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Monte Carlo maximum likelihood estimation for generalized long-memory time series models

Mesters, G.; Koopman, Siem Jan; Ooms, Marius - 2011

Persistent link: https://www.econbiz.de/10009720782

A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation

Hoogerheide, Lennart; Opschoor, Anne; Dijk, Herman K. van - 2012

Persistent link: https://www.econbiz.de/10009722688

Predicting time-varying parameters with parameter-driven and observation-driven models

Koopman, Siem Jan; Lucas, André; Scharth, Marcel - 2012

Persistent link: https://www.econbiz.de/10009722696

Fast efficient importance sampling by state space methods

Koopman, Siem Jan; Nguyen, Thuy Minh - 2012

Persistent link: https://www.econbiz.de/10009722707

A forty year assessment of forecasting the boat race

Mesters, Geert; Koopman, Siem Jan - 2012

Persistent link: https://www.econbiz.de/10009722947

Bayesian analysis of instrumental variable models : acceptance-rejection within direct Monte Carlo

Zellner, Arnold; Ando, Tomohiro; Baştürk, Nalan; … - 2012

Persistent link: https://www.econbiz.de/10009722969

The r package MitISEM : mixture of student-t distributions using importance sampling weighted expectation maximization for efficient and robust simulation

Basturk, Nalan; Hoogerheide, Lennart; Opschoor, Anne; … - 2012

Persistent link: https://www.econbiz.de/10009722972

Inference with imperfect randomization : the case of the Perry Preschool program

Heckman, James J.; Pinto, Rodrigo; Shaikh, Azeem M.; … - 2011

This paper considers the problem of making inferences about the effects of a program on multiple outcomes when the assignment of treatment status is imperfectly randomized. By imperfect randomization we mean that treatment status is reassigned after an initial randomization on the basis of...

Persistent link: https://www.econbiz.de/10009235526

Models with time-varying mean and variance : a robust analysis of US industrial production

Bos, Charles S.; Koopman, Siem Jan - 2010

Persistent link: https://www.econbiz.de/10003973299

A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations

Creal, Drew; Koopman, Siem Jan; Lucas, André - 2010

Persistent link: https://www.econbiz.de/10003973316