Following Lancaster (2002), we propose a strategy to solve the incidental parameter problem. The method is demonstrated under a simple panel Poisson count model. We also extend the strategy to accomodate cases when information orthogonality is unavailable, such as the linear AR(p) panel model....

In econometrics, Autoregressive Conditional Duration (ACD) models use high-frequency economic or financial duration data, which mostly exhibit irregular time intervals. The ACD model is widely used to examine the duration of transaction volume and duration of price variations in stock markets....

In several scientific fields, like bioinformatics, financial and macro-economics, important theoretical and practical issues exist that involve multimodal data distributions. We propose a Bayesian approach using mixtures distributions to approximate accurately such data distributions. Shape and...

This chapter presents an empirical application of Bayesian MCMC estimation to the three main asset pricing models in use in the financial econometrics literature, namely, the Capital Asset Pricing Model (CAPM), the Fama-French (1992) three-factor model, and the Carhart (1997) four-factor model...

In this paper, we develop novel Markov chain Monte Carlo sampling methodology for Bayesian Cointegrated Vector Auto Regression (CVAR) models. Here we focus on two novel exten sions to the sampling methodology for the CVAR posterior distribution. The first extension we develop replaces the...