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Citations for "Markov Chain Monte Carlo Simulation Methods in Econometrics"

by Siddhartha Chib & Edward Greenberg

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  1. Jensen Mark J., 2016. "Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(4), pages 455-475, September.
  2. Collin-Dufresne, Pierre & Goldstein, Robert S. & Jones, Christopher S., 2009. "Can interest rate volatility be extracted from the cross section of bond yields?," Journal of Financial Economics, Elsevier, vol. 94(1), pages 47-66, October.
  3. Sylvia Kaufmann, 2002. "Is there an asymmetric effect of monetary policy over time? A Bayesian analysis using Austrian data," Empirical Economics, Springer, vol. 27(2), pages 277-297.
  4. Sarantis Tsiaplias, 2009. "Examining Feedback, Momentum and Overreaction in National Equity Markets," Melbourne Institute Working Paper Series wp2009n18, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  5. Chuanming Gao & Kajal Lahiri, 2000. "A Comparison of Some Recent Bayesian and Classical Procedures for Simultaneous Equation Models with Weak Instruments," Econometric Society World Congress 2000 Contributed Papers 0230, Econometric Society.
  6. Thomas M. Trimbur, 2006. "Detrending economic time series: a Bayesian generalization of the Hodrick-Prescott filter," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(4), pages 247-273.
  7. Barnett, William A. & Serletis, Apostolos, 2008. "Consumer preferences and demand systems," Journal of Econometrics, Elsevier, vol. 147(2), pages 210-224, December.
  8. Chua, Chew Lian & Tsiaplias, Sarantis, 2011. "Predicting economic contractions and expansions with the aid of professional forecasts," International Journal of Forecasting, Elsevier, vol. 27(2), pages 438-451.
  9. Geweke, John & Keane, Michael, 2000. "An empirical analysis of earnings dynamics among men in the PSID: 1968-1989," Journal of Econometrics, Elsevier, vol. 96(2), pages 293-356, June.
  10. Alejandro Onofri & Lilyan E. Fulginiti, 2005. "Public Inputs and Productivty in the Agricultural Sector: A Dynamic Dual Approach," Others 0502011, EconWPA.
  11. Chib & Siddhartha; Dueker, 2004. "Non-Markovian Regime Switching with Endogenous States and Time-Varying State Strengths," Econometric Society 2004 North American Summer Meetings 600, Econometric Society.
  12. Otrok, Christopher, 2001. "On measuring the welfare cost of business cycles," Journal of Monetary Economics, Elsevier, vol. 47(1), pages 61-92, February.
  13. Susumu Imai & Neelam Jain & Andrew Ching, 2009. "Bayesian Estimation of Dynamic Discrete Choice Models," Econometrica, Econometric Society, vol. 77(6), pages 1865-1899, November.
  14. Miazhynskaia, Tatiana & Fruhwirth-Schnatter, Sylvia & Dorffner, Georg, 2006. "Bayesian testing for non-linearity in volatility modeling," Computational Statistics & Data Analysis, Elsevier, vol. 51(3), pages 2029-2042, December.
  15. Michiel D. de Pooter & René Segers & Herman K. van Dijk, 2006. "On the Practice of Bayesian Inference in Basic Economic Time Series Models using Gibbs Sampling," Tinbergen Institute Discussion Papers 06-076/4, Tinbergen Institute.
  16. Charles Courtemanche & Samir Soneji & Rusty Tchernis, 2013. "Modeling Area-Level Health Rankings," NBER Working Papers 19450, National Bureau of Economic Research, Inc.
  17. Siddhartha Chib & Edward Greenberg & Yuxin Chen, 1998. "MCMC Methods for Fitting and Comparing Multinomial Response Models," Econometrics 9802001, EconWPA, revised 06 May 1998.
  18. Tsyplakov, Alexander, 2010. "Revealing the arcane: an introduction to the art of stochastic volatility models," MPRA Paper 25511, University Library of Munich, Germany.
  19. Eliana González & Luis F. Melo & Viviana Monroy & Brayan Rojas, 2009. "A Dynamic Factor Model For The Colombian Inflation," BORRADORES DE ECONOMIA 005273, BANCO DE LA REPÚBLICA.
  20. Moshe Buchinsky & Denis Fougère & Francis Kramarz & Rusty Tchernis, 2002. "Interfirm Mobility, Wages and the Returns to Seniority and Experience in the U.S," Working Papers 2002-29, Centre de Recherche en Economie et Statistique.
  21. Bauwens, L. & Bos, C.S. & van Dijk, H.K., 1999. "Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk," Econometric Institute Research Papers TI 99-082/4, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  22. Gael M. Martin, 2000. "US deficit sustainability: a new approach based on multiple endogenous breaks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(1), pages 83-105.
  23. Canova, Fabio & Ciccarelli, Matteo, 2004. "Forecasting and turning point predictions in a Bayesian panel VAR model," Journal of Econometrics, Elsevier, vol. 120(2), pages 327-359, June.
  24. Patacchini, Eleonora & Picard, Pierre M & Zenou, Yves, 2015. "Urban Social Structure, Social Capital and Spatial Proximity," CEPR Discussion Papers 10501, C.E.P.R. Discussion Papers.
  25. Lahiri, Kajal & Gao, Jian, 2002. "Bayesian analysis of nested logit model by Markov chain Monte Carlo," Journal of Econometrics, Elsevier, vol. 111(1), pages 103-133, November.
  26. Hendrik Wolff & Thomas Heckelei & Ron Mittelhammer, 2010. "Imposing Curvature and Monotonicity on Flexible Functional Forms: An Efficient Regional Approach," Computational Economics, Springer;Society for Computational Economics, vol. 36(4), pages 309-339, December.
  27. Christopher J. O'Donnell & Alicia N. Rambaldi & Howard E. Doran, 2001. "Estimating economic relationships subject to firm- and time-varying equality and inequality constraints," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(6), pages 709-726.
  28. 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.
  29. Mikkelsen, Peter, 2003. "Estimating intractable non-linear term structure models," Finance Working Papers 02-7, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  30. Thomas L. Marsh & Allen M. Featherstone & Thomas A. Garrett, 2003. "Input inefficiency in commercial banks: a normalized quadratic input distance approach," Working Papers 2003-036, Federal Reserve Bank of St. Louis.
  31. 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.
  32. Strickland, Chris M. & Forbes, Catherine S. & Martin, Gael M., 2006. "Bayesian analysis of the stochastic conditional duration model," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2247-2267, May.
  33. Galvão, Ana B. & Owyang, Michael T., 2014. "Financial stress regimes and the macroeconomy," Working Papers 2014-20, Federal Reserve Bank of St. Louis, revised 01 Dec 2016.
  34. Carmen Fernandez & Eduardo Ley & Mark F. J. Steel, 2001. "Model uncertainty in cross-country growth regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(5), pages 563-576.
  35. 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.
  36. Creel, Jérôme & Hubert, Paul, 2015. "Has Inflation Targeting Changed The Conduct Of Monetary Policy?," Macroeconomic Dynamics, Cambridge University Press, vol. 19(01), pages 1-21, January.
  37. Harvey, Andrew C. & Trimbur, Thomas M. & Van Dijk, Herman K., 2007. "Trends and cycles in economic time series: A Bayesian approach," Journal of Econometrics, Elsevier, vol. 140(2), pages 618-649, October.
  38. Lubos Pástor & Robert F. Stambaugh, 1999. "Costs of Equity Capital and Model Mispricing," Journal of Finance, American Finance Association, vol. 54(1), pages 67-121, 02.
  39. Dehejia, Rajeev H., 2005. "Program evaluation as a decision problem," Journal of Econometrics, Elsevier, vol. 125(1-2), pages 141-173.
  40. Grace H.Y. Lee, 2009. "Aggregate Shocks Decomposition For Eight East Asian Countries," Monash Economics Working Papers 17-09, Monash University, Department of Economics.
  41. Sándor, Z. & András, P., 2003. "Alternate Samplingmethods for Estimating Multivariate Normal Probabilities," Econometric Institute Research Papers EI 2003-05, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  42. Chou, Pin-Huang, 1997. "A Gibbs sampling approach to the estimation of linear regression models under daily price limits," Pacific-Basin Finance Journal, Elsevier, vol. 5(1), pages 39-62, February.
  43. Chen, Peng, 2015. "Global oil prices, macroeconomic fundamentals and China's commodity sector comovements," Energy Policy, Elsevier, vol. 87(C), pages 284-294.
  44. James D. Hamilton & Daniel F. Waggoner & Tao Zha, 2007. "Normalization in Econometrics," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 221-252.
  45. Nakajima, Jouchi & Omori, Yasuhiro, 2009. "Leverage, heavy-tails and correlated jumps in stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2335-2353, April.
  46. Uchiyama, Hirokuni, 2006. "The index of agency cost and the financial accelerator: the case of Japan," Japan and the World Economy, Elsevier, vol. 18(1), pages 22-48, January.
  47. de Pooter, M.D. & Ravazzolo, F. & Segers, R. & van Dijk, H.K., 2008. "Bayesian near-boundary analysis in basic macroeconomic time series models," Econometric Institute Research Papers EI 2008-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  48. Sanford, Andrew D. & Martin, Gael M., 2005. "Simulation-based Bayesian estimation of an affine term structure model," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 527-554, April.
  49. Chotikapanich, Duangkamon & Griffiths, William E., 2000. "Flexible Distributed Lags," 2000 Conference (44th), January 23-25, 2000, Sydney, Australia 123623, Australian Agricultural and Resource Economics Society.
  50. repec:onb:oenbwp:y::i:85:b:1 is not listed on IDEAS
  51. Leonid Kogan & Raman Uppal, "undated". "Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies," Rodney L. White Center for Financial Research Working Papers 13-00, Wharton School Rodney L. White Center for Financial Research.
  52. Sergio Rey & Guy West & Mark Janikas, 2004. "Uncertainty in Integrated Regional Models," Economic Systems Research, Taylor & Francis Journals, vol. 16(3), pages 259-277.
  53. 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.
  54. Chamberlain, Gary & Imbens, Guido, 1996. "Hierarchical Bayes Models with Many Instrumental Variables," Scholarly Articles 3221489, Harvard University Department of Economics.
  55. Kalatzis, Aquiles Elie Guimarães & Azzoni, Carlos Roberto, 2009. "Investment decisions in troubled times: A Bayesian approach applied to Brazilian firms," International Journal of Production Economics, Elsevier, vol. 120(2), pages 595-606, August.
  56. Jones, Christopher S., 2003. "The dynamics of stochastic volatility: evidence from underlying and options markets," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 181-224.
  57. Tsuyoshi Kunihama & Yasuhiro Omori & Zhengjun Zhang, 2012. "Efficient estimation and particle filter for max‐stable processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 33(1), pages 61-80, 01.
  58. Gerhard Arminger & Bengt Muthén, 1998. "A Bayesian approach to nonlinear latent variable models using the Gibbs sampler and the metropolis-hastings algorithm," Psychometrika, Springer;The Psychometric Society, vol. 63(3), pages 271-300, September.
  59. C.S. Forbes & G.M. Martin & J. Wright, 2002. "Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices," Monash Econometrics and Business Statistics Working Papers 2/02, Monash University, Department of Econometrics and Business Statistics.
  60. Wolfgang Aussenegg & Tatiana Miazhynskaia, 2006. "Uncertainty in Value-at-risk Estimates under Parametric and Non-parametric Modeling," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 20(3), pages 243-264, September.
  61. Hanrahan, Kevin F. & Westhoff, Patrick C. & Young, Robert E., II, 2001. "Trade Allocation Modeling: Comparing The Results From Armington And Locally Regular Ai Demand System Specifications Of A Uk Beef Import Demand Allocation Model," 2001 Annual meeting, August 5-8, Chicago, IL 20510, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  62. Ghent, Andra C. & Owyang, Michael T., 2010. "Is housing the business cycle? Evidence from US cities," Journal of Urban Economics, Elsevier, vol. 67(3), pages 336-351, May.
  63. Hautsch, Nikolaus & Yang, Fuyu, 2012. "Bayesian inference in a Stochastic Volatility Nelson–Siegel model," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3774-3792.
  64. Chib, Siddhartha, 2004. "Markov Chain Monte Carlo Technology," Papers 2004,22, Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE).
  65. 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.
  66. Griffiths, William E. & O'Donnell, Christopher J. & Cruz, Agustina Tan, 2000. "Imposing regularity conditions on a system of cost and factor share equations," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 44(1), March.
  67. Hasbrouck, Joel, 1999. "Security bid/ask dynamics with discreteness and clustering: Simple strategies for modeling and estimation1," Journal of Financial Markets, Elsevier, vol. 2(1), pages 1-28, February.
  68. Baranchuk, Nina & Chib, Siddhartha, 2008. "Assessing the role of option grants to CEOs: How important is heterogeneity?," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 145-166, March.
  69. Christopher Otrok & Charles H. Whiteman, 1996. "Baynesian Leading Indicators: Measuring and Predicting Economic Conditions," Macroeconomics 9610002, EconWPA.
  70. Jouchi Nakajima & Yasuhiro Omori, 2007. "Leverage, Heavy-Tails and Correlated Jumps in Stochastic Volatility Models (Revised in January 2008; Published in "Computational Statistics and Data Analysis", 53-6, 2335-2353. April 2009. )," CARF F-Series CARF-F-107, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  71. Ryo Nakajima, 2007. "Measuring Peer Effects on Youth Smoking Behaviour," Review of Economic Studies, Oxford University Press, vol. 74(3), pages 897-935.
  72. A. Onofri & L. Fulginiti, 2008. "Rejoinder," Journal of Productivity Analysis, Springer, vol. 30(1), pages 81-85, August.
  73. Michael J. Dueker & Michael T. Owyang & Martin Sola, 2010. "A time-varying threshold STAR model of unemployment and the natural rate," Working Papers 2010-029, Federal Reserve Bank of St. Louis.
  74. Anatoliy Belaygorod & Michael J. Dueker, 2005. "Discrete monetary policy changes and changing inflation targets in estimated dynamic stochastic general equilibrium models," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 719-734.
  75. Andrew D. Sanford & Gael Martin, 2004. "Bayesian Analysis of Continuous Time Models of the Australian Short Rate," Monash Econometrics and Business Statistics Working Papers 11/04, Monash University, Department of Econometrics and Business Statistics.
  76. Elena Cefis & Luigi Orsenigo & Matteo Ciccarelli, 2002. "From Gibrat'S Legacy To Gibrat'S Fallacy. A Bayesian Approach To Study The Growth Of Firms," Working Papers. Serie AD 2002-19, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  77. Christopher S. Jones, 2003. "Nonlinear Mean Reversion in the Short-Term Interest Rate," Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 793-843, July.
  78. Gael Martin, 2001. "Bayesian Analysis Of A Fractional Cointegration Model," Econometric Reviews, Taylor & Francis Journals, vol. 20(2), pages 217-234.
  79. Chotikapanich, D. & Griffiths, W.E. & Skeels, C.L., 2001. "Sample Size Requirements for Estimation in SUR Models," Department of Economics - Working Papers Series 794, The University of Melbourne.
  80. Doron Avramov & Guofu Zhou, 2010. "Bayesian Portfolio Analysis," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 25-47, December.
  81. Siem Jan Koopman & Neil Shephard & Jurgen A. Doornik, 1999. "Statistical algorithms for models in state space using SsfPack 2.2," Econometrics Journal, Royal Economic Society, vol. 2(1), pages 107-160.
  82. Sangjoon Kim, Neil Shephard & Siddhartha Chib, "undated". "Stochastic volatility: likelihood inference and comparison with ARCH models," Economics Papers W26, revised version of W, Economics Group, Nuffield College, University of Oxford.
  83. John Geweke & Gautam Gowrisankaran & Robert J. Town, 2003. "Bayesian Inference for Hospital Quality in a Selection Model," Econometrica, Econometric Society, vol. 71(4), pages 1215-1238, 07.
  84. Eleonora Patacchini & Edoardo Rainone, 2014. "The Word on Banking - Social Ties, Trust, and the Adoption of Financial Products," EIEF Working Papers Series 1404, Einaudi Institute for Economics and Finance (EIEF), revised Jul 2014.
  85. Francisco Peñaranda, 2004. "Are Vector Autoregressions And Accurate Model For Dynamic Asset Allocation?," Working Papers wp2004_0419, CEMFI.
  86. Strickland, Chris M. & Martin, Gael M. & Forbes, Catherine S., 2008. "Parameterisation and efficient MCMC estimation of non-Gaussian state space models," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 2911-2930, February.
  87. Han, Xiaoyi & Lee, Lung-fei, 2013. "Bayesian estimation and model selection for spatial Durbin error model with finite distributed lags," Regional Science and Urban Economics, Elsevier, vol. 43(5), pages 816-837.
  88. Kaufmann Sylvia & Scheicher Martin, 2006. "A Switching ARCH Model for the German DAX Index," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(4), pages 1-37, December.
  89. Nepelski, Daniel, 2010. "Competition and Innovation: ICT- and non-ICT-enabled Product and Process Innovations," MPRA Paper 26243, University Library of Munich, Germany.
  90. Doron Avramov, "undated". "Stock-Return Predictability and Model Uncertainty," Rodney L. White Center for Financial Research Working Papers 12-00, Wharton School Rodney L. White Center for Financial Research.
  91. Nalan Basturk & Cem Cakmakli & S. Pinar Ceyhan & Herman K. van Dijk, 2014. "On the Rise of Bayesian Econometrics after Cowles Foundation Monographs 10, 14," Tinbergen Institute Discussion Papers 14-085/III, Tinbergen Institute, revised 04 Sep 2014.
  92. Dueker, Michael, 2006. "Kalman filtering with truncated normal state variables for Bayesian estimation of macroeconomic models," Economics Letters, Elsevier, vol. 93(1), pages 58-62, October.
  93. Yun, Myeong-Su, 1999. "Generalized Selection Bias and The Decomposition of Wage Differentials," IZA Discussion Papers 69, Institute for the Study of Labor (IZA).
  94. Stock, James H. & Watson, Mark, 2011. "Dynamic Factor Models," Scholarly Articles 28469541, Harvard University Department of Economics.
  95. Leopold Soegner & Alfred Stiassny, 2000. "A Cross-Country Study on Okun's Law," Working Papers geewp13, Vienna University of Economics and Business Research Group: Growth and Employment in Europe: Sustainability and Competitiveness.
  96. Yi-Chi Chen & Wei-Choun Yu, 2011. "Structural change in the forward discount: a Bayesian analysis of forward rate unbiasedness hypothesis," Economics Bulletin, AccessEcon, vol. 31(2), pages 1807-1826.
  97. Scruggs, John T., 2007. "Estimating the cross-sectional market response to an endogenous event: Naked vs. underwritten calls of convertible bonds," Journal of Empirical Finance, Elsevier, vol. 14(2), pages 220-247, March.
  98. Karadimitropoulou, Aikaterini & León-Ledesma, Miguel, 2013. "World, country, and sector factors in international business cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2913-2927.
  99. 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.
  100. Chib, Siddhartha, 1998. "Estimation and comparison of multiple change-point models," Journal of Econometrics, Elsevier, vol. 86(2), pages 221-241, June.
  101. Patacchini, Eleonora & Arduini, Tiziano, 2016. "Residential choices of young Americans," Journal of Housing Economics, Elsevier, vol. 34(C), pages 69-81.
  102. Arana, Jorge E. & Leon, Carmelo J., 2005. "Flexible mixture distribution modeling of dichotomous choice contingent valuation with heterogenity," Journal of Environmental Economics and Management, Elsevier, vol. 50(1), pages 170-188, July.
  103. Mulik, Kranti & Featherstone, Allen M. & Marsh, Thomas L., 2003. "Imposing Curvature Restrictions On A Translog Cost Function Using A Markov Chain Monte Carlo Simulation Approach," 2003 Annual meeting, July 27-30, Montreal, Canada 22038, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  104. Gordy, Michael B. & Szerszen, Pawel J., 2015. "Bayesian Estimation of Time-Changed Default Intensity Models," Finance and Economics Discussion Series 2015-2, Board of Governors of the Federal Reserve System (U.S.).
  105. Chib, Siddhartha & Nardari, Federico & Shephard, Neil, 2006. "Analysis of high dimensional multivariate stochastic volatility models," Journal of Econometrics, Elsevier, vol. 134(2), pages 341-371, October.
  106. Jouchi Nakajima, 2011. "Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications," IMES Discussion Paper Series 11-E-09, Institute for Monetary and Economic Studies, Bank of Japan.
  107. Lee, Grace H.Y. & Azali, M., 2012. "Is East Asia an optimum currency area?," Economic Modelling, Elsevier, vol. 29(2), pages 87-95.
  108. Mark M. Pitt & Daniel L. Millimet, 1999. "Estimation of Coherent Demand Systems with Many Binding Non-Negativity Constraints," Working Papers 99-4, Brown University, Department of Economics.
  109. Joel Hasbrouck, 1998. "Liquidity in the Futures Pits: Inferring Market Dynamics from Incomplete Data," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-076, New York University, Leonard N. Stern School of Business-.
  110. 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.
  111. Hoogerheide, L.F. & Kaashoek, J.F. & van Dijk, H.K., 2004. "Neural network based approximations to posterior densities: a class of flexible sampling methods with applications to reduced rank models," Econometric Institute Research Papers EI 2004-19, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  112. Chib, Siddhartha & Hamilton, Barton H., 2002. "Semiparametric Bayes analysis of longitudinal data treatment models," Journal of Econometrics, Elsevier, vol. 110(1), pages 67-89, September.
  113. Tsiaplias, Sarantis, 2008. "Factor estimation using MCMC-based Kalman filter methods," Computational Statistics & Data Analysis, Elsevier, vol. 53(2), pages 344-353, December.
  114. Chib, Siddhartha & Nardari, Federico & Shephard, Neil, 2002. "Markov chain Monte Carlo methods for stochastic volatility models," Journal of Econometrics, Elsevier, vol. 108(2), pages 281-316, June.
  115. Luis Quintero, "undated". "MCMC Approach to Classical Estimation with Overidentifying Restrictions," GSIA Working Papers 2013-E13, Carnegie Mellon University, Tepper School of Business.
  116. Siddhartha Chib & Michael Dueker & Anatoliy Belaygorod, 2005. "Structural Breaks in Estimated DSGE Models with Indeterminacy," Computing in Economics and Finance 2005 357, Society for Computational Economics.
  117. Gautam Gowrisankaran & Robert J. Town, 2000. "Inferring Hospital Quality from Patient Discharge Records Using a Bayesian Selection Model," Econometric Society World Congress 2000 Contributed Papers 1773, Econometric Society.
  118. Hisashi Tanizaki & Shigeyuki Hamori, 2009. "Volatility transmission between Japan, UK and USA in daily stock returns," Empirical Economics, Springer, vol. 36(1), pages 27-54, February.
  119. Marsh, Thomas L., 2003. "Elasticities for U.S. Wheat Food Use by Class," 2003 Conference (47th), February 12-14, 2003, Fremantle, Australia 57920, Australian Agricultural and Resource Economics Society.
  120. Strickland, Chris M. & Turner, Ian. W. & Denham, Robert & Mengersen, Kerrie L., 2009. "Efficient Bayesian estimation of multivariate state space models," Computational Statistics & Data Analysis, Elsevier, vol. 53(12), pages 4116-4125, October.
  121. Li, Xiao-Ping & Feng, Yun & Wu, Chong-Feng & Xu, Wei-Dong, 2013. "Response of the term structure of forward exchange rate to jump in the interest rate," Economic Modelling, Elsevier, vol. 30(C), pages 863-874.
  122. Tong Li & Xiaoyong Zheng, 2008. "Semiparametric Bayesian inference for dynamic Tobit panel data models with unobserved heterogeneity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(6), pages 699-728.
  123. Marianna Riggi & Massimiliano Tancioni, 2008. "Nominal v. Real Wage Rigidities in New Keynesian Models with Hiring Costs," Working Papers 107, University of Rome La Sapienza, Department of Public Economics.
  124. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
  125. Griffiths, W.E., 2001. "Bayesian Inference in the Seemingly Unrelated Regressions Models," Department of Economics - Working Papers Series 793, The University of Melbourne.
  126. Hoogerheide, L.F. & Kaashoek, J.F. & van Dijk, H.K., 2002. "Functional approximations to posterior densities: a neural network approach to efficient sampling," Econometric Institute Research Papers EI 2002-48, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  127. Hruschka, Harald, 2006. "Relevance of functional flexibility for heterogeneous sales response models: A comparison of parametric and semi-nonparametric models," European Journal of Operational Research, Elsevier, vol. 174(2), pages 1009-1020, October.
  128. Chiang, Jeongwen & Chib, Siddhartha & Narasimhan, Chakravarthi, 1998. "Markov chain Monte Carlo and models of consideration set and parameter heterogeneity," Journal of Econometrics, Elsevier, vol. 89(1-2), pages 223-248, November.
  129. Matteo Ciccarelli, 2001. "Testing Restrictions In Normal Data Models Using Gibbs Sampling," Working Papers. Serie AD 2001-17, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  130. Joel Hasbrouck, 1998. "Security Bid/Ask Dynamics with Discreteness and Clustering: Simple Strategies for Modeling and Estimation," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-042, New York University, Leonard N. Stern School of Business-.
  131. Pawel J. Szerszen, 2009. "Bayesian analysis of stochastic volatility models with Lévy jumps: application to risk analysis," Finance and Economics Discussion Series 2009-40, Board of Governors of the Federal Reserve System (U.S.).
  132. Tsuyoshi Kunihama & Yasuhiro Omori & Zhengjun Zhang, 2010. "Bayesian Estimation and Particle Filter for Max-Stable Processes," CIRJE F-Series CIRJE-F-757, CIRJE, Faculty of Economics, University of Tokyo.
  133. Hsieh, Chih-Sheng & Lee, Lung fei, 2017. "Specification and Estimation of Network Formation and Network Interaction Models with the Exponential Probability Distribution," MPRA Paper 60726, University Library of Munich, Germany.
  134. Rémi Piatek & Pia Pinger, 2016. "Maintaining (Locus of) Control? Data Combination for the Identification and Inference of Factor Structure Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(4), pages 734-755, 06.
  135. Ghulam Sorwar, 2005. "Implied derivative security prices based two-factor interest model: a UK application," Applied Financial Economics, Taylor & Francis Journals, vol. 15(10), pages 739-744.
  136. Jouchi Nakajima & Yuki Teranishi, 2009. "The Evolution of Loan Rate Stickiness Across the Euro Area," IMES Discussion Paper Series 09-E-10, Institute for Monetary and Economic Studies, Bank of Japan.
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