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Stochastic model specification search for time-varying parameter VARs
Eisenstat, Eric; Chan, Joshua; Strachan, Rodney W. - In: Econometric reviews 35 (2016) 8/10, pp. 1638-1665
Persistent link: https://www.econbiz.de/10011592382
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Bayesian inference in cointegrated
Strachan, Rodney W. - In: Econometric reviews 26 (2007) 2, pp. 439-468
Persistent link: https://www.econbiz.de/10003509147
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Efficient posterior simulation for cointegrated models with priors on the cointegration space
Koop, Gary; León-González, Roberto; Strachan, Rodney W. - In: Econometric reviews 29 (2010) 2, pp. 224-242
Persistent link: https://www.econbiz.de/10003960502
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Specification tests for time-varying parameter models with stochastic volatility
Chan, Joshua - In: Econometric reviews 37 (2018) 6/10, pp. 807-823
Persistent link: https://www.econbiz.de/10012040412
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Implementing Box-Cox Quantile Regression
Koop, Gary; Leon-Gonzalez, Roberto; Strachan, Rodney - In: Econometric reviews 29 (2010) 2, pp. 158-182
Persistent link: https://www.econbiz.de/10008349859
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Bayesian Inference in Cointegrated I (2) Systems: A Generalization of the Triangular Model
Strachan, Rodney W. - In: Econometric reviews 26 (2007) 2, pp. 439-468
Persistent link: https://www.econbiz.de/10007730232
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Efficient Posterior Simulation for Cointegrated Models with Priors on the Cointegration Space
Koop, Gary; Len-Gonzlez, Roberto; Strachan, Rodney W. - In: Econometric reviews 29 (2009) 2, pp. 224-243
Persistent link: https://www.econbiz.de/10009266504
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Marginal likelihood estimation with the cross-entropy method
Chan, Joshua; Eisenstat, Eric - In: Econometric reviews 34 (2015) 1/5, pp. 256-285
Persistent link: https://www.econbiz.de/10011373293