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Bayesian portfolio mean-variance efficiency test with sampling error of Sharpe ratio

Kao, Lie-Jane; Huei Ching Soo; Lee, Cheng F. - 2024

Persistent link: https://www.econbiz.de/10015049997

Implications of missing-data imputation for survey data : an application to technology adoption

Gedikoglu, Haluk; Parcell, Joseph L. - In: International journal of food and agricultural … 7 (2019) 4, pp. 271-291

Persistent link: https://www.econbiz.de/10012267997

Tobin q: forecast performance for hierachical bayes, shrinkage, heterogeneous and homogeneous panel data estimators

Baltagi, Badi H.; Bresson, Georges; Pirotte, Alain - In: Empirical economics : a journal of the Institute for … 29 (2004) 1, pp. 107-113

Persistent link: https://www.econbiz.de/10001863314

Bayesian model averaging for spatial autoregressive models based on convex combinations of different types of connectivity matrices

Debarsy, Nicolas; Lesage, James P. - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 547-558

Persistent link: https://www.econbiz.de/10013533452

Joint Bayesian analysis of parameters and states in nonlinear, non-Gaussian state space models

Barra, István; Hoogerheide, Lennart; Koopman, Siem Jan; … - 2014

We propose a new methodology for designing flexible proposal densities for the joint posterior density of parameters and states in a nonlinear non-Gaussian state space model. We show that a highly efficient Bayesian procedure emerges when these proposal densities are used in an independent...

Persistent link: https://www.econbiz.de/10010399681

K-state switching models with time-varying transition distributions : does credit growth signal stronger effects of variables on inflation?

Kaufmann, Sylvia - 2014

Two Bayesian sampling schemes are outlined to estimate a K-state Markov switching model with time-varying transition …. Identification issues are addressed with random permutation sampling. In terms of efficiency, the extension to the difference in … random utility specification in combination with random permutation sampling performs best. We apply the method to estimate a …

Persistent link: https://www.econbiz.de/10010493611