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Bayesian & Econometrics Wiki

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Concepts (154)

Sources (275)

Adolfson, M., M.K. Andersson, J. Lindé, M. Villani, and A. Vredin. (2007). "Modern Forecasting Models in Action: Improving Macroeconomic Analyses at Central Banks." International Journal of Central Banking 3(4): 111–144.
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Aguilar, O. and M. West. (2000). "Bayesian Dynamic Factor Models and Portfolio Allocation." Journal of Business and Economic Statistics 18(3): 338–357.
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Akgiray, V. (1989). "Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts." Journal of Business 62(1): 55–80.
Albert, J.H. and S. Chib. (1993). "Bayes Inference via Gibbs Sampling of Autoregressive Time Series Subject to Markov Mean and Variance Shifts." Journal of Business & Economic Statistics 11(1): 1–15.
Albert, J.H. and S. Chib. (1993b). "Bayesian Analysis of Binary and Polychotomous Response Data." Journal of the American Statistical Association 88(422): 669–679.
Albert, J.H. and S. Chib. (1995). "Bayesian Residual Analysis for Binary Response Regression Models." Biometrika 82(4): 747–759.
Albert, J.H. (1996). "Bayesian Selection of Log-Linear Models." Canadian Journal of Statistics 24(3): 327–347.
Albert, J. and S. Chib. (1997). "Bayesian Tests and Model Diagnostics in Conditionally Independent Hierarchical Models." Journal of the American Statistical Association 92: 916–925.
Albert, J. and S. Chib. (1997b). "Bayesian Methods for Cumulative, Sequential and Two-Step Ordinal Data Regression Models." Unpublished manuscript, Bowling Green State University and Washington University in St. Louis.
Albert, J.H. and S. Chib. (2001). "Sequential Ordinal Modeling with Applications to Survival Data." Biometrics 57(3): 829–836.
Albert, P.S. and L.E. Dodd. (2004). "A Cautionary Note on the Robustness of Latent Class Models for Estimating Diagnostic Error without a Gold Standard." Biometrics 60(2): 427–435.
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Allenby, G.M. and J. Ginter. (1995b). "Using Extremes to Design Products and Segment Markets." Journal of Marketing Research 32: 392–403.
Allenby, G.M. and P.E. Rossi. (1999). "Marketing Models of Consumer Heterogeneity." Journal of Econometrics 89: 57–78.
Allenby, G.M., P.E. Rossi, and R.E. McCulloch. (2005). "Hierarchical Bayes Models: A Practitioners Guide." Working paper, January 2005.
Allenby, G.M. and P.E. Rossi. (2006). "Hierarchical Bayes Models." In R. Grover and M. Vriens (eds.), The Handbook of Marketing Research: Uses, Misuses, and Future Advances, Ch. 20, pp. 418–440. Thousand Oaks, CA: Sage.
Aloulou, A. and S. Ellouze. (2017). "Does Fundamental Value Run Asset Price Formation Process? Evidence from Option Price Information Content." Journal of Asset Management 18(4): 255–268.
Amin, K.I. and V.K. Ng. (1993). "Option Valuation with Systematic Stochastic Volatility." Journal of Finance 48(3): 881–910.
Amisano, G., and M. Serati. (1999). "Forecasting Cointegrated Series with BVAR Models." Journal of Forecasting 18: 463–476.
Amisano, G., and L. Federico. (2004). "Alternative Time-Varying Parameter Specifications for Bayesian VAR Models." Working Paper, Università di Brescia.
Andersen, E.B. (1982). "Latent Structure Analysis: A Survey." Scandinavian Journal of Statistics 9(1): 1–12.
Andersen, T.G. and T. Bollerslev. (1998a). "Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts." International Economic Review 39(4): 885–905.
Andersen, T.G., T. Bollerslev, F.X. Diebold, and P. Labys. (2003). "Modeling and Forecasting Realized Volatility." Econometrica 71(2): 579–625.
Andersen, T.G., T. Bollerslev, P.F. Christoffersen, and F.X. Diebold. (2004). "Practical Volatility and Correlation Modeling for Financial Market Risk Management." In M. Carey and R. Stulz (eds.), Risks of Financial Institutions. Chicago: NBER/University of Chicago Press.
Andersen, T.G., T. Bollerslev, P.F. Christoffersen, and F.X. Diebold. (2006). "Volatility and Correlation Forecasting." In G. Elliott, C.W.J. Granger, and A. Timmermann (eds.), Handbook of Economic Forecasting, Vol. 1, Ch. 15, pp. 777–878. North-Holland.
Ang, A., and M. Piazzesi. (2003). "A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables." Journal of Monetary Economics 50: 745–787.
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Bakshi, G., C. Cao, and Z. Chen. (1997). "Empirical Performance of Alternative Option Pricing Models." Journal of Finance 52: 2003–2049.
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Bańbura, Marta, Domenico Giannone, Lucrezia Reichlin. (2009). Bańbura-Giannone-Reichlin (2010) Large Bayesian VARs. paper.
Banerjee, A. and G. Urga. (2005). "Modelling Structural Breaks, Long Memory and Stock Market Volatility: An Overview." Journal of Econometrics 129: 1–34.
Barndorff-Nielsen, O.E. and N. Shephard. (2006). "Impact of Jumps on Returns and Realised Variances: Econometric Analysis of Time-Deformed Lévy Processes." Journal of Econometrics 131: 217–252.
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Bauwens, L., D. Deprins, and J.-P. Vandeuren. (1998). "Modelling Interest Rates with a Cointegrated VAR-GARCH Model." Working Paper 9815, CORE, Université catholique de Louvain.
Bauwens, L., S. Laurent, and J.V.K. Rombouts. (2006). "Multivariate GARCH Models: A Survey." Journal of Applied Econometrics 21(1): 79–109.
Bauwens, L. and J.V.K. Rombouts. (2007). "Bayesian Inference for the Mixed Conditional Heteroskedasticity Model." The Econometrics Journal 10(2): 408–425.
Bertanha, M. and G.W. Imbens. (2020). "External Validity in Fuzzy Regression Discontinuity Designs." Journal of Business & Economic Statistics 38(3): 593–612.
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Bollerslev, T. (1990). "Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized ARCH Model." Review of Economics and Statistics 72: 498–505.
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Bollerslev, T., R.F. Engle, and D.B. Nelson. (1994). "ARCH Models." In R.F. Engle and D. McFadden (eds.), Handbook of Econometrics, Vol. 4. Amsterdam: North Holland: 2959–3038.
Bollerslev, T. and H. Zhou. (2006). "Volatility Puzzles: A Simple Framework for Gauging Return-Volatility Regressions." Journal of Econometrics 131: 123–150.
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Carlin, B.P. and S. Chib. (1995). "Bayesian Model Choice via Markov Chain Monte Carlo Methods." Journal of the Royal Statistical Society, Series B 57(3): 473–484.
Carlin, J.B., R. Wolfe, C.H. Brown, and A. Gelman. (2001). "A Case Study on the Choice, Interpretation and Checking of Multilevel Models for Longitudinal Binary Outcomes." Biostatistics 2(4): 397–416.
Casella, G. and E.I. George. (1992). "Explaining the Gibbs Sampler." The American Statistician 46(3): 167–174.
Casella, G. and C.P. Robert. (1996). "Rao-Blackwellisation of Sampling Schemes." Biometrika 83(1): 81–94.
Chen, M.-H., J.G. Ibrahim, and C. Yiannoutsos. (1999). "Prior Elicitation, Variable Selection, and Bayesian Computation for Logistic Regression Models." Journal of the Royal Statistical Society, Series B 61: 223–242.
Chen, M.-H., D. K. Dey, and D. Sinha. (2000). "Bayesian Analysis of Multivariate Mortality Data with Large Families." Applied Statistics 49(1): 129–144.
Chen, Ming-Hui, Joseph G. Ibrahim, Debajyoti Sinha. (1999). Chen-Ibrahim-Sinha (1999) A New Bayesian Model for Survival Data with a Surviving Fraction. paper.
Chen, G., Y.K. Choi, and Y. Zhou. (2005). "Nonparametric Estimation of Structural Change Points in Volatility Models for Time Series." Journal of Econometrics 126(1): 79–114.
Chib, S. and E. Greenberg. (1995b). "Hierarchical Analysis of SUR Models with Extensions to Correlated Serial Errors and Time-Varying Parameter Models." Journal of Econometrics 68: 339–360.
Chib, S. (1996). "Calculating Posterior Distributions and Modal Estimates in Markov Mixture Models." Journal of Econometrics 75: 79–97.
Chib, S. and E. Greenberg. (1995a). "Understanding the Metropolis-Hastings Algorithm." The American Statistician 49: 327–335.
Chib, S. (1995). "Marginal Likelihood from the Gibbs Output." Journal of the American Statistical Association 90: 1313–1321.
Chib, James H. Albert; Siddhartha. (1998). Albert-Chib (1998) Sequential Ordinal Modeling with Applications to Survival Data. paper.
Chib, S. and E. Greenberg. (1998). "Analysis of Multivariate Probit Models." Biometrika 85: 347–361.
Chib, S. and B.P. Carlin. (1999). "On MCMC Sampling in Hierarchical Longitudinal Models." Statistics and Computing 9(1): 17–26.
Chib, S. (2001). "Markov Chain Monte Carlo Methods: Computation and Inference." In J.J. Heckman and E. Leamer (eds.), Handbook of Econometrics, Vol. 5, Ch. 57, pp. 3569–3649. Amsterdam: Elsevier.
Chib, S. and I. Jeliazkov. (2001). "Marginal Likelihood from the Metropolis-Hastings Output." Journal of the American Statistical Association 96(453): 270–281.
Chib, S., F. Nardari, and N. Shephard. (2002). "Markov Chain Monte Carlo Methods for Stochastic Volatility Models." Journal of Econometrics 108: 281–316.
Chib, S., F. Nardari, and N. Shephard. (2006). "Analysis of High Dimensional Multivariate Stochastic Volatility Models." Journal of Econometrics 134: 341–371.
Chow, G.C. (1973). "Multiperiod Predictions from Stochastic Difference Equations by Bayesian Methods." Econometrica 41: 109–118.
Chow, G.C. (1984). "Random and Changing Coefficient Models." In Handbook of Econometrics, vol. 2, eds. Z. Griliches and M.D. Intriligator. Amsterdam: Elsevier Science Publishers: 1213–1245.
Christiano, L., M. Eichenbaum, and C. Evans. (1999). "Monetary Policy Shocks: What Have We Learned and to What End?" In Handbook of Macroeconomics, vol. 1A, eds. Taylor and Woodford. Elsevier.
Cogley, T. and T.J. Sargent. (2001). "Evolving Post World War II U.S. Inflation Dynamics." NBER Macroeconomics Annual 16: 331–373.
Cogley, T. and T. Sargent. (2005). "Drifts and Volatilities: Monetary Policies and Outcomes in the Post-WWII U.S." Review of Economic Dynamics 8: 262–302.
Cogley, T., S. Morozov, and T.J. Sargent. (2005). "Bayesian Fan Charts for U.K. Inflation: Forecasting and Sources of Uncertainty in an Evolving Monetary System." Journal of Economic Dynamics and Control 29(11): 1893–1925.
Damien, P., J. Wakefield, and S. Walker. (1999). "Gibbs Sampling for Bayesian Non-Conjugate and Hierarchical Models by Using Auxiliary Variables." Journal of the Royal Statistical Society: Series B 61(2): 331–344.
Daniels, M.J. and R.E. Kass. (2001). "Shrinkage Estimators for Covariance Matrices." Biometrics 57(4): 1173–1184.
Das, D. and B.H. Yoo. (2004). "A Bayesian MCMC Algorithm for Markov Switching GARCH Models." Working Paper.
Delgado, M.A. and C. Velasco. (2005). "Sign Tests for Long-Memory Time Series." Journal of Econometrics 128: 215–251.
Dickey, D.A., D.W. Jansen, and D.L. Thornton. (1991). "A Primer on Cointegration with an Application to Money and Income." Federal Reserve Bank of St. Louis Review (March/April): 58–78.
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Dominici, F., J.M. Samet, and S.L. Zeger. (2000). "Combining Evidence on Air Pollution and Daily Mortality from the 20 Largest US Cities: A Hierarchical Modelling Strategy." Journal of the Royal Statistical Society, Series A 163: 263–302.
Dufour, J.-M. and T. Jouini. (2006). "Finite-Sample Simulation-Based Inference in VAR Models with Application to Granger Causality Testing." Journal of Econometrics 135(1–2): 229–254.
Edwards, Y.D. and G.M. Allenby. (2003). "Multivariate Analysis of Multiple Response Data." Journal of Marketing Research 40(3): 321–334.
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Engle, R.F. (2001). "GARCH 101: An Introduction to the Use of ARCH/GARCH Models in Applied Econometrics." Journal of Economic Perspectives 15(4): 157–168.
Engle, R.F. and G.M. Gallo. (2006). "A Multiple Indicators Model for Volatility Using Intra-Daily Data." Journal of Econometrics 131: 3–27.
Engsted, T. and C. Tanggaard. (2002). "The Relation between Asset Returns and Inflation at Short and Long Horizons." Journal of International Financial Markets, Institutions and Money 12(2): 101–118.
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