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Citations for "Bayesian Inference in Dynamic Econometric Models"

by Bauwens, Luc & Lubrano, Michel & Richard, Jean-Francois

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  1. Giet, Ludovic & Lubrano, Michel, 2008. "A minimum Hellinger distance estimator for stochastic differential equations: An application to statistical inference for continuous time interest rate models," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 2945-2965, February.
  2. Andrea, SILVESTRINI, 2007. "Testing fiscal sustainability in Poland : a Bayesian analysis of cointegration," Discussion Papers (ECON - Département des Sciences Economiques) 2007040, Université catholique de Louvain, Département des Sciences Economiques.
  3. Jeroen Rombouts & Lars Peter Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," CIRANO Working Papers 2009s-19, CIRANO.
  4. Magnus, Jan R. & Powell, Owen & Prüfer, Patricia, 2010. "A comparison of two model averaging techniques with an application to growth empirics," Journal of Econometrics, Elsevier, vol. 154(2), pages 139-153, February.
  5. Fabiani, Silvia & Mestre, Ricardo, 2001. "A system approach for measuring the euro area NAIRU," Working Paper Series 0065, European Central Bank.
  6. Herwartz, Helmut & Weber, Henning, 2013. "The role of cross-sectional heterogeneity for magnitude and timing of the euro's trade effect," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 48-74.
  7. Luc Bauwens & Jeroen V.K. Rombouts, 2009. "On Marginal Likelihood Computation in Change-point Models," Cahiers de recherche 0942, CIRPEE.
  8. George Kapetanios & Haroon Mumtaz & Ibrahim Stevens & Konstantinos Theodoridis, 2012. "Assessing the Economy‐wide Effects of Quantitative Easing," Economic Journal, Royal Economic Society, vol. 122(564), pages 316-347, November.
  9. Lubrano, Michel, 2004. "Modélisation bayésienne non linéaire du taux d’intérêt de court terme américain : l’aide des outils non paramétriques," L'Actualité Economique, Société Canadienne de Science Economique, vol. 80(2), pages 465-499, Juin-Sept.
  10. L. Bauwens & J. V. K. Rombouts, 2007. "Bayesian Clustering of Many Garch Models," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 365-386.
  11. Zhou Xun & Michel Lubrano, 2013. "A Bayesian Subjective Poverty Line, One Dollar a Day Revisited," AMSE Working Papers 1302, Aix-Marseille School of Economics, Marseille, France, revised 05 Feb 2013.
  12. Carriero, Andrea & Kapetanios, George & Marcellino, Massimiliano, 2015. "Structural Analysis with Multivariate Autoregressive Index Models," CEPR Discussion Papers 10801, C.E.P.R. Discussion Papers.
  13. Jana Eklund & Sune Karlsson, 2007. "Forecast Combination and Model Averaging Using Predictive Measures," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 329-363.
  14. Helmut Herwartz & Henning Weber, 2008. "When, How Fast and by How Much do Trade Costs change in the Euro Area?," SFB 649 Discussion Papers SFB649DP2008-065, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  15. Zagaglia, Paolo, 2009. "Forecasting with a DSGE Model of the term Structure of Interest Rates: The Role of the Feedback," Research Papers in Economics 2009:14, Stockholm University, Department of Economics.
  16. Cosemans, M. & Frehen, R.G.P. & Schotman, P.C. & Bauer, R.M.M.J., 2009. "Efficient Estimation of Firm-Specific Betas and its Benefits for Asset Pricing Tests and Portfolio Choice," MPRA Paper 23557, University Library of Munich, Germany.
  17. Luc, BAUWENS & Michel, LUBRANO, 2006. "Bayesian Inference in Dynamic Disequilibrium Models : an Application to the Polish Credit Market," Discussion Papers (ECON - Département des Sciences Economiques) 2006027, Université catholique de Louvain, Département des Sciences Economiques.
  18. Rombouts, J.V.K. & Verbeek, M.J.C.M., 2009. "Evaluating Portfolio Value-At-Risk Using Semi-Parametric GARCH Models," ERIM Report Series Research in Management ERS-2004-107-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  19. Maheu, John M & Shamsi, Azam, 2016. "Nonparametric Dynamic Conditional Beta," MPRA Paper 73764, University Library of Munich, Germany.
  20. Ardia, David & Hoogerheide, Lennart F., 2010. "Efficient Bayesian estimation and combination of GARCH-type models," MPRA Paper 22919, University Library of Munich, Germany.
  21. Demeshev, Boris & Malakhovskaya, Oxana, 2016. "BVAR mapping," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 43, pages 118-141.
  22. Charles S. Bos & Ronald J. Mahieu & Herman K. van Dijk, 2000. "Daily Exchange Rate Behaviour and Hedging of Currency Risk," Econometric Society World Congress 2000 Contributed Papers 0504, Econometric Society.
  23. Luc Bauwens & Jeroen V.K. Rombouts, 2006. "Bayesian inference for the mixed conditional heteroskedasticity model," Cahiers de recherche 06-07, HEC Montréal, Institut d'économie appliquée.
  24. Chiara Scotti, 2011. "A Bivariate Model of Federal Reserve and ECB Main Policy Rates," International Journal of Central Banking, International Journal of Central Banking, vol. 7(3), pages 37-78, September.
  25. Sergio Ocampo & Norberto Rodríguez, 2011. "An Introductory Review of a Structural VAR-X Estimation and Applications," BORRADORES DE ECONOMIA 009200, BANCO DE LA REPÚBLICA.
  26. Marco Del Negro & Frank Schorfheide, 2006. "Forming priors for DSGE models (and how it affects the assessment of nominal rigidities)," FRB Atlanta Working Paper 2006-16, Federal Reserve Bank of Atlanta.
  27. Balcombe, Kelvin & Bailey, Alastair, 2006. "Bayesian inference of a smooth transition dynamic almost ideal model of food demand in the US," MPRA Paper 17305, University Library of Munich, Germany.
  28. Magnus Saxegaard & Rahul Anand & Shanaka J Peiris, 2010. "An Estimated Model with Macrofinancial Linkages for India," IMF Working Papers 10/21, .
  29. Markus K. Brunnermeier & Christian Julliard, 2006. "Money Illusion and Housing Frenzies," NBER Working Papers 12810, National Bureau of Economic Research, Inc.
  30. Juan José Echavarría & Enrique López & Sergio Ocampo & Norberto Rodríguez, 2011. "Choques, instituciones laborales y desempleo en Colombia," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, vol. 29(66), pages 128-173, December.
  31. Lubrano, M., 1999. "Smooth Transition GARCH Models: a Bayesian perspective," G.R.E.Q.A.M. 99a49, Universite Aix-Marseille III.
  32. Chiara Scotti, 2006. "A bivariate model of Fed and ECB main policy rates," International Finance Discussion Papers 875, Board of Governors of the Federal Reserve System (U.S.).
  33. Sandeep Chandukala & Sylvia Long-Tolbert & Greg Allenby, 2011. "A threshold model for respondent heterogeneity," Marketing Letters, Springer, vol. 22(2), pages 133-146, June.
  34. Summers, Peter M., 2004. "Bayesian evidence on the structure of unemployment," Economics Letters, Elsevier, vol. 83(3), pages 299-306, June.
  35. Darsinos, T. & Satchell, S.E., 2001. "Bayesian Forecasting of Options Prices: A Natural Framework for Pooling Historical and Implied Volatiltiy Information," Cambridge Working Papers in Economics 0116, Faculty of Economics, University of Cambridge.
  36. António Afonso & Ricardo M. Sousa, 2009. "The Macroeconomic Effects of Fiscal Policy in Portugal: a Bayesian SVAR Analysis," Working Papers Department of Economics 2009/09, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.
  37. Markku Lanne & Arto Luoma & Jani Luoto, 2012. "Bayesian Model Selection And Forecasting In Noncausal Autoregressive Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(5), pages 812-830, 08.
  38. Jay Shanken & Ane Tamayo, 2001. "Risk, Mispricing, and Asset Allocation: Conditioning on Dividend Yield," NBER Working Papers 8666, National Bureau of Economic Research, Inc.
  39. Hoogerheide, Lennart F. & Kaashoek, Johan F. & van Dijk, Herman K., 2007. "On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: An application of flexible sampling methods using neural networks," Journal of Econometrics, Elsevier, vol. 139(1), pages 154-180, July.
  40. António Afonso & Ricardo M. Sousa, 2012. "The macroeconomic effects of fiscal policy," Applied Economics, Taylor & Francis Journals, vol. 44(34), pages 4439-4454, December.
  41. F. Degraeve, 2007. "The External Finance Premium and the Macroeconomy: US post-WWII Evidence," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 07/482, Ghent University, Faculty of Economics and Business Administration.
  42. T. Berger & G. Everaert, 2006. "Re-examining the Structural and the Persistence Approach to Unemployment," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 06/383, Ghent University, Faculty of Economics and Business Administration.
  43. Carriero, Andrea & Clark, Todd & Marcellino, Massimiliano, 2011. "Bayesian VARs: Specification Choices and Forecast Accuracy," CEPR Discussion Papers 8273, C.E.P.R. Discussion Papers.
  44. Rahul Anand & Ding Ding & Volodymyr Tulin, 2014. "Food Inflation in India; The Role for Monetary Policy," IMF Working Papers 14/178, .
  45. Fraser, Iain & Balcombe, Kelvin & Sharma, Abhijit, 2007. "Bayesian Model Averaging and Identification of Structural Breaks in Time Series," MPRA Paper 8676, University Library of Munich, Germany.
  46. Leon-Gonzalez, Roberto & Scarpa, Riccardo, 2008. "Improving multi-site benefit functions via Bayesian model averaging: A new approach to benefit transfer," Journal of Environmental Economics and Management, Elsevier, vol. 56(1), pages 50-68, July.
  47. de Pooter, M.D. & Segers, R. & van Dijk, H.K., 2006. "Gibbs sampling in econometric practice," Econometric Institute Research Papers EI 2006-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  48. Sébastien Laurent & Jeroen V.K. Rombouts & Francesco Violante, 2009. "On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models," Cahiers de recherche 0948, CIRPEE.
  49. Bauwens, L. & Hafner, C.M. & Rombouts, J.V.K., 2007. "Multivariate mixed normal conditional heteroskedasticity," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3551-3566, April.
  50. Ricardo M. Sousa, 2007. "Wealth Shocks and Risk Aversion," NIPE Working Papers 28/2007, NIPE - Universidade do Minho.
  51. Kunst, Robert M., 2002. "Decision Maps for Bivariate Time Series with Potential Thrshold Cointegration," Economics Series 121, Institute for Advanced Studies.
  52. Maarten Dossche & Gerdie Everaert, 2005. "Measuring inflation persistence: a structural time series approach," Working Paper Research 70, National Bank of Belgium.
  53. Allan Dizioli & Jochen M. Schmittmann, 2015. "A Macro-Model Approach to Monetary Policy Analysis and Forecasting for Vietnam," IMF Working Papers 15/273, .
  54. Petr Geraskin & Dean Fantazzini, 2013. "Everything you always wanted to know about log-periodic power laws for bubble modeling but were afraid to ask," The European Journal of Finance, Taylor & Francis Journals, vol. 19(5), pages 366-391, May.
  55. Guillermo Escudé, 2010. "Dynamic Stochastic General Equilibrium Models (DSGE): An Introduction," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, vol. 1(59), pages 25-79, July - Se.
  56. Ben S. Bernanke & Jean Boivin & Piotr Eliasz, 2004. "Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach," NBER Working Papers 10220, National Bureau of Economic Research, Inc.
  57. Tapas Mishra & Bazoumana Ouattara & Mamata Parhi, 2011. "A Note on Shock Persistence in Total Factor Productivity Growth," Economics Bulletin, AccessEcon, vol. 31(2), pages 1869-1893.
  58. Welz, Peter, 2006. "Assessing predetermined expectations in the standard sticky-price model: a Bayesian approach," Working Paper Series 0621, European Central Bank.
  59. Márcio Alves Diniz & C.A.B.Pereira & J.M.Stern, 2008. "FBST for Unit Root Problems," Working Papers 08_11, Universidade de São Paulo, Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto.
  60. Ossama Mikhail, 2005. "What Happens After A Technology Shock? A Bayesian Perspective," Macroeconomics 0510016, EconWPA.
  61. Jarociński, Marek, 2008. "Responses to monetary policy shocks in the east and the west of Europe: a comparison," Working Paper Series 0970, European Central Bank.
  62. Ricardo M. Sousa, 2010. "How do Consumption and Asset Returns React to Wealth Shocks? Evidence from the U.S. and the U.K," NIPE Working Papers 14/2010, NIPE - Universidade do Minho.
  63. Boivin, J. & Giannoni, M., 2007. "DSGE Models in a Data-Rich Environment," Working papers 162, Banque de France.
  64. Charley Xia and William Griffiths, 2012. "Bayesian Unit Root Testing: The Effect Of Choice Of Prior On Test Outcomes," Department of Economics - Working Papers Series 1152, The University of Melbourne.
  65. Christoffel, Kai & Warne, Anders & Coenen, Günter, 2010. "Forecasting with DSGE models," Working Paper Series 1185, European Central Bank.
  66. Darsinos, T. & Satchell, S.E., 2002. "The Implied Distribution for Stocks of Companies with Warrants and/or Executive Stock Options," Cambridge Working Papers in Economics 0217, Faculty of Economics, University of Cambridge.
  67. No, Sung Chul & Salassi, Michael E., 2006. "Dynamic Analysis and Forecasts of Rough Rice Price under Government Price Support Program: An Application of Bayesian VAR," 2006 Annual Meeting, February 5-8, 2006, Orlando, Florida 35279, Southern Agricultural Economics Association.
  68. 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.
  69. Frank Smets & Rafael Wouters, 2007. "Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach," American Economic Review, American Economic Association, vol. 97(3), pages 586-606, June.
  70. Olayeni, Olaolu Richard, 2009. "A Bayesian analysis of government expenditure in Nigeria," MPRA Paper 18244, University Library of Munich, Germany.
  71. Nikolaus Hautsch & Yangguoyi Ou, 2008. "Discrete-Time Stochastic Volatility Models and MCMC-Based Statistical Inference," SFB 649 Discussion Papers SFB649DP2008-063, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  72. Tino Berger & Lorenzo Pozzi, 2016. "Is there really a Global Business Cycle? A Dynamic Factor Model with Stochastic Factor Selection," Tinbergen Institute Discussion Papers 16-088/VI, Tinbergen Institute.
  73. Scharnagl, Michael & Schumacher, Christian, 2007. "Reconsidering the role of monetary indicators for euro area inflation from a Bayesian perspective using group inclusion probabilities," Discussion Paper Series 1: Economic Studies 2007,09, Deutsche Bundesbank, Research Centre.
  74. Paolo Zagaglia, 2011. "Forecasting Long-Term Interest Rates with a Dynamic General Equilibrium Model of the Euro Area: The Role of the Feedback," Working Paper Series 19_11, The Rimini Centre for Economic Analysis.
  75. Ossama Mikhail & Curtis J. Eberwein & Jagdish Handa, 2003. "Testing and Estimating Persistence in Canadian Unemployment," Econometrics 0311004, EconWPA.
  76. Ding Ding & Rahul Anand & Shanaka J Peiris, 2011. "Towards Inflation Targeting in Sri Lanka," IMF Working Papers 11/81, .
  77. Luoto, Jani, 2011. "Aggregate infrastructure capital stock and long-run growth: Evidence from Finnish data," Journal of Development Economics, Elsevier, vol. 94(2), pages 181-191, March.
  78. Herwartz, Helmut & Weber, Henning, 2010. "The euro's trade effect under cross-sectional heterogeneity and stochastic resistance," Kiel Working Papers 1631, Kiel Institute for the World Economy (IfW).
  79. Bos, Charles S., 2011. "A Bayesian Analysis of Unobserved Component Models Using Ox," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 41(i13).
  80. Carriero, Andrea & Kapetanios, George & Marcellino, Massimiliano, 2010. "Forecasting Government Bond Yields with Large Bayesian VARs," CEPR Discussion Papers 7796, C.E.P.R. Discussion Papers.
  81. Götz, Thomas B. & Hecq, Alain & Smeekes, Stephan, 2016. "Testing for Granger causality in large mixed-frequency VARs," Journal of Econometrics, Elsevier, vol. 193(2), pages 418-432.
  82. 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.
  83. Müller-Plantenberg, Nikolas, 2012. "Long swings in Japan’s current account and in the yen," Working Papers in Economic Theory 2012/08, Universidad Autónoma de Madrid (Spain), Department of Economic Analysis (Economic Theory and Economic History).
  84. Pelin Ilbas, 2008. "Estimation of monetary policy preferences in a forward-looking model : a Bayesian approach," Working Paper Research 129, National Bank of Belgium.
  85. Sugita, Katsuhiro, 2002. "Testing For Cointegration Rank Using Bayes Factors," The Warwick Economics Research Paper Series (TWERPS) 654, University of Warwick, Department of Economics.
  86. repec:ebl:ecbull:v:3:y:2008:i:22:p:1-7 is not listed on IDEAS
  87. 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.
  88. Warne, Anders, 2006. "Bayesian inference in cointegrated VAR models: with applications to the demand for euro area M3," Working Paper Series 0692, European Central Bank.
  89. Monica Billio & Roberto Casarin, 2008. "Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods," Working Papers 0815, University of Brescia, Department of Economics.
  90. Villani, Mattias, 2005. "Inference in Vector Autoregressive Models with an Informative Prior on the Steady State," Working Paper Series 181, Sveriges Riksbank (Central Bank of Sweden).
  91. Luc Bauwens & Jeroen Rombouts, 2004. "Bayesian Clustering Of Similar Multivariate Garch Models," Econometric Society 2004 North American Winter Meetings 370, Econometric Society.
  92. Roberto Leon-Gonzalez, "undated". "Data Augmentation in Limited-Dependent Variable Models," Discussion Papers 02/09, Department of Economics, University of York.
  93. O. Mikhail & C. J. Eberwein & J. Handa, 2006. "Estimating persistence in Canadian unemployment: evidence from a Bayesian ARFIMA," Applied Economics, Taylor & Francis Journals, vol. 38(15), pages 1809-1819.
  94. Kirstin Hubrich & Timo Teräsvirta, 2013. "Thresholds and Smooth Transitions in Vector Autoregressive Models," CREATES Research Papers 2013-18, Department of Economics and Business Economics, Aarhus University.
  95. Aldrich, John, 2001. "How likelihood and identification went Bayesian," Discussion Paper Series In Economics And Econometrics 0111, Economics Division, School of Social Sciences, University of Southampton.
  96. Lennart F. Hoogerheide & Johan F. Kaashoek, 2004. "Functional Approximations to Likelihoods/Posterior Densities: A Neural Network Approach to Efficient Sampling," Computing in Economics and Finance 2004 74, Society for Computational Economics.
  97. Lin, L. & Ren, R.E. & Sornette, D., 2014. "The volatility-confined LPPL model: A consistent model of ‘explosive’ financial bubbles with mean-reverting residuals," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 210-225.
  98. Mattias Villani, 2009. "Steady-state priors for vector autoregressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(4), pages 630-650.
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