We analyse the volatility structure of Asian currencies against the U.S. dollar (USD) for the Thai Baht THB, the Philippine Peso PHP, the Indonesian Rupiah IDR and the South Korean Won KRW. Our goal is to check if the characteristics of the volatility dynamics have changed in a K-state switching...

We analyse the volatility structure of Asian currencies against the U.S. dollar (USD) for the Thai Baht THB, the Philippine Peso PHP, the Indonesian Rupiah IDR and the South Korean Won KRW. Our goal is to check if the characteristics of the volatility dynamics have changed in a K-state switching...

While Robert and Rousseau (2010) addressed the foundational aspects of Bayesian analysis, the current chapter details its practical aspects through a review of the computational methods available for approximating Bayesian procedures. Recent innovations like Monte Carlo Markov chain, sequential...

Simulation has become a standard tool in statistics because it may be the only tool available for analysing some classes of probabilistic models. We review in this paper simulation tools that have been specifically derived to address statistical challenges and, in particular, recent advances in...

The question of variable selection in a regression model is a major open research topic in econometrics. Traditionally two broad classes of methods have been used. One is sequential testing and the other is information criteria. The advent of large datasets used by institutions such as central...

This paper argues that the sometimes-conflicting results of a modern revisionist literature on data mining in econometrics reflect different approaches to solving the central problem of model uncertainty in a science of non-experimental data. The literature has entered an exciting phase with...

In the context of an autoregressive panel data model with fixed effect, we examine the relationship between consistent parameter estimation and consistent model selection. Consistency in parameter estimation is achieved by using the transformation of the fixed effect proposed by Lancaster...

Following Lancaster (2002), we propose a strategy to solve the incidental parameter problem. The method is demonstrated under a simple panel Poisson count model. We also extend the strategy to accomodate cases when information orthogonality is unavailable, such as the linear AR(p) panel model....

In this paper we consider the problem of identifying an autoregressive model for an observed time series and detecting a possible unit root in its characteristic polynomial. This is a big issue concerned with distinguishing stationary time series from time series for which differencing is...

The full Bayesian treatment of error component models typically relies on data augmentation to produce the required inference. Never stricly necessary a direct approach is always possible though not necessarily practical. The mechanics of direct sampling are outlined and a template for including...