We investigate the importance of aggregate and consumer-specific or idiosyncratic labour income risk for aggregate … consumption changes in the US over the period 1952-2001. Theoretically, the effect of labour income risk on consumption changes is … decomposed into an aggregate and into an idiosyncratic part. Empirically, aggregate risk is modelled through a GARCH process on …

Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation.In order to simplify the … comprehension of these estimation methods, the main methods for estimating stochastic volatility are discussed, with focus on their …

include stochastic volatility for the observation errors. Our estimation results are based on practical Bayesian state space …

After a brief description of the first Bayesian steps into econometrics in the 1960s and early 70s, publication and … both theoretical and applied papers, such as Journal of Econometrics, Journal of Business and Economic Statistics and … Journal of Applied Econometrics, publish the large majority of high quality Bayesian econometric papers in contrast to …

This paper starts with a brief description of the introduction of the likelihood approach in econometrics as presented … with theoretical and applied papers, mainly consisting of Journal of Econometrics, Journal of Business and Eco- nomic … Statistics and Journal of Applied Econometrics which contains the large majority of high quality Bayesian econometric papers. A …

calculated from the estimation of a log-linear version of the household intertemporal budget constraint as a cointegrating …