In this article we use spatial birth-death processes to estimate the number of states k of a switching model. Following Preston (1976) and Stephens (1998) matching the detailed balance condition for the underlying birth-death process results in an unique invariant probability measure with the...

This paper studies the dynamics of an asset pricing model based on simple deterministic agents.

In this paper we head for a fully Bayesian analysis of the latent class model with a priori unknown number of classes. Estimation is carried out by means of Markov Chain Monte Carlo (MCMC) methods. We deal explicitely with the consequences the unidentifiability of this type of model has on MCMC...

In the present paper we consider Bayesian estimation of a finite mixture of models with random effects which is also known as the heterogeneity model. First, we discuss the properties of various MCMC samplers that are obtained from full conditional Gibbs sampling by grouping and collapsing.(...)

In this paper we carry out fully Bayesian analysis of the general heterogeneity model, which is a mixture of random effects model, and its special cases, the random coefficient model and the latent class model. Our application comes from Conjoint analysis and we are especially interested in what...

In this paper, we compare the empirical properties of closed- and open-economy DSGEmodels estimated on Euro area data. The comparison is made along several dimensions;we examine the models in terms of their marginal likelihoods, forecasting performance,variance decompositions, and their...

This paper developes a new methodology to measure conditional dependency between time series each driven by complicated marginal distributions.

Most time series models used in econometrics and empirical finance are estimated withmaximum likelihood methods, in particular when interest centers on density and Value{at{Risk (VaR) prediction. The standard maximum likelihood principle implicitly placesequal weight on each of the observations...

This paper employs an augmented version of the UECCC GARCH specificationproposed in Conrad and Karanasos (2010) which allows for lagged in-mean effects,level effects as well as asymmetries in the conditional variances. In this unifiedframework we examine the twelve potential intertemporal...

This paper employs the unrestricted extended constant conditional correlationGARCH specification proposed in Conrad and Karanasos (2008) to examine theintertemporal relationship between the uncertainties of in°ation and output growthin the US. We find that inflation uncertainty effects output...