This paper considers the problem of forecasting in large macroeconomic panels using Bayesian model averaging. Practical methods for implementing Bayesian model averaging with factor models are described. These methods involve algorithms that simulate from the space defined by all possible...

Many structural break and regime-switching models have been used with macroeconomic and financial data. In this paper, we develop an extremely flexible parametric model that accommodates virtually any of these specifications—and does so in a simple way that allows for straightforward Bayesian...

We examine the pricing of initial public offering (IPO), seasoned equity offering (SEO) and post-Chapter 11 firms using a stochastic frontier methodolgy. The stochastic frontier framework allows us to model quot;inefficiencyquot; or the difference between a firm's maximum predicted and its...