There is a one-to-one mapping between the conventional time series parameters of a third-order autoregression and the more interpretable parameters of secular half-life, cyclical half-life and cycle period. The latter parameterization is better suited to interpretation of results using both...

his paper reconsiders sequential Monte Carlo approaches to Bayesian inference in the light of massively parallel desktop computing capabilities now well within the reach of individual academics. It first develops an algorithm that is well suited to parallel computing in general and for which...

Massively parallel desktop computing capabilities now well within the reach of individual academics modify the environment for posterior simulation in fundamental and potentially quite advantageous ways. But to fully exploit these benefits algorithms that conform to parallel computing...

Bayesian forecasting is a natural product of a Bayesian approach to inference. The Bayesian approach in general requires explicit formulation of a model, and conditioning on known quantities, in order to draw inferences about unknown ones. In Bayesian forecasting, one simply takes a subset of...

This chapter discusses simulation methods that are both important and useful in the solution of integration problems, and discusses the principles for the practical application of simulation in economics with a focus on integration problems. The simulation methods are generally straightforward...

Until recently, inference in many interesting models was precluded by the requirement of high dimensional integration. But dramatic increases in computer speed, and the recent development of new algorithms that permit accurate Monte Carlo evaluation of high dimensional integrals, have greatly...

The logistic specification has been used extensively in non-Bayesian statistics to model the dependence of discrete outcomes on the values of specified covariates. Because the likelihood function is globally weakly concave estimation by maximum likelihood is generally straightforward even in...