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Priors, posteriors and bayes factors for a Bayesian analysis of cointegration

Kleibergen, Frank; Paap, Richard - In: Journal of econometrics 111 (2002) 2, pp. 223-249

Persistent link: https://www.econbiz.de/10001715745

Bayesian and classical approaches to instrumental variable regression

Kleibergen, Frank; Zivot, Eric - In: Journal of econometrics 114 (2003) 1, pp. 29-72

Persistent link: https://www.econbiz.de/10001738916

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

How to overcome the Jeffreys-Lindleys Paradox for Invariant Bayesian Inference in Regression Models

Kleibergen, Frank - 2001

We obtain invariant expressions for prior probabilities and priors onthe parameters of nested regression models that are induced by aprior on the parameters of an encompassing linear regression model.The invariance is with respect to specifications that satisfy anecessary set of assumptions....

Persistent link: https://www.econbiz.de/10010324904