Javier Meseguer › Projects › Bayesian & Econometrics Wiki

Bayesian & Econometrics Wiki

236 concepts · 485 sources · 523 entities

Concepts (236)

Sources (485)

Aalen, O.O. (1978). "Nonparametric Inference for a Family of Counting Processes." The Annals of Statistics 6(4): 701–726.
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.
Afshartous, D. and J. de Leeuw. (2005). "Prediction in Multilevel Models." Journal of Educational and Behavioral Statistics 30(2): 109–139.
Agresti, A. and D.B. Hitchcock. (2005). "Bayesian Inference for Categorical Data Analysis." Statistical Methods & Applications 14: 297–330.
Aguilar, O. and M. West. (2000). "Bayesian Dynamic Factor Models and Portfolio Allocation." Journal of Business and Economic Statistics 18(3): 338–357.
Aguirregabiria, V. and P. Mira. (2010). "Dynamic Discrete Choice Structural Models: A Survey." Journal of Econometrics 156(1): 38–67.
Aitkin, M. and D. Clayton. (1980). "The Fitting of Exponential, Weibull and Extreme Value Distributions to Complex Censored Survival Data using GLIM." Applied Statistics 29(2): 156–163.
Akgiray, V. (1989). "Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts." Journal of Business 62(1): 55–80.
Albert, J.H. (1992). "Bayesian Estimation of Normal Ogive Item Response Curves Using Gibbs Sampling." Journal of Educational Statistics 17(3): 251–269.
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 Unpublished manuscript, Bowling Green State University and Washington University in St. Louis.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.
Alexander, Carol O., C. T. Leigh. (1996). Alexander-Leigh (1997) On the Covariance Matrices Used in Value-at-Risk Models. paper.
Alexander, Carol. (2001). Alexander (2002) Principal Component Models for Generating Large GARCH Covariance Matrices. paper.
Allenby, G.M. and P.E. Rossi. (1991). "Quality Perceptions and Asymmetric Switching between Brands." Marketing Science 10(3): 185–204.
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.
Amemiya, T. (1975). "Qualitative Response Models." Annals of Economic and Social Measurement 4(3): 363–372.
Amemiya, T. (1984). "Tobit Models: A Survey." Journal of Econometrics 24(1–2): 3–61.
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.
Anderson, Marti J. (2006). Anderson (2006) Distance-Based Tests for Homogeneity of Multivariate Dispersions. paper.
Anderson-Bergman, C. (2017). "icenReg: Regression Models for Interval Censored Data in R." Journal of Statistical Software 81(12): 1–23.
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.
Angelopoulos, A.N. and S. Bates. (2023). "Conformal Prediction: A Gentle Introduction." Foundations and Trends in Machine Learning 16(4): 494–591.
Anselin, L. (1995). "Local Indicators of Spatial Association — LISA." Geographical Analysis 27(2): 93–115.
Anselin, L., A.K. Bera, R. Florax, and M.J. Yoon. (1996). "Simple Diagnostic Tests for Spatial Dependence." Regional Science and Urban Economics 26(1): 77–104.
Antoniak, C.E. (1974). "Mixtures of Dirichlet Processes with Applications to Bayesian Nonparametric Problems." Annals of Statistics 2(6): 1152–1174.
Aranda-Ordaz, F.J. (1981). "On Two Families of Transformations to Additivity for Binary Response Data." Biometrika 68(2): 357–363.
Ardia, D., K. Bluteau, K. Boudt, L. Catania, and D.-A. Trottier. (2019). "Markov-Switching GARCH Models in R: The MSGARCH Package." Journal of Statistical Software 91(4): 1–38.
Arlot, S. and A. Celisse. (2010). "A Survey of Cross-Validation Procedures for Model Selection." Statistics Surveys 4: 40–79.
Bach, Philipp, Victor Chernozhukov, Malte S. Kurz, Martin Spindler. (2023). An Object-Oriented Implementation of Double Machine Learning in R. paper.
Bagliano, F.C. and C.A. Favero. (1999). "Information from Financial Markets and VAR Measures of Monetary Policy." European Economic Review 43(4–6): 825–837.
bagliano-favero-1998.
bagliano-morana-2003.
Bailey, David H., Marcos M. López de Prado. (2012). Bailey-López de Prado (2012) The Sharpe Ratio Efficient Frontier. paper.
Bailey, David H., Marcos M. López de Prado. (2013). Bailey-López de Prado (2014) The Deflated Sharpe Ratio. paper.
Bailey, David H., Jonathan M. Borwein, Marcos López de Prado, Qiji Jim Zhu. (2014). Bailey et al. (2014) Pseudo-Mathematics and Financial Charlatanism. article.
Bailey, David H., Jonathan M. Borwein, Marcos López de Prado, Qiji Jim Zhu. (2016). Bailey et al. (2017) The Probability of Backtest Overfitting. paper.
Baillie, R.T., T. Bollerslev, and H.O. Mikkelsen. (1996). "Fractionally Integrated Generalized Autoregressive Conditional Heteroskedasticity." Journal of Econometrics 74(1): 3–30.
Baillie, R.T. (1996). "Long Memory Processes and Fractional Integration in Econometrics." Journal of Econometrics 73(1): 5–59.
Bakshi, G., C. Cao, and Z. Chen. (1997). "Empirical Performance of Alternative Option Pricing Models." Journal of Finance 52: 2003–2049.
Baldi, Pierre, Kurt Hornik. (1988). Baldi-Hornik (1989) Neural Networks and Principal Component Analysis. paper.
Ball, C.A. and W.N. Torous. (1983). "Bond Price Dynamics and Options." Journal of Financial and Quantitative Analysis 18(4): 517–531.
Ball, C.A. and A. Roma. (1994). "Stochastic Volatility Option Pricing." Journal of Financial and Quantitative Analysis 29(4): 589–607.
Bańbura, Marta, Domenico Giannone, Lucrezia Reichlin. (2009). Bańbura-Giannone-Reichlin (2010) Large Bayesian VARs. paper.
Bandeen-Roche, K., D.L. Miglioretti, S.L. Zeger, and P.J. Rathouz. (1997). "Latent Variable Regression for Multiple Discrete Outcomes." Journal of the American Statistical Association 92(440): 1375–1386.
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. (2002). "Econometric Analysis of Realized Volatility and Its Use in Estimating Stochastic Volatility Models." Journal of the Royal Statistical Society B 64(2): 253–280.
Barndorff-Nielsen, O.E. and N. Shephard. (2004). "Power and Bipower Variation with Stochastic Volatility and Jumps." Journal of Financial Econometrics 2(1): 1–37.
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.
Barry, C.B. (1974). "Portfolio Analysis Under Uncertain Means, Variances, and Covariances." The Journal of Finance 29(2): 515–522.
Barry, D. and J.A. Hartigan. (1993). "A Bayesian Analysis of Change Point Problems." Journal of the American Statistical Association 88: 309–319.
Basel Committee on Banking Supervision. (2016). "Minimum Capital Requirements for Market Risk." Standard d352 (rev. 2019), Bank for International Settlements, Basel.
Baumeister, C. and J.D. Hamilton. (2019). "Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks." Journal of Political Economy 127(4): 1994–2044.
Bauwens, L., and P. Giot. (1998). "A Gibbs Sampler Approach to Cointegration." Computational Statistics 13(3): 339–368.
Bauwens, L. and M. Lubrano. (1998). "Bayesian Inference on GARCH Models Using the Gibbs Sampler." Econometrics Journal 1: C23–C46.
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.
Bauwens, L., A. Preminger, and J.V.K. Rombouts. (2010). "Theory and Inference for a Markov Switching GARCH Model." The Econometrics Journal 13(2): 218–244.
Beath, K.J. (2017). "randomLCA: An R Package for Latent Class with Random Effects Analysis." Journal of Statistical Software 81(13): 1–25.
Béguin, A.A. and C.A.W. Glas. (2001). "MCMC Estimation and Some Model-Fit Analysis of Multidimensional IRT Models." Psychometrika 66(4): 541–562.
Ben-Hur, Asa, André Elisseeff, Isabelle Guyon. (2001). Ben-Hur et al. (2002) A Stability Based Method for Discovering Structure in Clustered Data. paper.
Bernanke, B.S., J. Boivin, and P. Eliasz. (2005). "Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach." Quarterly Journal of Economics 120(1): 387–422.
Bertanha, M. and G.W. Imbens. (2020). "External Validity in Fuzzy Regression Discontinuity Designs." Journal of Business & Economic Statistics 38(3): 593–612.
Betancourt, M. and M. Girolami. (2015). "Hamiltonian Monte Carlo for Hierarchical Models." In S.K. Upadhyay, U. Singh, D.K. Dey, and A. Loganathan (eds.), Current Trends in Bayesian Methodology with Applications. Boca Raton: Chapman & Hall/CRC: 79–101.
Bhansali, R.J. and P.S. Kokoszka. (2006). "Estimation of the Long-Memory Parameter: A Review of Recent Developments and an Extension." IMS Lecture Notes–Monograph Series 52: 125–150.
Bilodeau, M. and P. Duchesne. (2000). "Robust Estimation of the SUR Model." The Canadian Journal of Statistics 28: 277–288.
Birnbaum, Allan. (1967). Birnbaum (1968) Some Latent Trait Models. book.
Black, F. and M. Scholes. (1973). "The Pricing of Options and Corporate Liabilities." Journal of Political Economy 81: 637–654.
Black, F. and R. Litterman. (1992). "Global Portfolio Optimization." Financial Analysts Journal 48(5): 28–43.
Blanchard, O.J. and D. Quah. (1989). "The Dynamic Effects of Aggregate Demand and Supply Disturbances." American Economic Review 79(4): 655–673.
Blanchard, O. and R. Perotti. (2002). "An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output." Quarterly Journal of Economics 117(4): 1329–1368.
Blattberg, R.C. and E.I. George. (1991). "Shrinkage Estimation of Price and Promotional Elasticities: Seemingly Unrelated Equations." Journal of the American Statistical Association 86(414): 304–315.
Bock, R.D. and M. Aitkin. (1981). "Marginal Maximum Likelihood Estimation of Item Parameters: An Application of the EM Algorithm." Psychometrika 46: 443–459.
Boivin, J. and M.P. Giannoni. (2006). "Has Monetary Policy Become More Effective?" The Review of Economics and Statistics 88(3): 445–462.
Bollerslev, T. (1986). "Generalized Autoregressive Conditional Heteroskedasticity." Journal of Econometrics 31: 307–327.
Bollerslev, T. (1987). "A Conditional Heteroskedastic Time Series Model for Speculative Prices and Rates of Return." Review of Economics and Statistics 69: 542–547.
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.
Bollerslev, T. and R.F. Engle. (1993). "Common Persistence in Conditional Variances." Econometrica 61(1): 167–186.
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.
Bollerslev, T., A.J. Patton, and R. Quaedvlieg. (2016). "Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting." Journal of Econometrics 192(1): 1–18.
Boser, Bernhard E., Isabelle M. Guyon, Vladimir N. Vapnik. (1991). Boser-Guyon-Vapnik (1992) A Training Algorithm for Optimal Margin Classifiers. paper.
botev-2017.
Box, G.E.P. and G.C. Tiao. (1975). "Intervention Analysis with Applications to Economic and Environmental Problems." Journal of the American Statistical Association 70: 70–79.
Brandt, M.W. and Q. Kang. (2004). "On the Relationship between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach." Journal of Financial Economics 72: 217–257.
Brav, A. (2000). "Inference in Long-Horizon Event Studies: A Bayesian Approach with Application to Initial Public Offerings." Journal of Finance 55(5): 1979–2016.
Breiman, Leo. (2000). Breiman (2001) Random Forests. paper.
Brier, G.W. (1950). "Verification of Forecasts Expressed in Terms of Probability." Monthly Weather Review 78(1): 1–3.
Britten-Jones, Mark. (1998). Britten-Jones (1999) The Sampling Error in Estimates of Mean-Variance Efficient Portfolio Weights. paper.
Brodie, J., I. Daubechies, C. De Mol, D. Giannone, and I. Loris. (2009). "Sparse and Stable Markowitz Portfolios." Proceedings of the National Academy of Sciences 106(30): 12267–12272.
Brown, P.J., M. Vannucci, and T. Fearn. (1998). "Multivariate Bayesian Variable Selection and Prediction." Journal of the Royal Statistical Society, Series B 60(3): 627–641.
Brown, P.J., T. Fearn, and M. Vannucci. (1999). "The Choice of Variables in Multivariate Regression: A Non-Conjugate Bayesian Decision Theory Approach." Biometrika 86(3): 635–648.
Brown, S., W. Greene, and M.N. Harris. (2014). "A New Formulation for Latent Class Models." Sheffield Economic Research Paper Series 2014006, University of Sheffield.
Bühlmann, P., M. Kalisch, and L. Meier. (2014). "High-Dimensional Statistics with a View Toward Applications in Biology." Annual Review of Statistics and Its Application 1: 255–278.
Caldara, D. and C. Kamps. (2017). "The Analytics of SVARs: A Unified Framework to Measure Fiscal Multipliers." Review of Economic Studies 84(3): 1015–1040.
Campbell, J.Y. and R.J. Shiller. (1987). "Cointegration and Tests of Present Value Models." Journal of Political Economy 95: 1062–1088.
Cappuccio, N., D. Lubian, and D. Raggi. (2006). "Investigating Asymmetry in US Stock Market Indexes: Evidence from a Stochastic Volatility Model." Applied Financial Economics 16: 479–490.
Carlin, B.P., A.E. Gelfand, and A.F.M. Smith. (1992). "Hierarchical Bayesian Analysis of Changepoint Problems." Applied Statistics 41: 389–405.
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.
Carr, P. and D.B. Madan. (1999). "Option Valuation Using the Fast Fourier Transform." Journal of Computational Finance 2(4): 61–73.
Carriero, A., T.E. Clark, and M. Marcellino. (2015). "Bayesian VARs: Specification Choices and Forecast Accuracy." Journal of Applied Econometrics 30(1): 46–73.
Carriero, A., T.E. Clark, and M. Marcellino. (2016). "Common Drifting Volatility in Large Bayesian VARs." Journal of Business & Economic Statistics 34(3): 375–390.
Carvalho, C.M., N.G. Polson, and J.G. Scott. (2010). "The Horseshoe Estimator for Sparse Signals." Biometrika 97(2): 465–480.
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.
Casella, G., K.L. Mengersen, C.P. Robert, and D.M. Titterington. (2002). "Perfect Samplers for Mixtures of Distributions." Journal of the Royal Statistical Society, Series B 64(4): 777–790.
Chan, J.C.C. (2022). "Asymmetric Conjugate Priors for Large Bayesian VARs." Quantitative Economics 13(3): 1145–1169.
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.
Christoffersen, P.F. (1998). "Evaluating Interval Forecasts." International Economic Review 39(4): 841–862.
Clayton, David G. (1991). Clayton (1991) A Monte Carlo Method for Bayesian Inference in Frailty Models. paper.
Clyde, Merlise, Joyee Ghosh, Michael Littman. (2010). Clyde-Ghosh-Littman (2011) Bayesian Adaptive Sampling for Variable Selection and Model Averaging. paper.
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.
Corsi, F. (2009). "A Simple Approximate Long-Memory Model of Realized Volatility." Journal of Financial Econometrics 7(2): 174–196.
Cortes, Corinna, Vladimir N. Vapnik. (1994). Cortes-Vapnik (1995) Support-Vector Networks. paper.
Cressie, N. and N.H. Chan. (1989). "Spatial Modeling of Regional Variables." Journal of the American Statistical Association 84(406): 393–401.
Crowder, Martin J. (1977). Crowder (1978) Beta-Binomial ANOVA for Proportions. paper.
D’Agostino, A., L. Gambetti, and D. Giannone. (2013). "Macroeconomic Forecasting and Structural Change." Journal of Applied Econometrics 28(1): 82–101.
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.
Daníelsson, Jón, Jean-Pierre Zigrand. (2005). Danielsson-Zigrand (2006) On Time-Scaling of Risk and the Square-Root-of-Time Rule. paper.
Danne, C. (2015). "VARsignR: Estimating VARs Using Sign Restrictions in R." MPRA Paper No. 68429.
Das, D. and B.H. Yoo. (2004). "A Bayesian MCMC Algorithm for Markov Switching GARCH Models." Working Paper.
De Mol, C., D. Giannone, and L. Reichlin. (2008). "Forecasting Using a Large Number of Predictors: Is Bayesian Regression a Valid Alternative to Principal Components?" Journal of Econometrics 146(2): 318–328.
Del Negro, M. and G. Primiceri. (2015). "Time-Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum." Review of Economic Studies 82(4): 1342–1345.
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.
Diebold, F.X. and G.D. Rudebusch. (1991). "On the Power of Dickey-Fuller Tests Against Fractional Alternatives." Economics Letters 35(2): 155–160.
Diebold, F.X. and R. Mariano. (1995). "Comparing Predictive Accuracy." Journal of Business and Economic Statistics 13(3): 253–263.
Diebold, F.X. and A. Inoue. (2001). "Long Memory and Regime Switching." Journal of Econometrics 105(1): 131–159.
Doan, T., R.B. Litterman, and C. Sims. (1984). "Forecasting and Conditional Projection Using Realistic Prior Distributions." Econometric Reviews 3(1): 1–100.
Domingos, Pedro, Michael Pazzani. (1996). Domingos-Pazzani (1997) On the Optimality of the Simple Bayesian Classifier under Zero-One Loss. paper.
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.
Eckart, Carl, Gale Young. (1936). Eckart-Young (1936) The Approximation of One Matrix by Another of Lower Rank. paper.
Edwards, Y.D. and G.M. Allenby. (2003). "Multivariate Analysis of Multiple Response Data." Journal of Marketing Research 40(3): 321–334.
Efron, B. and C. Morris. (1975). "Data Analysis Using Stein's Estimator and Its Generalizations." Journal of the American Statistical Association 70: 311–319.
Eilers, P.H.C. and B.D. Marx. (1996). "Flexible Smoothing with B-splines and Penalties." Statistical Science 11(2): 89–121.
Engel, C. and J.D. Hamilton. (1990). "Long Swings in the Dollar: Are They in the Data and Do Markets Know It?" American Economic Review 80(4): 689–713.
Engel, C. and C.-J. Kim. (1999). "The Long-Run U.S./U.K. Real Exchange Rate." Journal of Money, Credit and Banking 31(3): 335–356.
Engle, R.F. and M.W. Watson. (1981). "A One-Factor Multivariate Time Series Model of Metropolitan Wage Rates." Journal of the American Statistical Association 76(376): 774–781.
Engle, R.F. and C.W.J. Granger. (1987). "Co-Integration and Error Correction: Representation, Estimation, and Testing." Econometrica 55(2): 251–276.
Engle, R.F., D.M. Lilien, and R.P. Robins. (1987). "Estimating Time-Varying Risk Premia in the Term Structure: The ARCH-M Model." Econometrica 55: 391–407.
Engle, R.F. and V.K. Ng. (1993). "Measuring and Testing the Impact of News on Volatility." Journal of Finance 48: 1749–1777.
Engle, R.F. and K.F. Kroner. (1995). "Multivariate Simultaneous Generalized ARCH." Econometric Theory 11: 122–150.
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. (2002). "Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroscedasticity Models." Journal of Business and Economic Statistics 20: 339–350.
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.
Eraker, B. (2001). "MCMC Analysis of Diffusion Models With Application to Finance." Journal of Business & Economic Statistics 19(2): 177–191.
Ernste, H. and M.M. Fischer. (1991). "Latent Class Modeling and Typological Analysis." WSG-Discussion Paper 11, Institut für Wirtschafts- und Sozialgeographie, WU Wien.
Escobar, M.D. and M. West. (1995). "Bayesian Density Estimation and Inference Using Mixtures." Journal of the American Statistical Association 90: 577–588.
Fair, R.C. (1980). "Estimating the Expected Predictive Accuracy of Econometric Models." International Economic Review 21(2): 355–378.
Fair, Ray C. (1987). Fair (1988) VAR Models as Structural Approximations. paper.
Fairlie, R.W. (2005). "An Extension of the Blinder-Oaxaca Decomposition Technique to Logit and Probit Models." Journal of Economic and Social Measurement 30(4): 305–316.
Fama, E.F. (1970). "Efficient Capital Markets: A Review of Theory and Empirical Work." Journal of Finance 25(2): 383–417.
Fama, E.F. and K.R. French. (2004). "The Capital Asset Pricing Model: Theory and Evidence." Journal of Economic Perspectives 18(3): 25–46.
Fama, E.F. and K.R. French. (2015). "A Five-Factor Asset Pricing Model." Journal of Financial Economics 116(1): 1–22.
Faust, J., E.T. Swanson, and J.H. Wright. (2004). "Identifying VARs Based on High Frequency Futures Data." Journal of Monetary Economics 51(6): 1107–1131.
Félix, R.M. and L.C. Nunes. (2003). "Forecasting Euro Area Aggregates with Bayesian VAR and VECM Models." Banco de Portugal Working Paper 4-03.
Feng, G., S. Giglio, and D. Xiu. (2020). "Taming the Factor Zoo: A Test of New Factors." Journal of Finance 75(3): 1327–1370.
Ferguson, T.S. (1973). "A Bayesian Analysis of Some Nonparametric Problems." Annals of Statistics 1(2): 209–230.
Fernández-Villaverde, J., J. Rubio-Ramírez, T.J. Sargent, and M.W. Watson. (2007). "ABCs (and Ds) of Understanding VARs." American Economic Review 97(3): 1021–1026.
Fiorentini, Gabriele, Enrique Sentana. (1998). Fiorentini-Sentana (1998) Conditional Means of Time Series Processes. paper.
Fitzmaurice, Garrett M., Nan M. Laird, Andrea G. Rotnitzky. (1992). Fitzmaurice-Laird-Rotnitzky (1993) Regression Models for Discrete Longitudinal Responses. paper.
Fong, Y., H. Rue, and J. Wakefield. (2010). "Bayesian Inference for Generalized Linear Mixed Models." Biostatistics 11(3): 397–412.
French, K.R., G.W. Schwert, and R.F. Stambaugh. (1987). "Expected Stock Returns and Volatility." Journal of Financial Economics 19: 3–29.
Friedman, Jerome, Trevor Hastie, Rob Tibshirani. (2009). Friedman-Hastie-Tibshirani (2010) Regularization Paths for Generalized Linear Models via Coordinate Descent. paper.
Gal, Y. and Z. Ghahramani. (2016). "Dropout as a Bayesian Approximation: Representing Model Uncertainty in Deep Learning." In Proceedings of the 33rd International Conference on Machine Learning, PMLR 48: 1050–1059.
Gamerman, D. (1997). "Sampling from the Posterior Distribution in Generalized Linear Mixed Models." Statistics and Computing 7(1): 57–68.
Gamerman, D., A.R.B. Moreira, and H. Rue. (2003). "Space-Varying Regression Models: Specifications and Simulation." Computational Statistics and Data Analysis 42(3): 513–533.
Garlappi, L., R. Uppal, and T. Wang. (2007). "Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach." Review of Financial Studies 20(1): 41–81.
Gelfand, A.E. and A.F.M. Smith. (1990). "Sampling-Based Approaches to Calculating Marginal Densities." Journal of the American Statistical Association 85: 398–409.
Gelfand, A.E. and P. Vounatsou. (2003). "Proper Multivariate Conditional Autoregressive Models for Spatial Data Analysis." Biostatistics 4(1): 11–25.
Gelman, A., X.-L. Meng, and H. Stern. (1996). "Posterior Predictive Assessment of Model Fitness via Realized Discrepancies." Statistica Sinica 6: 733–807.
Gelman, A. and I. Pardoe. (2006). "Bayesian Measures of Explained Variance and Pooling in Multilevel (Hierarchical) Models." Technometrics 48(2): 241–251.
Gelman, A. (2006). "Multilevel (Hierarchical) Modeling: What It Can and Cannot Do." Technometrics 48(2): 432–435.
Gelman, A., B. Shor, J. Bafumi, and D. Park. (2007). "Rich State, Poor State, Red State, Blue State: What's the Matter with Connecticut?" Quarterly Journal of Political Science 2(4): 345–367. [Working paper version November 2005.]
Gelman, A., A. Jakulin, M.G. Pittau, and Y.-S. Su. (2008). "A Weakly Informative Default Prior Distribution for Logistic and Other Regression Models." Annals of Applied Statistics 2(4): 1360–1383.
George, E.I., U.E. Makov, and A.F.M. Smith. (1993). "Conjugate Likelihood Distributions." Scandinavian Journal of Statistics 20(2): 147–156.
George, E.I. and R.E. McCulloch. (1993). "Variable Selection via Gibbs Sampling." Journal of the American Statistical Association 88(423): 881–889.
George, E.I. and R.E. McCulloch. (1997). "Approaches For Bayesian Variable Selection." Statistica Sinica 7: 339–373.
George, E.I., D. Sun, and S. Ni. (2008). "Bayesian Stochastic Search for VAR Model Restrictions." Journal of Econometrics 142(1): 553–580.
Geweke, J. (1992). "Evaluating the Accuracy of Sampling-Based Approaches to the Calculation of Posterior Moments." In Bayesian Statistics 4, eds. J.M. Bernardo, J.O. Berger, A.P. Dawid, and A.F.M. Smith. Oxford: Oxford University Press: 169–193.
Geweke, J. (1993). "Bayesian Treatment of the Independent Student-t Linear Model." Journal of Applied Econometrics 8(Supplement): S19–S40.
Geweke, J. (1996). "Bayesian Inference for Linear Models Subject to Linear Inequality Constraints." In J.C. Lee, W.O. Johnson, and A. Zellner (eds.), Modelling and Prediction Honoring Seymour Geisser. New York: Springer: 248–263.
Geweke, J. and M. Keane. (1999). "Mixture of Normals Probit Models." In C. Hsiao, K. Lahiri, L.-F. Lee, and M.H. Pesaran (eds.), Analysis of Panels and Limited Dependent Variable Models. Cambridge: Cambridge University Press: 49–78.
Geweke, J. and M. Keane. (2000). "An Empirical Analysis of Earnings Dynamics Among Men in the PSID: 1968–1989." Journal of Econometrics 96: 293–356.
Geweke, J. and W. McCausland. (2001). "Bayesian Specification Analysis in Econometrics." American Journal of Agricultural Economics 83(5): 1181–1186.
Geweke, J. and H. Tanizaki. (2001). "Bayesian Estimation of State-Space Models Using the Metropolis-Hastings Algorithm within Gibbs Sampling." Computational Statistics & Data Analysis 37(2): 151–170.
Geweke, J., G. Gowrisankaran, and R.J. Town. (2003). "Bayesian Inference for Hospital Quality in a Selection Model." Econometrica 71(4): 1215–1238.
Geweke, J. and M. Keane. (2007). "Smoothly Mixing Regressions." Journal of Econometrics 138(1): 252–290.
Geweke, J. and G. Amisano. (2010). "Comparing and Evaluating Bayesian Predictive Distributions of Asset Returns." International Journal of Forecasting 26(2): 216–230.
Ghysels, E., P. Santa-Clara, and R. Valkanov. (2006). "Predicting Volatility: Getting the Most Out of Return Data Sampled at Different Frequencies." Journal of Econometrics 131: 59–95.
Giannone, D., M. Lenza, and G.E. Primiceri. (2015). "Prior Selection for Vector Autoregressions." Review of Economics and Statistics 97(2): 436–451.
Gibbons, R.D. and D. Hedeker. (1997). "Random Effects Probit and Logistic Regression Models for Three-Level Data." Biometrics 53(4): 1527–1537.
Gibbons, R.D. and V. Wilcox-Gok. (1998). "Health Service Utilization and Insurance Coverage: A Multivariate Probit Analysis." Journal of the American Statistical Association 93(441): 63–72.
Gibbons, R.D. and D. Hedeker. (2000). "Applications of Mixed-Effects Models in Biostatistics." Sankhyā: The Indian Journal of Statistics, Series B 62(1): 70–103.
Gibbons, S. and H.G. Overman. (2012). "Mostly Pointless Spatial Econometrics?" Journal of Regional Science 52(2): 172–191.
Gilks, W. R., C. C. Wang, B. Yvonnet, P. Coursaget. (1993). Gilks et al. (1993) Random-Effects Models for Longitudinal Data Using Gibbs Sampling. paper.
gilks-clayton-spiegelhalter-1993.
Glosten, L.R., R. Jagannathan, and D. Runkle. (1993). "On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks." Journal of Finance 48: 1779–1802.
Gneiting, T. and A.E. Raftery. (2007). "Strictly Proper Scoring Rules, Prediction, and Estimation." Journal of the American Statistical Association 102(477): 359–378.
Goldstein, H. and J. Rasbash. (1996). "Improved Approximations for Multilevel Models with Binary Responses." Journal of the Royal Statistical Society, Series A 159(3): 505–513.
Goodman, L.A. (1974). "Exploratory Latent Structure Analysis Using Both Identifiable and Unidentifiable Models." Biometrika 61: 215–231.
Goodman, L.A. (2002). "Latent Class Analysis: The Empirical Study of Latent Types, Latent Variables, and Latent Structures." Chapter 1 in J.A. Hagenaars and A.L. McCutcheon (Eds.), Applied Latent Class Analysis, pp. 3–55. Cambridge: Cambridge University Press.
Gordon, R.J. (1997). "The Time-Varying NAIRU and Its Implications for Economic Policy." Journal of Economic Perspectives 11(1): 11–32.
Gordon, R.J. (2005). "What Caused the Decline in U.S. Business Cycle Volatility?" In C. Kent and D. Norman (eds.), The Changing Nature of the Business Cycle. Sydney: Reserve Bank of Australia: 61–104.
Gourieroux, C. and A. Monfort. (2007). "Econometric Specification of Stochastic Discount Factor Models." Journal of Econometrics 136: 509–530.
Granger, C.W.J. (1997). "On Modelling the Long Run in Applied Economics." The Economic Journal 107(440): 169–177.
Green, P.J. (1995). "Reversible Jump Markov Chain Monte Carlo Computation and Bayesian Model Determination." Biometrika 82(4): 711–732.
Greenberg, E. and R.P. Parks. (1997). "A Predictive Approach to Model Selection and Multicollinearity." Journal of Applied Econometrics 12(1): 67–75.
Greene, William H. (1994). Greene (1994) Accounting for Excess Zeros and Sample Selection in Poisson and Negative Binomial Regression Models. paper.
Greenslade, J.V., R.G. Pierse, and J. Saleheen. (2003). "A Kalman Filter Approach to Estimating the UK NAIRU." Bank of England Working Paper No. 179.
Griffiths, W.E. (2001). "Bayesian Inference in the Seemingly Unrelated Regressions Model." Chapter in Computer-Aided Econometrics, ed. D. Giles. New York: Marcel Dekker.
Griffiths, W.E., C.L. Skeels, and D. Chotikapanich. (2002). "Sample Size Requirements for Estimation in SUR Models." In A. Ullah, A.T.K. Wan, and A. Chaturvedi (eds.), Handbook of Applied Econometrics and Statistical Inference. New York: Marcel Dekker: 575–590.
Griffiths, W.E. and M.R. Valenzuela. (2002). "A Gibbs Sampler for the Estimation of Seemingly Unrelated Regressions with Cross Set Restrictions on the Parameters." Conference paper, Australasian Meeting of the Econometric Society, Brisbane.
Grilli, L. and C. Rampichini. (2006). "A Multilevel Multinomial Logit Model for the Analysis of Graduates' Skills." Statistical Methods & Applications 16(3): 381–393.
Gu, S., B. Kelly, and D. Xiu. (2020). "Empirical Asset Pricing via Machine Learning." Review of Financial Studies 33(5): 2223–2273.
Gumpertz, M. and S.G. Pantula. (1989). "A Simple Approach to Inference in Random Coefficient Models." The American Statistician 43(4): 203–210.
Haas, M., S. Mittnik, and M.S. Paolella. (2004b). "A New Approach to Markov-Switching GARCH Models." Journal of Financial Econometrics 2(4): 493–530.
Hagenaars, J.A. and A.L. McCutcheon (Eds.). (2002). Applied Latent Class Analysis. Cambridge: Cambridge University Press.
Hahn, P.R., C.M. Carvalho, and J.G. Scott. (2012). "A Sparse Factor Analytic Probit Model for Congressional Voting Patterns." Applied Statistics (Journal of the Royal Statistical Society, Series C) 61(4): 619–635.
Hajivassiliou, V.A. and D.L. McFadden. (1998). "The Method of Simulated Scores for the Estimation of LDV Models." Econometrica 66(4): 863–896.
Hamilton, J.D. (1989). "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle." Econometrica 57: 357–384.
Han, C. and B.P. Carlin. (2001). "MCMC Methods for Computing Bayes Factors: A Comparative Review." Journal of the American Statistical Association 96(455): 1122–1132.
Harvey, Campbell R., Yan Liu. (2015). Harvey-Liu (2015) Backtesting. article.
Harvey, Campbell R., Yan Liu, Heqing Zhu. (2015). Harvey-Liu-Zhu (2016) …and the Cross-Section of Expected Returns. paper.
Heath, D., F. Delbaen, J.M. Eber, and P. Artzner. (1999). "Coherent Measures of Risk." Mathematical Finance 9(3): 203–228.
Hedeker, D. (2003). "A Mixed-Effects Multinomial Logistic Regression Model." Statistics in Medicine 22(8): 1433–1446.
Hedeker, D. (2007). "Multilevel Models for Ordinal and Nominal Variables." In J. de Leeuw and E. Meijer (eds.), Handbook of Multilevel Analysis, Ch. 6, pp. 239–276. New York: Springer.
Heijden, Peter G. M. van der, Jos Dessens, Ulf Böckenholt. (1995). van der Heijden et al. (1996) Estimating the Concomitant-Variable Latent-Class Model with the EM Algorithm. paper.
Hentschel, L. (1995). "All in the Family: Nesting Symmetric and Asymmetric GARCH Models." Journal of Financial Economics 39: 71–104.
Hoeting, J.A., D. Madigan, A.E. Raftery, and C.T. Volinsky. (1999). "Bayesian Model Averaging: A Tutorial." Statistical Science 14(4): 382–417.
Holmes, C.C. and L. Held. (2006). "Bayesian Auxiliary Variable Models for Binary and Multinomial Regression." Bayesian Analysis 1(1): 145–168.
Idzorek, T.M. (2007). "A Step-by-Step Guide to the Black-Litterman Model: Incorporating User-Specified Confidence Levels." In S. Satchell (ed.), Forecasting Expected Returns in the Financial Markets, pp. 17–38. Amsterdam: Academic Press.
Imai, K. and D.A. van Dyk. (2005). "A Bayesian Analysis of the Multinomial Probit Model Using Marginal Data Augmentation." Journal of Econometrics 124(2): 311–334.
Jackman, S. (2000). "Estimation and Inference via Bayesian Simulation: An Introduction to Markov Chain Monte Carlo." American Journal of Political Science 44(2): 375–404.
Jacquier, E., N.G. Polson, and P.E. Rossi. (1994). "Bayesian Analysis of Stochastic Volatility Models." Journal of Business and Economic Statistics 12: 371–389.
Jacquier, E. and R. Jarrow. (2000). "Bayesian Analysis of Contingent Claim Model Error." Journal of Econometrics 94: 145–180.
Jacquier, E., N.G. Polson, and P.E. Rossi. (2004). "Bayesian Analysis of Stochastic Volatility Models with Fat-Tails and Correlated Errors." Journal of Econometrics 122: 185–212.
Jacquier, E., A. Kane, and A.J. Marcus. (2005). "Optimal Estimation of the Risk Premium for the Long Run and Asset Allocation: A Case of Compounded Estimation Risk." Journal of Financial Econometrics 3(1): 37–55.
Jacquier, E., M. Johannes, and N.G. Polson. (2007). "MCMC Maximum Likelihood for Latent State Models." Journal of Econometrics 137: 615–640.
Jacquier, E. and N.G. Polson. (2010). "Bayesian Methods in Finance." In Handbook of Bayesian Econometrics, eds. J. Geweke, G. Koop, and H. Van Dijk. Oxford University Press.
Jensen, M.J. and J.M. Maheu. (2010). "Bayesian Semiparametric Stochastic Volatility Modeling." Journal of Econometrics 157(2): 306–316.
Jobert, A., A. Platania, and L.C.G. Rogers. (2006). "A Bayesian Solution to the Equity Premium Puzzle." Working paper, Cambridge Statistical Laboratory.
Johnson, Richard M. (1963). Johnson (1963) On a Theorem Stated by Eckart and Young. paper.
Jurado, K., S.C. Ludvigson, and S. Ng. (2015). "Measuring Uncertainty." American Economic Review 105(3): 1177–1216.
Kadiyala, K.R. and S. Karlsson. (1993). "Forecasting with Generalized Bayesian Vector Autoregressions." Journal of Forecasting 12: 365–378.
Kadiyala, K.R. and S. Karlsson. (1997). "Numerical Methods for Estimation and Inference in Bayesian VAR-Models." Journal of Applied Econometrics 12(2): 99–132.
Kahn, M.J. and A.E. Raftery. (1996). "Discharge Rates of Medicare Stroke Patients to Skilled Nursing Facilities: Bayesian Logistic Regression With Unobserved Heterogeneity." Journal of the American Statistical Association 91(433): 29–41.
Kalbfleisch, J.D. (1978). "Non-parametric Bayesian Analysis of Survival Time Data." Journal of the Royal Statistical Society, Series B 40(2): 214–221.
Kamakura, W.A. and W. Kang. (2007). "Chain-wide and Store-Level Analysis for Cross-Category Management." Journal of Retailing 83(2): 159–170.
Kamarianakis, Y. (n.d.). "Hierarchical Bayesian Modeling for Spatial Time Series: An Alternative Approach to Spatial SUR." IACM-FORTH / University of Illinois working paper.
Kamarianakis, Y. and P. Prastacos. (n.d.). "Multivariate Hierarchical Bayesian Space-Time Models in Economics." IACM-FORTH working paper.
Kass, R.E. and A.E. Raftery. (1995). "Bayes Factors." Journal of the American Statistical Association 90(430): 773–795.
Kastner, G. and S. Frühwirth-Schnatter. (2014). "Ancillarity-Sufficiency Interweaving Strategy (ASIS) for Boosting MCMC Estimation of Stochastic Volatility Models." Computational Statistics & Data Analysis 76: 408–423.
Keane, M.P. (1994). "A Computationally Practical Simulation Estimator for Panel Data." Econometrica 62(1): 95–116.
Keane, M.P. (1997). "Modeling Heterogeneity and State Dependence in Consumer Choice Behavior." Journal of Business & Economic Statistics 15(3): 310–327.
Keane, M.P. (2010). "A Structural Perspective on the Experimentalist School." Journal of Economic Perspectives 24(2): 47–58.
Keane, M.P. (2010). "Structural vs. Atheoretic Approaches to Econometrics." Journal of Econometrics 156(1): 3–20.
Keating, J.W. (1992). "Structural Approaches to Vector Autoregressions." Federal Reserve Bank of St. Louis Review 74(5): 37–71.
Kenny, G., A. Meyler, and T. Quinn. (1998). "Bayesian VAR Models for Forecasting Irish Inflation." Technical Paper 4/RT/98, Central Bank of Ireland.
Kilian, L. (2008). "Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy?" Review of Economics and Statistics 90(2): 216–240.
Kilian, L. (2009). "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market." American Economic Review 99(3): 1053–1069.
Kim, C.-J. and M.-J. Kim. (1996). "Transient Fads and the Crash of '87." Journal of Applied Econometrics 11(1): 41–58.
Kim, C.-J. and C.R. Nelson. (1998). "Business Cycle Turning Points, A New Coincident Index, and Tests of Duration Dependence Based on a Dynamic Factor Model with Regime Switching." Review of Economics and Statistics 80(2): 188–201.
Kim, S., N. Shephard, and S. Chib. (1998). "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models." Review of Economic Studies 65(3): 361–393.
Kim, C.-J. and C.R. Nelson. (1999a). "Friedman's Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components." Journal of Money, Credit and Banking 31(3): 317–334.
Kim, C.-J. and C.R. Nelson. (1999b). "Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of the Business Cycle." Review of Economics and Statistics 81(4): 608–616.
Kim, S. and H. Tsurumi. (2000). "Korean Currency Crisis and Regime Change: A Multivariate GARCH Model with Bayesian Approach." Asia-Pacific Financial Markets 7: 31–44.
Kim, J., P.J. Miller, and L. Ozanne. (2004). "Estimating and Forecasting Capital Gains with Quarterly Models." CBO Technical Paper 2004-14.
Kim, C.-J., J. Piger, and R. Startz. (2008). "Estimation of Markov Regime-Switching Regression Models with Endogenous Switching." Journal of Econometrics 143(2): 567–582. [Working paper version July 2003.]
King, R.G., C.I. Plosser, J.H. Stock, and M.W. Watson. (1991). "Stochastic Trends and Economic Fluctuations." American Economic Review 81(4): 819–840.
Kleibergen, F. and H.K. van Dijk. (1993). "Non-Stationarity in GARCH Models: A Bayesian Analysis." Journal of Applied Econometrics 8(Supplement): S41–S61.
Kleijn, R. and H.K. van Dijk. (2002). "A Bayesian Analysis of the PPP Puzzle Using an Unobserved Components Model." Working paper, Tinbergen Institute Discussion Paper TI 2002-118/4.
Koop, G. (1992a). "'Objective' Bayesian Unit Root Tests." Journal of Applied Econometrics 7(1): 65–82.
Koop, G. (1992b). "Aggregate Shocks and Macroeconomic Fluctuations: A Bayesian Approach." Journal of Applied Econometrics 7(4): 395–411.
Koop, G., D.J. Poirier, and J.L. Tobias. (2003). "Bayesian Semiparametric Inference in Multiple Equation Models." Working paper, University of California, Irvine.
Koop, G. and D.J. Poirier. (2004). "Bayesian Variants of Some Classical Semiparametric Regression Techniques." Journal of Econometrics 123(2): 259–282.
Koop, G. and S.M. Potter. (2004). "Estimation of Multiple Change-point Models with an Unknown Number of Change-points." Working paper, Federal Reserve Bank of New York.
Koop, G. and S.M. Potter. (2006). "Forecasting and Estimating Multiple Change-point Models with an Unknown Number of Change-points." Working paper (Nov. 2004, rev. Mar. 2006), Federal Reserve Bank of New York.
Koopman, S.J. (1997). "Exact Initial Kalman Filtering and Smoothing for Nonstationary Time Series Models." Journal of the American Statistical Association 92(440): 1630–1638.
Kuschnig, N. and L. Vashold. (2021). "BVAR: Bayesian Vector Autoregressions with Hierarchical Prior Selection in R." Journal of Statistical Software 100(14): 1–27.
Lastrapes, W.D. (2005). "Estimating and Identifying Vector Autoregressions under Diagonality and Block Exogeneity Restrictions." Economics Letters 87: 75–81.
LeSage, J.P. (1990). "A Comparison of the Forecasting Ability of ECM and VAR Models." Review of Economics and Statistics 72(4): 664–671.
LeSage, J.P. and A. Krivelyova. (1999). "A Spatial Prior for Bayesian Vector Autoregressive Models." Journal of Regional Science 39(2): 297–317.
Lewis, S.M. and A.E. Raftery. (1997). "Estimating Bayes Factors via Posterior Simulation With the Laplace-Metropolis Estimator." Journal of the American Statistical Association 92(438): 648–655.
Lewis, S.M. and A.E. Raftery. (1999). "Bayesian Analysis of Event History Models With Unobserved Heterogeneity via Markov Chain Monte Carlo." Sociological Methods & Research 28(1): 35–60.
Liang, Feng, Rui Paulo, German Molina, Merlise A. Clyde, Jim O. Berger. (2008). Liang et al. (2008) Mixtures of g-Priors for Bayesian Variable Selection. paper.
Liang, Ye. (2011). Liang (2012) Graph-based Multivariate Conditional Autoregressive Models. paper.
Liddell, T.M. and J.K. Kruschke. (2019). "Analyzing Ordinal Data with Metric Models: What Could Possibly Go Wrong?" Journal of Experimental Psychology: General.
Lijoi, A., I. Prünster, and J. Zhang. (2024). "Ferguson's Dirichlet Process Breakthrough: A Lasting Legacy."
Litterman, R.B. (1984d). "Specifying Vector Autoregressions for Macroeconomic Forecasting." Staff Report 92, Federal Reserve Bank of Minneapolis. Published in P.K. Goel and A. Zellner (eds.), Bayesian Inference and Decision Techniques: Essays in Honor of Bruno de Finetti, North-Holland, 1986, pp. 79–97.
Litterman, R.B. (1986a). "A Statistical Approach to Economic Forecasting." Journal of Business and Economic Statistics 4(1): 1–4.
Litterman, R.B. (1986b). "Forecasting with Bayesian Vector Autoregressions — Five Years of Experience." Journal of Business and Economic Statistics 4(1): 25–38.
Liu, C. (2004). "Robit Regression: A Simple Robust Alternative to Logistic and Probit Regression." In A. Gelman and X.-L. Meng (eds.), Applied Bayesian Modeling and Causal Inference from Incomplete-Data Perspectives. Chichester: Wiley: 227–238.
Loh, Wei-Yin. (2010). Loh (2011) Classification and Regression Trees. article.
Lovric, M.M. (2025). "The Bayes Factor Reversal Paradox." Biometrika 112(1): asaf000.
Lu, M. (2001). "Vector Autoregression (VAR) — An Approach to Dynamic Analysis of Geographic Processes." Geografiska Annaler 83 B(2): 67–78.
Lütkepohl, H. (1999). "Vector Autoregressions." In Macroeconomics and Finance: Essays in Honour of Meghnad Desai, ed. S. Cook. London: Macmillan: 131–154.
MacEachern, S.N. and L.M. Berliner. (1994). "Subsampling the Gibbs Sampler." The American Statistician 48(3): 188–190.
Magidson, Jeroen K. Vermunt; Jay. (2004). Vermunt-Magidson (2005) Structural Equation Models: Mixture Models. article.
Mahieu, R.J. and P.C. Schotman. (1998). "An Empirical Application of Stochastic Volatility Models." Journal of Applied Econometrics 13(4): 333–359.
Mariella, L. and M. Tarantino. (2010). "Spatial Temporal Conditional Auto-Regressive Model: A New Autoregressive Matrix." Austrian Journal of Statistics 39(3): 223–244.
Mark, N.C., M. Ogaki, and D. Sul. (2005). "Dynamic Seemingly Unrelated Cointegrating Regressions." Review of Economic Studies 72(3): 797–820.
Maruyama, Y. and E.I. George. (2011). "Fully Bayes Factors with a Generalized g-Prior." Annals of Statistics 39(5): 2740–2765.
McConnell, M.M. and G. Perez-Quiros. (2000). "Output Fluctuations in the United States: What Has Changed since the Early 1980s?" American Economic Review 90(5): 1464–1476.
McCulloch, R.E. and R.S. Tsay. (1993). "Bayesian Inference and Prediction for Mean and Variance Shifts in Autoregressive Time Series." Journal of the American Statistical Association 88(423): 968–978.
McCulloch, R., N.G. Polson, and P.E. Rossi. (2000). "A Bayesian Analysis of the Multinomial Probit Model with Fully Identified Parameters." Journal of Econometrics 99: 173–193.
Meddahi, N. (2002). "ARMA Representation of Two-Factor Models." CIRANO Working Paper 2002s-92.
Merton, R.C. (1973). "Theory of Rational Option Pricing." Bell Journal of Economics and Management Science 4: 141–183.
Meseguer, J. (2006). "Long-Range Forecasts of Mortality and Life Expectancy Using Bayesian Vector Autoregressions." Social Security Administration, Office of Policy working paper.
Meseguer, J. (2010). "Forecasting Vital Rates and Population with Bayesian Vector Autoregressions." Social Security Administration Working Paper.
Mountford, A. and H. Uhlig. (2009). "What Are the Effects of Fiscal Policy Shocks?" Journal of Applied Econometrics 24(6): 960–992.
Neal, R.M. (2000). "Markov Chain Sampling Methods for Dirichlet Process Mixture Models." Journal of Computational and Graphical Statistics 9(2): 249–265.
Neal, R.M. (2011). "MCMC Using Hamiltonian Dynamics." In Handbook of Markov Chain Monte Carlo, eds. S. Brooks, A. Gelman, G. Jones, and X.-L. Meng. Boca Raton: CRC Press.
Neelon, B., A.E. Gelfand, and M.L. Miranda. (2014). "A Multivariate Spatial Mixture Model for Areal Data: Examining Regional Differences in Standardized Test Scores." Journal of the Royal Statistical Society, Series C 63(5): 737–761.
Ni, S. and D. Sun. (2005). "Bayesian Estimates for Vector Autoregressive Models." Journal of Business and Economic Statistics 23(1): 105–117.
Nobel Committee. (2003). "Time-Series Econometrics: Cointegration and Autoregressive Conditional Heteroskedasticity." Scientific Background, Bank of Sweden Prize in Economic Sciences, 8 October 2003. Royal Swedish Academy of Sciences.
Nobile, A. (1998). "A Hybrid Markov Chain for the Bayesian Analysis of the Multinomial Probit Model." Statistics and Computing 8: 229–242.
O'Hagan, A. (1995). "Fractional Bayes Factors for Model Comparison." Journal of the Royal Statistical Society, Series B 57(1): 99–138.
O’Hara, R.B. and M.J. Sillanpää. (2009). "A Review of Bayesian Variable Selection Methods: What, How and Which." Bayesian Analysis 4(1): 85–118.
Ogura, M. (n.d.). "Markov Chain Monte Carlo Methods for the Demand Systems: the Monte Carlo Results." Kobe University working paper.
Omori, Y., S. Chib, N. Shephard, and J. Nakajima. (2007). "Stochastic Volatility with Leverage: Fast and Efficient Likelihood Inference." Journal of Econometrics 140(2): 425–449.
Patton, A.J. (2011). "Volatility Forecast Comparison Using Imperfect Volatility Proxies." Journal of Econometrics 160(1): 246–256.
Pendergast, J.F., S.J. Gange, M.A. Newton, M.J. Lindstrom, M. Palta, and M.R. Fisher. (1996). "A Survey of Methods for Analyzing Clustered Binary Response Data." International Statistical Review 64(1): 89–118.
Percy, D.F. (1992). "Prediction for Seemingly Unrelated Regressions." Journal of the Royal Statistical Society B 54(1): 243–252.
Perron, P. (1989). "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis." Econometrica 57: 1361–1401.
Perron, P. and S. Ng. (1996). "Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties." Review of Economic Studies 63(3): 435–463.
Perron, F. and K. Mengersen. (2001). "Bayesian Nonparametric Modeling Using Mixtures of Triangular Distributions." Biometrics 57(2): 518–528.
Petrone, S. and A.E. Raftery. (1997). "A Note on the Dirichlet Process Prior in Bayesian Nonparametric Inference with Partial Exchangeability." Statistics & Probability Letters 36(1): 69–83.
Pfaff, B. (2008). "VAR, SVAR and SVEC Models: Implementation Within R Package vars." Journal of Statistical Software 27(4): 1–32.
Phillips, P.C.B. (1986). "Understanding Spurious Regressions in Econometrics." Journal of Econometrics 33: 311–340.
Phillips, P.C.B. (1991). "Optimal Inference in Cointegrated Systems." Econometrica 59: 283–306.
Pitt, M.K. and N. Shephard. (1999). "Filtering via Simulation: Auxiliary Particle Filter." Journal of the American Statistical Association 94: 590–599.
polson-tew-2000.
Primiceri, G.E. (2005). "Time Varying Structural Vector Autoregressions and Monetary Policy." Review of Economic Studies 72: 821–852.
Raftery, A.E. (1986). "A Note on Bayes Factors for Log-linear Contingency Table Models with Vague Prior Information." Journal of the Royal Statistical Society, Series B 48(2): 249–250.
Raftery, A.E. and V.E. Akman. (1986). "Bayesian Analysis of a Poisson Process with a Change Point." Biometrika 73: 85–89.
Raftery, A.E. and S.M. Lewis. (1992). "How Many Iterations in the Gibbs Sampler?" In Bayesian Statistics 4, eds. J.M. Bernardo, J.O. Berger, A.P. Dawid, and A.F.M. Smith. Oxford: Oxford University Press: 763–773.
Raftery, A.E. (1995). "Bayesian Model Selection in Social Research." Sociological Methodology 25: 111–163.
Raftery, A.E., D. Madigan, and J.A. Hoeting. (1997). "Bayesian Model Averaging for Linear Regression Models." Journal of the American Statistical Association 92(437): 179–191.
Robertson, J.C. and E.W. Tallman. (1999). "Vector Autoregressions: Forecasting and Reality." Federal Reserve Bank of Atlanta Economic Review Q1: 4–18.
Rosenberg, M.A. and V.R. Young. (1999). "A Bayesian Approach to Understanding Time Series Data." North American Actuarial Journal 3(2): 130–143.
Rossi, P.E., R.E. McCulloch, and G.M. Allenby. (1996). "The Value of Purchase History Data in Target Marketing." Marketing Science 15(4): 304–321.
Rossi, P.E. and G.M. Allenby. (2003). "Bayesian Statistics and Marketing." Marketing Science 22(3): 304–328.
Rubinstein, M. (1976). "The Valuation of Uncertain Income Streams and the Pricing of Options." The Bell Journal of Economics 7(2): 407–425.
Rubinstein, M. (1987). "Derivative Assets Analysis." Journal of Economic Perspectives 1(2): 73–93.
Schorfheide, F. (2005). "VAR Forecasting Under Misspecification." Journal of Econometrics 128: 99–136.
Schwiebert, J. (2015). "A Detailed Decomposition for Nonlinear Econometric Models." Journal of Economic Inequality 13(1): 53–67.
Scollnik, D.P.M. (1996). "An Introduction to Markov Chain Monte Carlo Methods and Their Actuarial Applications." Proceedings of the Casualty Actuarial Society.
Sentana, E. and G. Fiorentini. (2001). "Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models." Journal of Econometrics 102(2): 143–164.
Sethuraman, J. (1994). "A Constructive Definition of Dirichlet Priors." Statistica Sinica 4: 639–650.
Shiller, R.J. (1984a). "Smoothness Priors and Nonlinear Regression." Journal of the American Statistical Association 79(387): 609–615.
Sims, C.A. (1980). "Macroeconomics and Reality." Econometrica 48: 1–47.
Sims, C.A., J.H. Stock, and M.W. Watson. (1990). "Inference in Linear Time Series Models with Some Unit Roots." Econometrica 58(1): 113–144.
Sims, C.A. and H. Uhlig. (1991). "Understanding Unit Rooters: A Helicopter Tour." Econometrica 59: 1591–1600.
Sims, C.A. (1993). "A Nine-Variable Probabilistic Macroeconomic Forecasting Model." In J.H. Stock and M.W. Watson (eds.), Business Cycles, Indicators, and Forecasting. Chicago: University of Chicago Press: 179–212.
Sims, C.A. (1996). "Macroeconomics and Methodology." Journal of Economic Perspectives 10(1): 105–120.
Sims, C.A. and T. Zha. (1998). "Bayesian Methods for Dynamic Multivariate Models." International Economic Review 39: 949–968.
Sims, C.A. and T. Zha. (1999). "Error Bands for Impulse Responses." Econometrica 67: 1113–1155.
Sims, C.A. and T. Zha. (2006b). "Were There Regime Switches in US Monetary Policy?" American Economic Review 96(1): 54–81.
St-Amant, P. (1996). "Decomposing U.S. Nominal Interest Rates into Expected Inflation and Ex Ante Real Interest Rates Using Structural VAR Methodology." Bank of Canada Working Paper 96-2.
Stark, T. (1998). "A Bayesian Vector Error Corrections Model of the U.S. Economy." Federal Reserve Bank of Philadelphia Working Paper 98-12. June 1998.
Stein, E.M. and J.C. Stein. (1991). "Stock Price Distributions with Stochastic Volatility: An Analytic Approach." Review of Financial Studies 4(4): 727–752.
Stephens, M. (2000). "Dealing with Label Switching in Mixture Models." Journal of the Royal Statistical Society, Series B 62(4): 795–809.
Stern, S. (1997). "Simulation-Based Estimation." Journal of Economic Literature 35(4): 2006–2039.
Stock, J.H. and M.W. Watson. (1993). "A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems." Econometrica 61: 783–820.
Stock, J.H. and M.W. Watson. (2002). "Macroeconomic Forecasting Using Diffusion Indexes." Journal of Business & Economic Statistics 20(2): 147–162.
Stock, J.H. and M.W. Watson. (2018). "Identification and Estimation of Dynamic Causal Effects in Macroeconomics Using External Instruments." The Economic Journal 128(610): 917–948.
Strid, I. (2010). "Efficient Parallelisation of Metropolis-Hastings Algorithms Using a Prefetching Approach." Computational Statistics and Data Analysis 54(11): 2814–2835.
Strobl, Carolin, Anne-Laure Boulesteix, Achim Zeileis, Torsten Hothorn. (2006). Strobl et al. (2007) Bias in Random Forest Variable Importance Measures. paper.
Summers, P.M. (2004). "Bayesian Evidence on the Structure of Unemployment." Economics Letters 83(3): 299–306.
Sun, D., R.K. Tsutakawa, and P.L. Speckman. (1999). "Posterior Distribution of Hierarchical Models Using CAR(1) Distributions." Biometrika 86(2): 341–350.
Sun, D., and S. Ni. (2004). "Bayesian Analysis of Vector-Autoregressive Models with Noninformative Priors." Econometric Reviews 23(3): 203–226.
Sundaresan, S.M. (2000). "Continuous-Time Methods in Finance: A Review and an Assessment." Journal of Finance 55(4): 1569–1622.
Swamy, P.A.V.B. and J.S. Mehta. (1975). "Bayesian and Non-Bayesian Analysis of Switching Regressions and of Random Coefficient Regression Models." Journal of the American Statistical Association 70: 593–602.
Swamy, P.A.V.B. and G.S. Tavlas. (1995). "Random Coefficient Models: Theory and Applications." Journal of Economic Surveys 9(2): 165–196.
Takane, Yoshio, Jan de Leeuw. (1987). Takane-de Leeuw (1987) On the Relationship Between IRT and Factor Analysis of Discretized Variables. paper.
Tanizaki, H. (1993). "Kalman Filter Model with Qualitative Dependent Variables." Sociological Methods and Research 22(2): 218–246.
Tanner, M.A. and W.H. Wong. (1987). "The Calculation of Posterior Distributions by Data Augmentation." Journal of the American Statistical Association 82: 528–540.
Taylor, J.B. (1993). "Discretion versus Policy Rules in Practice." Carnegie-Rochester Conference Series on Public Policy 39: 195–214.
Thall, P.F. and S.C. Vail. (1990). "Some Covariance Models for Longitudinal Count Data with Overdispersion." Biometrics 46(3): 657–671.
Therneau, T.M., P.M. Grambsch, and V.S. Pankratz. (2003). "Penalized Survival Models and Frailty." Journal of Computational and Graphical Statistics 12(1): 156–175.
Therneau, T.M. and E.J. Atkinson. (2023). "An Introduction to Recursive Partitioning Using the RPART Routines." Mayo Foundation Technical Report; `rpart` package vignette.
Tiao, G.C. and A. Zellner. (1964). "On the Bayesian Estimation and Analysis of Multivariate Regression." Journal of the Royal Statistical Society B 26: 389–399.
Tiao, G.C. and A. Zellner. (1964). "Bayes's Theorem and the Use of Prior Knowledge in Regression Analysis." Biometrika 51(1/2): 219–230.
Tibshirani, R. (1996). "Regression Shrinkage and Selection via the Lasso." Journal of the Royal Statistical Society, Series B 58(1): 267–288.
Tierney, L., R.E. Kass, and J.B. Kadane. (1989a). "Approximate Marginal Densities of Nonlinear Functions." Biometrika 76(3): 425–433.
Tierney, L., R.E. Kass, and J.B. Kadane. (1989b). "Fully Exponential Laplace Approximations to Expectations and Variances of Nonpositive Functions." Journal of the American Statistical Association 84(407): 710–716.
Tierney, L. (1994). "Markov Chains for Exploring Posterior Distributions." Annals of Statistics 22: 1701–1762.
Toda, H.Y. and P.C.B. Phillips. (1993). "Vector Autoregressions and Causality." Econometrica 61: 1367–1393.
Tsutakawa, R.K. (1988). "Mixed Model for Analyzing Geographic Variability in Mortality Rates." Journal of the American Statistical Association 83(401): 37–44.
Tütüncü, R.H. and M. Koenig. (2004). "Robust Asset Allocation." Annals of Operations Research 132(1–4): 157–187.
Uhlig, H. (1997). "Bayesian Vector Autoregressions with Stochastic Volatility." Econometrica 65(1): 59–73.
Uhlig, H. (2004). "What Are the Effects of Monetary Policy on Output? Results from an Agnostic Identification Procedure." Preliminary manuscript, May 6, 2004. Published as Journal of Monetary Economics 52(2): 381–419, 2005.
Vacek, P.M. (1985). "The effect of conditional dependence on the evaluation of diagnostic tests." Biometrics 41: 959–968.
van der Maaten, L. and G. Hinton. (2008). "Visualizing Data using t-SNE." Journal of Machine Learning Research 9: 2579–2605.
van Dyk, D.A. (2000). "Fitting Mixed-Effects Models Using Efficient EM-Type Algorithms." Journal of Computational and Graphical Statistics 9(1): 78–98.
Vaswani, A., N. Shazeer, N. Parmar, J. Uszkoreit, L. Jones, A.N. Gomez, Ł. Kaiser, and I. Polosukhin. (2017). "Attention Is All You Need." In Advances in Neural Information Processing Systems 30 (NeurIPS): 5998–6008.
Vehtari, A., A. Gelman, and J. Gabry. (2017). "Practical Bayesian Model Evaluation Using Leave-One-Out Cross-Validation and WAIC." Statistics and Computing 27(5): 1413–1432.
Vermunt, Jay Magidson; Jeroen K. (2003). Magidson-Vermunt (2004) Latent Class Models. article.
Vermunt, Jeroen K. (2007). Vermunt (2008) Latent Class and Finite Mixture Models for Multilevel Data Sets. paper.
Vermunt, J.K. (2022). "Latent Class Analysis." In P. Peterson, E. Baker, B. McGaw, F. Rizvi, G. Smith, and K. Gutierrez (eds.), International Encyclopedia of Education, 4th ed. Oxford: Elsevier.
Villani, M. (2005b). "Bayesian Inference of General Linear Restrictions on the Cointegration Space." Sveriges Riksbank Working Paper Series No. 189.
Villani, Mattias. (2005). Villani (2005) Inference in Vector Autoregressive Models with an Informative Prior on the Steady State. paper.
Villani, M. (2009). "Steady State Priors for Vector Autoregressions." Journal of Applied Econometrics 24(4): 630–650.
Waagepetersen, R. and Y. Guan. (2009). "Two-Step Estimation for Inhomogeneous Spatial Point Processes." Journal of the Royal Statistical Society, Series B 71(3): 685–702.
Waggoner, D.F. and T. Zha. (2000). "A Gibbs Simulator for Restricted VAR Models." Journal of Business and Economic Statistics 18(2): 124–132.
Wahba, G. (1978). "Improper Priors, Spline Smoothing and the Problem of Guarding Against Model Errors in Regression." Journal of the Royal Statistical Society, Series B 40(3): 364–372.
Wakefield, J. (2007). "Disease Mapping and Spatial Regression with Count Data." Biostatistics 8(2): 158–183.
Warne, A. (1997). "Inference in Cointegrated VAR Systems." Review of Economics and Statistics 79(3): 508–511.
Warne, A. (2006). "Bayesian Inference in Cointegrated VAR Models with Applications to the Demand for Euro Area M3." ECB Working Paper No. 692.
Watanabe, S. (2010). "Asymptotic Equivalence of Bayes Cross Validation and Widely Applicable Information Criterion in Singular Learning Theory." Journal of Machine Learning Research 11: 3571–3594.
White, H. (1980). "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity." Econometrica 48: 817–838.
White, H. (1982). "Maximum Likelihood Estimation of Misspecified Models." Econometrica 50(1): 1–25.
Wolfinger, R. and M. O'Connell. (1993). "Generalized Linear Mixed Models: A Pseudo-Likelihood Approach." Journal of Statistical Computation and Simulation 48(3-4): 233–243.
Wood, S.N. (2011). "Fast Stable Restricted Maximum Likelihood and Marginal Likelihood Estimation of Semiparametric Generalized Linear Models." Journal of the Royal Statistical Society, Series B 73(1): 3–36.
Yamamoto, T. (1981). "Predictions of multivariate autoregressive-moving average models." Biometrika 68(2): 485–492.
Yang, C.C., B.O. Muthén, and C.C. Yang. (1999). "Finite Mixture Multivariate Generalized Linear Models Using Gibbs Sampling and E-M Algorithms." Proc. Natl. Sci. Counc. ROC(A) 23(6): 695–702.
Yee, T.W. (2010). "The VGAM Package for Categorical Data Analysis." Journal of Statistical Software 32(10): 1–34.
Yeh, I.-C. and C.-h. Lien. (2009). "The Comparisons of Data Mining Techniques for the Predictive Accuracy of Probability of Default of Credit Card Clients." Expert Systems with Applications 36(2): 2473–2480.
Youden, W.J. (1950). "Index for Rating Diagnostic Tests." Cancer 3(1): 32–35.
Yu, J. (2005). "On Leverage in a Stochastic Volatility Model." Journal of Econometrics 127: 165–178.
Yule, G.U. (1927). "On a Method of Investigating Periodicities in Disturbed Series, with Special Reference to Wolfer's Sunspot Numbers." Philosophical Transactions of the Royal Society of London, Series A 226: 267–298.
Zadrozny, B. and C. Elkan. (2002). "Transforming Classifier Scores into Accurate Multiclass Probability Estimates." In Proceedings of the 8th ACM SIGKDD International Conference on Knowledge Discovery and Data Mining (KDD '02), pp. 694–699.
Zeger, S.L., K.-Y. Liang, and P.S. Albert. (1988). "Models for Longitudinal Data: A Generalized Estimating Equation Approach." Biometrics 44(4): 1049–1060.
Zeileis, A., C. Kleiber, and S. Jackman. (2008). "Regression Models for Count Data in R." Journal of Statistical Software 27(8): 1–25.
Zellner, A. (1962). "An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias." Journal of the American Statistical Association 57(298): 348–368.
Zellner, A. (1971). An Introduction to Bayesian Inference in Econometrics. New York: Wiley.
Zellner, A. (1976). "Bayesian and Non-Bayesian Analysis of the Regression Model with Multivariate Student-t Error Terms." Journal of the American Statistical Association 71(354): 400–405.
Zellner, A. (1985). "Bayesian Econometrics." Econometrica 53(2): 253–270.
Zellner, A. (1988). "Optimal Information Processing and Bayes's Theorem." The American Statistician 42(4): 278–280.
Zellner, A. and C. Min. (1995). "Gibbs Sampler Convergence Criteria." Journal of the American Statistical Association 90(431): 921–927.
Zellner, A., J. Tobias, and H.K. Ryu. (1999). "Bayesian Method of Moments (BMOM) Analysis of Parametric and Semiparametric Regression Models." South African Statistical Journal 33: 41–69.
Zellner, A. (2000). "Bayesian and Non-Bayesian Approaches to Scientific Modeling and Inference in Economics and Econometrics." Korean Journal of Money and Finance 1: 11–56.
Zellner, A. and B. Chen. (2001). "Bayesian Modeling of Economies and Data Requirements." Macroeconomic Dynamics 5(5): 673–700.
Zellner, A. (2010). "Bayesian Shrinkage Estimates and Forecasts of Individual and Total or Aggregate Outcomes." Economic Modelling 27(6): 1392–1397.
Zellner, A. and T. Ando. (2010). "A Direct Monte Carlo Approach for Bayesian Analysis of the Seemingly Unrelated Regression Model." Journal of Econometrics 159: 33–45.
Zha, T. (1997/1998). "A Dynamic Multivariate Model for Use in Formulating Policy." Federal Reserve Bank of Atlanta Economic Review, First Quarter 1998.
Zha, T. (2008). "Vector Autoregressions." In The New Palgrave Dictionary of Economics, 2nd ed. London: Palgrave Macmillan.
Zhang, B., C. Zhang, and X. Yi. (2004). "Competitive EM Algorithm for Finite Mixture Models." Pattern Recognition 37: 131–144.
Zhang, X., W.J. Boscardin, and T.R. Belin. (2008). "Bayesian Analysis of Multivariate Nominal Measures Using Multivariate Multinomial Probit Models." Computational Statistics & Data Analysis 52(7): 3411–3425.
Zhang, W. and J.E. Zhang. (2020). "GARCH Option Pricing Models and the Variance Risk Premium." Journal of Risk and Financial Management 13(3): 51.
Zhao, Y., J. Staudenmayer, B.A. Coull, and M.P. Wand. (2006). "General Design Bayesian Generalized Linear Mixed Models." Statistical Science 21(1): 35–51.
Zhao, H. and V. Hogan. (2011). "Measuring the NAIRU – A Structural VAR Approach." Frontiers of Economics in China 6(1): 76–91.
Zhou, R., Y. Wang, K. Kaufhold, J.S.-H. Li, and K.S. Tan. (2014). "Modeling Mortality of Multiple Populations with Vector Error Correction Models: Applications to Solvency II." North American Actuarial Journal 18: 150–167.
Zou, H. and T. Hastie. (2005). "Regularization and Variable Selection via the Elastic Net." Journal of the Royal Statistical Society, Series B 67(2): 301–320.

Entities (523)