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Estimation of stochastic volatility models with diagnostics
Gallant, A. Ronald - In: Journal of econometrics 81 (1997) 1, pp. 159-192
Persistent link: https://www.econbiz.de/10001336798
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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
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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
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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
Persistent link: https://www.econbiz.de/10012110246
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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
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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
Persistent link: https://www.econbiz.de/10011918691
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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
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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
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Testing for a unit root in the presence of stochastic volatility and leverage effect
Li, Yong; Chong, Terence Tai-Leung; Zhang, Jie - In: Economic modelling 29 (2012) 5, pp. 2035-2038
Persistent link: https://www.econbiz.de/10009666985
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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