikaterini Karadimitropoulou & Miguel Leon-Ledesma, 2013. "World, Country, and Sector Factors in International Business Cycles," Studies in Economics 1307, School of Economics, University of Kent.
  10. Ayhan Kose, M. & Otrok, Christopher & Whiteman, Charles H., 2008. "Understanding the evolution of world business cycles," Journal of International Economics, Elsevier, vol. 75(1), pages 110-130, May.
  11. Heiss, Florian & Winschel, Viktor, 2008. "Likelihood approximation by numerical integration on sparse grids," Journal of Econometrics, Elsevier, vol. 144(1), pages 62-80, May.
  12. 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.
  13. Pastorello, S. & Rossi, E., 2010. "Efficient importance sampling maximum likelihood estimation of stochastic differential equations," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2753-2762, November.
  14. GHYSELS, Eric & HARVEY, Andrew & RENAULT, Eric, 1995. "Stochastic Volatility," CORE Discussion Papers 1995069, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  15. Kuminoff, Nicolai V., 2008. "Recovering Preferences from a Dual-Market Locational Equilibrium," 2008 Conference (52nd), February 5-8, 2008, Canberra, Australia 5989, Australian Agricultural and Resource Economics Society.
  16. Garcia, Diego, 2003. "Convergence and Biases of Monte Carlo estimates of American option prices using a parametric exercise rule," Journal of Economic Dynamics and Control, Elsevier, vol. 27(10), pages 1855-1879, August.
  17. Deschamps, Philippe J., 2006. "A flexible prior distribution for Markov switching autoregressions with Student-t errors," Journal of Econometrics, Elsevier, vol. 133(1), pages 153-190, July.
  18. Bajari, Patrick & Benkard, C. Lanier, 2004. "Demand Estimation With Heterogeneous Consumers and Unobserved Product Characteristics: A Hedonic Approach," Research Papers 1842, Stanford University, Graduate School of Business.
  19. Phaneuf, Daniel J., 1999. "A Dual Approach to Modeling Corner Solutions in Recreation Demand," Journal of Environmental Economics and Management, Elsevier, vol. 37(1), pages 85-105, January.
  20. 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.
  21. Patrick Bajari & C. Lanier Benkard, 2001. "Demand Estimation With Heterogeneous Consumers and Unobserved Product Characteristics: A Hedonic Approach," Working Papers 01010, Stanford University, Department of Economics.
  22. McCAUSLAND, William, 2004. "Bayesian Analysis for a Theory of Random Consumer Demand: The Case of Indivisible Goods," Cahiers de recherche 2004-05, Universite de Montreal, Departement de sciences economiques.
  23. Alessio Sancetta, 2004. "Copula Based Monte Carlo Integration in Financial Problems," Working Papers wp04-02, Warwick Business School, Finance Group.
  24. Gary Chamberlain & Guido W. Imbens, 1996. "Hierarchical Bayes Models with Many Instrumental Variables," Harvard Institute of Economic Research Working Papers 1781, Harvard - Institute of Economic Research.
  25. Daniel F. Waggoner & Tao Zha, 2000. "Likelihood-preserving normalization in multiple equation models," Working Paper 2000-8, Federal Reserve Bank of Atlanta.
  26. Aguirregabiria, Victor & Mira, Pedro, 2010. "Dynamic discrete choice structural models: A survey," Journal of Econometrics, Elsevier, vol. 156(1), pages 38-67, May.
  27. Daniel J. Phaneuf & Catherine L. Kling & Joseph A. Herriges, 2000. "Estimation and Welfare Calculations in a Generalized Corner Solution Model with an Application to Recreation Demand," The Review of Economics and Statistics, MIT Press, vol. 82(1), pages 83-92, February.
  28. Kilian, L. & Zha, T., 1999. "Quantifying the Half-Life of Deviations from PPP: The Role of Economic Priors," Working Papers 450, Research Seminar in International Economics, University of Michigan.
  29. Plassmann, Florenz & Tideman, T. Nicolaus, 2000. "A Markov Chain Monte Carlo Analysis of the Effect of Two-Rate Property Taxes on Construction," Journal of Urban Economics, Elsevier, vol. 47(2), pages 216-247, March.
  30. Waggoner, Daniel F. & Zha, Tao, 2003. "A Gibbs sampler for structural vector autoregressions," Journal of Economic Dynamics and Control, Elsevier, vol. 28(2), pages 349-366, November.
  31. Heiss, Florian & Winschel, Viktor, 2006. "Estimation with Numerical Integration on Sparse Grids," Discussion Papers in Economics 916, University of Munich, Department of Economics.
  32. Eduardo Fé-Rodríguez & Richard Hofler, 2009. "Count Data Stochastic Frontier Models, with an application to the patents-R&D Relationship," The School of Economics Discussion Paper Series 0916, Economics, The University of Manchester.
  33. Arauzo Carod, Josep Maria & Liviano Solís, Daniel & Manjón Antolín, Miguel C., 2008. "Empirical studies in industrial location: an assessment of their methods and results," Working Papers 2072/9257, Universitat Rovira i Virgili, Department of Economics.
  34. Peter C. Reiss & Matthew W. White, 2006. "Evaluating Welfare with Nonlinear Prices," NBER Working Papers 12370, National Bureau of Economic Research, Inc.
  35. Patrick Bajari & C. Lanier Benkard, 2001. "Demand Estimation With Heterogeneous Consumers and Unobserved Product Characteristics: A Hedonic Approach," NBER Technical Working Papers 0272, National Bureau of Economic Research, Inc.
  36. M. Ayhan Kose & Christopher Otrok & Charles H. Whiteman, 2003. "International Business Cycles: World, Region, and Country-Specific Factors," American Economic Review, American Economic Association, vol. 93(4), pages 1216-1239, September.
  37. Nyberg, Henri & Saikkonen, Pentti, 2014. "Forecasting with a noncausal VAR model," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 536-555.
  38. Benkard, C. Lanier & Bajari, Patrick, 2001. "Demand Estimation with Heterogeneous Consumers and Unobserved Product Characteristics: A Hedonic Approach," Research Papers 1691, Stanford University, Graduate School of Business.
  39. Charles Romeo, 2007. "A Gibbs sampler for mixed logit analysis of differentiated product markets using aggregate data," Computational Economics, Society for Computational Economics, vol. 29(1), pages 33-68, February.
  40. Yu, Jie & Goos, Peter & Vandebroek, Martina, 2010. "Comparing different sampling schemes for approximating the integrals involved in the efficient design of stated choice experiments," Transportation Research Part B: Methodological, Elsevier, vol. 44(10), pages 1268-1289, December.
  41. Lutz Kilian & Tao Zha, 2002. "Quantifying the uncertainty about the half-life of deviations from PPP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(2), pages 107-125.
  42. Daniel F. Waggoner & Tao Zha, 2000. "A Gibbs simulator for restricted VAR models," Working Paper 2000-3, Federal Reserve Bank of Atlanta.
  43. Jean-Francois Richard, 2007. "Efficient High-Dimensional Importance Sampling," Working Papers 321, University of Pittsburgh, Department of Economics, revised Jan 2007.
  44. McCullough, B D, 1999. "Econometric Software Reliability: EViews, LIMDEP, SHAZAM and TSP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(2), pages 191-202, March-Apr.
  45. Monika Piazzesi, 2001. "An Econometric Model of the Yield Curve with Macroeconomic Jump Effects," NBER Working Papers 8246, National Bureau of Economic Research, Inc.
  46. Geweke, John & Tanizaki, Hisashi, 2001. "Bayesian estimation of state-space models using the Metropolis-Hastings algorithm within Gibbs sampling," Computational Statistics & Data Analysis, Elsevier, vol. 37(2), pages 151-170, August.
  47. Geweke, John, 2001. "Bayesian econometrics and forecasting," Journal of Econometrics, Elsevier, vol. 100(1), pages 11-15, January.
  48. Andersen, Torben G. & Lund, Jesper, 1997. "Estimating continuous-time stochastic volatility models of the short-term interest rate," Journal of Econometrics, Elsevier, vol. 77(2), pages 343-377, April.
  49. Ni, Shawn & Sun, Dongchu, 2003. "Noninformative priors and frequentist risks of bayesian estimators of vector-autoregressive models," Journal of Econometrics, Elsevier, vol. 115(1), pages 159-197, July.
  50. Hisashi Tanizaki, 2001. "Nonlinear and Non-Gaussian State Space Modeling Using Sampling Techniques," Annals of the Institute of Statistical Mathematics, Springer, vol. 53(1), pages 63-81, March.
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