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Bayesian estimation of Cox models with non-nested random effects: an application to the ratification of ILO conventions by developing countries

Bernhard Boockmann.; Dragana Djurdjevic.; Guillaume Horny. - Banque de France - 2009

We use a multivariate hazard model to analyse the ratification behaviour of ILO conventions by developing countries. The model accounts for two random effects: one at the country level, the other at the convention level. After investigating identification, we use a semi-parametric Bayesian...

Persistent link: https://www.econbiz.de/10008479238

Stochastic Volatility: Univariate and Multivariate Extensions

Jacquier, Éric; Polson, Nicholas G.; Rossi, Peter E. - Centre Interuniversitaire de Recherche en Analyse des … - 1999

Stochastic volatility models, aka SVOL, are more difficult to estimate than standard time-varying volatility models (ARCH). Advances in the literature now offer well tested estimators for a basic univariate SVOL model. However, the basic model is too restrictive for many economic and finance...

Persistent link: https://www.econbiz.de/10005100719

Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing

Dufour, Jean-Marie; Jouini, Tarek - Centre Interuniversitaire de Recherche en Analyse des … - 2005

Statistical tests in vector autoregressive (VAR) models are typically based on large-sample approximations, involving the use of asymptotic distributions or bootstrap techniques. After documenting that such methods can be very misleading even with fairly large samples, especially when the number...

Persistent link: https://www.econbiz.de/10005100698

Short Run and Long Run Causality in Time Series: Inference

Dufour, Jean-Marie; Pelletier, Denis; Renault, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 2003

techniques as well as standard Gaussian asymptotic distributional theory. Bootstrap procedures are also considered. For the case … régression linéaire de même que la théorie distributionnelle asymptotique gaussienne habituelle. Dans le cas des processus … intégrés, nous proposons des méthodes de régression étendue qui ne requièrent pas de théorie asymptotique non standard. L …

Persistent link: https://www.econbiz.de/10005100843

Règle de Taylor et politique monétaire dans la zone euro

Mésonnier, J-S.; Renne, J-P. - Banque de France - 2004

We estimate the reaction function of monetary policy in the Euro area and derive the Taylor-type policy rule that a would-be ECB would have followed since the beginning of the European Monetary System (1979-2003). We first follow the standard GMM methodology developed by Clarida, Galí and...

Persistent link: https://www.econbiz.de/10005056522

Incertitude et opinions différentes sur l'effet de la politique économique

Laskar, Daniel - In: Revue économique : revue bimestrielle 58 (2007) 2, pp. 351-379

Persistent link: https://www.econbiz.de/10003439730

Décisions et irréversibilités : à propos du supersonique

Marchais-Roubelat, Anne - In: Décision prospective auto-organisation : mélanges en …, (pp. 140-157). 2000

Persistent link: https://www.econbiz.de/10001530820

Décisions économiques

Vinokur, Annie (contributor); Aglietta, Michel (contributor) - 1998

Persistent link: https://www.econbiz.de/10001362786

Theory and decision : an international journal for multidisciplinary advances in decision science

Dordrecht [u.a.] : Springer Science + Business Media B.V.; … - 1.1970/71 -

Persistent link: https://www.econbiz.de/10001378884

Estimation bayésienne approximative par échantillonnage préférentiel.

Guillin, Arnaud; Marin, Jean-Michel; Robert, Christian P. - Université Paris-Dauphine - 2005

En estimation bayésienne, lorsque le calcul explicite de la loi a posteriori du vecteur des paramètres à estimer est impossible, les méthodes de Monte-Carlo par chaînes de Markov (MCMC) [Robert and Casella, 1999] permettent théoriquement de fournir un échantillon approximativement...

Persistent link: https://www.econbiz.de/10009002735

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