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A new approach to Bayesian hypothesis testing

Li, Yong; Zeng, Tao; Yu, Jun - In: Journal of econometrics 178 (2014) 1, pp. 602-612

Persistent link: https://www.econbiz.de/10010256849

A Bayesian chi-squared test for hypothesis testing

Li, Yong; Liu, Xiao-Bin; Yu, Jun - In: Journal of econometrics 189 (2015) 1, pp. 54-69

Persistent link: https://www.econbiz.de/10011502408

Deviance information criterion for latent variable models and misspecified models

Li, Yong; Yu, Jun; Zeng, Tao - In: Journal of econometrics 216 (2020) 2, pp. 450-493

Persistent link: https://www.econbiz.de/10012439750

Forecasting structural change and fat-tailed events in Australian macroeconomic variables

Cross, Jamie; Poon, Aubrey - In: Economic modelling 58 (2016), pp. 34-51

Persistent link: https://www.econbiz.de/10011647028

Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale

Gallant, A. Ronald; Tauchen, George Eugene - In: Journal of econometrics 205 (2018) 1, pp. 140-155

Persistent link: https://www.econbiz.de/10012110246

Do bubbles have an explosive signature in markov switching models?

Balcombe, Kelvin G.; Fraser, Iain M. - In: Economic modelling 66 (2017), pp. 81-100

Persistent link: https://www.econbiz.de/10011813660

Bayesian estimation of state space models using moment conditions

Gallant, A. Ronald; Giacomini, Raffaella; Ragusa, Giuseppe - In: Journal of econometrics 201 (2017) 2, pp. 198-211

Persistent link: https://www.econbiz.de/10011918691

Nonparametric Bayes subject to overidentified moment conditions

Gallant, A. Ronald - In: Journal of econometrics 228 (2022) 1, pp. 27-38

Persistent link: https://www.econbiz.de/10013441713

Large stochastic volatility in mean VARs

Cross, Jamie; Hou, Chenghan; Koop, Gary; Poon, Aubrey - In: Journal of econometrics 236 (2023) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10014332245

Bayesian Estimation of a Dynamic Game with Endogenous, Partially Observed, Serially Correlated State

Gallant, A. Ronald - 2012

We consider dynamic games that can have state variables that are partially observed, serially correlated, endogenous, and heterogeneous. We propose a Bayesian method that uses a particle filter to compute an unbiased estimate of the likelihood within a Metropolis chain. Unbiasedness guarantees...

Persistent link: https://www.econbiz.de/10013111972