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Liu, Laura; Moon, Hyungsik Roger; Schorfheide, Frank - In: Journal of econometrics 220 (2021) 1, pp. 2-22

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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

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Bayesian exploratory factor analysis

Conti, Gabriella; Frühwirth-Schnatter, Sylvia; … - In: Journal of econometrics 183 (2014) 1, pp. 31-57

Persistent link: https://www.econbiz.de/10010506092

Dynamic prediction pools : an investigation of financial frictions and forecasting performance

Del Negro, Marco; Hasegawa, Raiden B.; Schorfheide, Frank - In: Journal of econometrics 192 (2016) 2, pp. 391-405

Persistent link: https://www.econbiz.de/10011704724

Bayesian treatment effects models with variable selection for panel outcomes with an application to earnings effects of maternity leave

Jacobi, Liana; Wagner, Helga; Frühwirth-Schnatter, Sylvia - In: Journal of econometrics 193 (2016) 1, pp. 234-250

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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

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Tempered particle filtering

Herbst, Edward P.; Schorfheide, Frank - In: Journal of econometrics 210 (2019) 1, pp. 26-44

Persistent link: https://www.econbiz.de/10012303367

Achieving shrinkage in a time-varying parameter model framework

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Forming Priors for DSGE Models (and How it Affects the Assessment of Nominal Rigidities)

Del Negro, Marco; Schorfheide, Frank - 2015

In Bayesian analysis of dynamic stochastic general equilibrium (DSGE) models, prior distributions for some of the taste-and-technology parameters can be obtained from microeconometric or presample evidence, but it is difficult to elicit priors for the parameters that govern the law of motion of...

Persistent link: https://www.econbiz.de/10014048541

Markov switching panel with endogenous synchronization effects

Agudze, Komla M.; Billio, Monica; Casarin, Roberto; … - In: Journal of econometrics 230 (2022) 2, pp. 281-298

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