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). 'Markov chain Monte Carlo methods for stochastic volatility models', Journal of Econometrics, 108(2), 281-316. [Available at …
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GARCH models are commonly used as latent processes in econometrics, financial economics, and macroeconomics. Yet no …
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Prepared for the Handbook of Economic Forecasting, vol 2 <p> This chapter reviews Bayesian methods for inference and forecasting with VAR models. Bayesian inference and, by extension, forecasting depends on numerical methods for simulating from the posterior distribution of the parameters and spe-...</p>
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Autoregressive models) for Vector Error Correction models where there are many possible restrictions on the cointegration space. We …
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