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Assessing specification errors in stochastic discount factor models

Hansen, Lars Peter; Jagannathan, Ravi - 1994

Persistent link: https://www.econbiz.de/10000883126

Back to the future : generating moment implications for continuous-time Markov processes

Hansen, Lars Peter; Scheinkman, José Alexandre - 1993

Persistent link: https://www.econbiz.de/10000879019

Bayesian model comparison and validation

Geweke, John - In: The American economic review 97 (2007) 2, pp. 60-64

Persistent link: https://www.econbiz.de/10003501197

Introduction for the annals issue of the Journal of econometrics on "Bayesian models, methods and applications"

Geweke, John; Koop, Gary; Paap, Richard - In: Journal of econometrics 171 (2012) 2, pp. 99-100

Persistent link: https://www.econbiz.de/10009691177

Analysis of variance for bayesian inference

Geweke, John; Amisano, Gianni - 2011

This paper develops a multi-way analysis of variance for non-Gaussian multivariate distributions and provides a practical simulation algorithm to estimate the corresponding components of variance. It specifically addresses variance in Bayesian predictive distributions, showing that it may be...