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Citations for "Monte Carlo simulation and numerical integration"

by John Geweke

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  1. 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.
  2. 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.
  3. 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.
  4. Christopher Otrok & Charles H. Whiteman, 1996. "Baynesian Leading Indicators: Measuring and Predicting Economic Conditions," Macroeconomics 9610002, EconWPA.
  5. Waggoner, Daniel F. & Zha, Tao, 2003. "Likelihood preserving normalization in multiple equation models," Journal of Econometrics, Elsevier, vol. 114(2), pages 329-347, June.
  6. 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.
  7. 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.
  8. Victoria Prowse, 2012. "Modeling Employment Dynamics With State Dependence and Unobserved Heterogeneity," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(3), pages 411-431, April.
  9. Ghysels, E. & Harvey, A. & Renault, E., 1995. "Stochastic Volatility," Papers 95.400, Toulouse - GREMAQ.
  10. 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.
  11. John Geweke, 1998. "Using simulation methods for Bayesian econometric models: inference, development, and communication," Staff Report 249, Federal Reserve Bank of Minneapolis.
  12. 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.
  13. 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.
  14. 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.
  15. Phaneuf, Daniel J. & Kling, Catherine L. & Herriges, Joseph A., 2000. "Estimation and Welfare Calculations in a Generalized Corner Solution Model with an Application to Recreation Demand," Staff General Research Papers 1355, Iowa State University, Department of Economics.
  16. 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.
  17. 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.
  18. 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.
  19. 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.
  20. 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.
  21. 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.
  22. 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.
  23. Alessio Sancetta, 2004. "Copula Based Monte Carlo Integration in Financial Problems," Working Papers wp04-02, Warwick Business School, Finance Group.
  24. Victor Aguirregabiria & Pedro mira, 2007. "Dynamic Discrete Choice Structural Models: A Survey," Working Papers tecipa-297, University of Toronto, Department of Economics.
  25. Chamberlain, Gary & Imbens, Guido, 1996. "Hierarchical Bayes Models with Many Instrumental Variables," Scholarly Articles 3221489, Harvard University Department of Economics.
  26. 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.
  27. Daniel F. Waggoner & Tao Zha, 2000. "A Gibbs simulator for restricted VAR models," Working Paper 2000-3, Federal Reserve Bank of Atlanta.
  28. 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.
  29. Monika Piazzesi, 2001. "An Econometric Model of the Yield Curve with Macroeconomic Jump Effects," NBER Working Papers 8246, National Bureau of Economic Research, Inc.
  30. Nyberg , Henri & Saikkonen, Pentti, 2012. "Forecasting with a noncausal VAR model," Research Discussion Papers 33/2012, Bank of Finland.
  31. Eduardo Fé & Richard Hofler, 2013. "Count data stochastic frontier models, with an application to the patents–R&D relationship," Journal of Productivity Analysis, Springer, vol. 39(3), pages 271-284, June.
  32. 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.
  33. Peter C. Reiss & Matthew W. White, 2006. "Evaluating Welfare with Nonlinear Prices," NBER Working Papers 12370, National Bureau of Economic Research, Inc.
  34. S. B. Aruoba & Jesús Fernández-Villaverde & Juan F. Rubio-Ramirez, 2005. "Comparing Solution Methods for Dynamic Equilibrium Economies," Levine's Bibliography 122247000000000855, UCLA Department of Economics.
  35. 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.
  36. Aikaterini Karadimitropoulou & Miguel León-Ledesma, 2013. "World, Country, and Sector Factors in International Business Cycles," University of East Anglia Applied and Financial Economics Working Paper Series 045, School of Economics, University of East Anglia, Norwich, UK..
  37. 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).
  38. Geweke, John, 2001. "Bayesian econometrics and forecasting," Journal of Econometrics, Elsevier, vol. 100(1), pages 11-15, January.
  39. 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.
  40. 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.
  41. 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.
  42. 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.
  43. Richard, Jean-Francois & Zhang, Wei, 2007. "Efficient high-dimensional importance sampling," Journal of Econometrics, Elsevier, vol. 141(2), pages 1385-1411, December.
  44. 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.
  45. Heiss, Florian & Winschel, Viktor, 2008. "Likelihood approximation by numerical integration on sparse grids," Journal of Econometrics, Elsevier, vol. 144(1), pages 62-80, May.
  46. 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.
  47. Deschamps, Philippe J., 2004. "A flexible prior distribution for Markov switching autoregressions with Student-t errors," DQE Working Papers 2, Department of Quantitative Economics, University of Freiburg/Fribourg Switzerland, revised 12 Nov 2011.
  48. 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.
  49. Heiss, Florian & Winschel, Viktor, 2006. "Estimation with Numerical Integration on Sparse Grids," Discussion Papers in Economics 916, University of Munich, Department of Economics.
  50. 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.
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