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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

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

Does smooth ambiguity matter for asset pricing?

Gallant, A. Ronald; Jahan-Parvar, Mohammad R.; Liu, Hening - 2018

We use the Bayesian method introduced by Gallant and McCulloch (2009) to estimate consumption-based asset pricing models featuring smooth ambiguity preferences. We rely on semi-nonparametric estimation of a flexible auxiliary model in our structural estimation. Based on the market and aggregate...

Persistent link: https://www.econbiz.de/10011780610

Bayesian testing for short term interest rate models

Zhang, Yonghui; Chen, Zhongtian; Li, Yong - In: Finance research letters 20 (2017), pp. 146-152

Persistent link: https://www.econbiz.de/10011806836

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

Bayesian solutions to graduate admissions and related selection problems

Marsh, Lawrence C.; Zellner, Arnold - In: Journal of econometrics 121 (2004) 1/2, pp. 405-426

Persistent link: https://www.econbiz.de/10002094654

A direct Monte Carlo approach for Bayesian analysis of the seemingly unrelated regression model

Zellner, Arnold; Ando, Tomohiro - In: Journal of econometrics 159 (2010) 1, pp. 33-45

Persistent link: https://www.econbiz.de/10008839945

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