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BAYESIAN SIMULTANEOUS EQUATIONS ANALYSIS USING REDUCED RANK STRUCTURES
Kleibergen, Frank; Dijk, Herman K. van - In: Econometric Theory 14 (1998) 06, pp. 701-743
Persistent link: https://www.econbiz.de/10005250074
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Efficient Sampling from Non-Standard Distributions Using Neural NetworkApproximations
Hoogerheide, Lennart F.; Kaashoek, Johan F.; Dijk, … - Society for Computational Economics - SCE - 2002
Persistent link: https://www.econbiz.de/10005345479
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Adaptive Polar Sampling
Bauwens, Luc; Bos, Charles S.; Dijk, Herman K. van; … - Society for Computational Economics - SCE - 2002
Persistent link: https://www.econbiz.de/10005706627
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On the Shape of the Likelihood/Posterior in Cointegration Models
Kleibergen, Frank; Dijk, Herman K. van - In: Econometric Theory 10 (1994) 3-4, pp. 514-551
A vector autoregressive (VAR) model is specified with equation system parameters, which directly reflect the possible cointegrating nature of the analyzed time series. By using a flat/diffuse prior, we show that the marginal posteriors of the parameters of interest (multipliers of the...
Persistent link: https://www.econbiz.de/10005104527
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Bayes Methods and Unit Roots
Phillips, Peter C.B.; Dijk, Herman K. Van - In: Econometric Theory 10 (1994) 3-4, pp. 453-460
Persistent link: https://www.econbiz.de/10005610512