This article is motivated by the difficulty of applying standard simulation techniques when identification constraints or theoretical considerations induce covariance restrictions in multivariate models. To deal with this difficulty, we build upon a decomposition of positive definite matrices...

This paper analyzes the daily incidence of violence during the Second Intifada. We compare several alternative statistical models with different dynamic and structural stability characteristics while keeping modelling complexity to a minimum by only maintaining the assumption that the process...

A dynamic factor VAR model, estimated by MCMC simulation, is employed to assess the relative severity of post-war U.S. recessions. Joint modeling and estimation of all model unknowns yields rank estimates that fully account for parameter uncertainty. A convenient by-product of the simulation...

Volume 40 in the Advances in Econometrics series features twenty-three chapters that are split thematically into two parts. Part A presents novel contributions to the analysis of time series and panel data with applications in macroeconomics, finance, cognitive science and psychology,...