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Some recent developments in Bayesian statistics and econometrics

Zellner, Arnold - 1999

Persistent link: https://www.econbiz.de/10001405782

Rise of Bayesian econometrics

Qin, Duo - 1993

Persistent link: https://www.econbiz.de/10000143043

Posterior consistency in conditional density estimation by covariate dependent mixtures

Norets, Andriy; Pelenis, Justinas - 2011

This paper considers Bayesian nonparametric estimation of conditional densities by countable mixtures of location-scale densities with covariate dependent mixing probabilities. The mixing probabilities are modeled in two ways. First, we consider finite covariate dependent mixture models, in...

Persistent link: https://www.econbiz.de/10009685479

Recession propagation in small regional economies : spatial spillovers and endogenous clustering

Shibaev, Sergei S. - 2016

This paper develops a statistical model for measuring spatial interactions when estimating macroeconomic regimes and regime shifts. The model is applied to study the contagion and propagation of recessions in small regional economies in the United States from 1990 to 2015. The empirical analysis...

Persistent link: https://www.econbiz.de/10011567460

Growth econometrics for agnostics and true believers

Rockey, James; Temple, Jonathan - 2015

Persistent link: https://www.econbiz.de/10010531110

The econometrics of oil market VAR models

Kilian, Lutz; Zhou, Xiaoqing - 2020

Persistent link: https://www.econbiz.de/10012213247

Machine learning econometrics : Bayesian algorithms and methods

Korobilis, Dimitris; Pettenuzzo, Davide - 2020

Persistent link: https://www.econbiz.de/10012243263

Dissecting the 2007-2009 real estate market bust : systematic pricing correction or just a housing fad?

Bianchi, Daniele; Guidolin, Massimo; Ravazzolo, Francesco - 2015 - This version: November, 2015

Persistent link: https://www.econbiz.de/10011805867

Assessing identifying restrictions in SVAR models

Piffer, Michele - 2016 - This draft: March 22, 2016

This paper proposes a Bayesian approach to assess if the data support candidate set-identifying restrictions for Vector Autoregressive models. The researcher is uncertain about the validity of some sign restrictions that she is contemplating to use. She therefore expresses her uncertainty with a...

Persistent link: https://www.econbiz.de/10011446039

Bayesian econometrics

Koop, Gary - 2003

Bayesian Econometrics introduces the reader to the use of Bayesian methods in the field of econometrics at the advanced … undergraduate or graduate level. The book is self-contained and does not require previous training in econometrics. The focus is on … computational skills of modern Bayesian econometrics can be found at: www.wiley.co.uk/koopbayesian …

Persistent link: https://www.econbiz.de/10001728002