We discuss Bayesian inferential procedures within the family of instrumental variables regression models and focus on two issues: existence conditions for posterior moments of the parameters of interest under a flat prior and the potential of Direct Monte Carlo (DMC) approaches for efficient...

This discussion paper resulted in a publication in <I>Econometric Reviews</I>. Vol. 33(1-4), 3-35.<P> We discuss Bayesian inferential procedures within the family of instrumental variables regression models and focus on two issues: existence conditions for posterior moments of the parameters of interest...</p></i>

A Direct Monte Carlo (DMC) approach is introduced for posterior simulation in the Instrumental Variables (IV) model with one possibly endogenous regressor, multiple instruments and Gaussian errors under a flat prior. This DMC method can also be applied in an IV model (with one or multiple...

A Direct Monte Carlo (DMC) approach is introduced for posterior simulation in theInstrumental Variables (IV) model with one possibly endogenous regressor, multipleinstruments and Gaussian errors under a flat prior. This DMC method can also beapplied in an IV model (with one or multiple...

The finite sample properties of the state space methods applied to long memory time series are analyzed through Monte Carlo simulations. The state space setup allows to introduce a novel modeling approach in the long memory framework, which directly tackles measurement errors and random level...

The persistent nature of equity volatility is investigated by means of a multi-factor stochastic volatility model with time varying parameters. The parameters are estimated by means of a sequential matching procedure which adopts as an auxiliary model a time-varying generalization of the HAR...

Changing time series properties of US inflation and economic activity, measured as marginal costs, are modeled within a set of extended Phillips Curve (PC) models. It is shown that mechanical removal or modeling of simple low frequency movements in the data may yield poor predictive results...

This discussion paper resulted in a publication in the <A href="http://onlinelibrary.wiley.com/doi/10.1002/jae.2411/full">'Journal of Applied Econometrics'</A>, 2014, 29(7), 1164-1182.<P> Changing time series properties of US inflation and economic activity, measured as marginal costs, are modeled within a set of extended Phillips Curve (PC) models. It is shown that...</p></a>

This paper starts with a brief description of the introduction of the likelihood approach in econometrics as presented in Cowles Foundation Monographs 10 and 14. A sketch is given of the criticisms on this approach mainly from the first group of Bayesian econometricians. Publication and citation...

After a brief description of the first Bayesian steps into econometrics in the 1960s and early 70s, publication and citation patterns are analyzed in ten major econometric journals until 2012. The results indicate that journals which contain both theoretical and applied papers, such as Journal...