This paper proposes alternative methods for constructing estimators from accept-reject samples by incorporating the variables rejected by the algorithm.

This paper synthesises a global approach to both Bayesian and likelihood treatments of the estimation of the parameters of a hidden Markov model for the cases of normal and Poisson underlying distribution.

This paper puts forth a concept of Adptivety Rational Equilibrium (A.R.E) where agents base decisions upon predictions of future values of endogenous variables whose actual values are determined by equilibrium equations.

This paper investigates the behavior of long zero-coupon rates and its consequences for usual arbitrage models of the term structure.

The notion of disapprobation is defined. It is designed to capture some features of misspecification in a decision-theoretic framework. Moreover, it is a sample-based notion so it is well-suited for the study of misspecification in Bayesian contexts. Some elementary examples of disapprobation...

This paper systematically analyses and enriches the observational learning paradigm of Banerjee (1992) and Bikhchandani, Hirscleifer, and Welch (1992).

In this paper, we derive a general Hajek-Renyi type inequality for vector-valued martingales. Several well known inequalities are shown to be special cases of this general inequality. We also derive a similar inequality for dependent sequences. We then apply the inequality to the problem of...

A procedure for computing the parameters of latent multifactor models in econometrics is proposed based on indirect estimation methods.

This paper explains how the Gibbs sampler can be used to perform Bayesian inference on GARCH models. Although the Gibbs sampler is usually based on the analytical knowledge of the full conditional posterior densities, such knowledge is not available in regression models with GARCH errors. We...