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  • Search: subject_exact:"Markov Chain Monte Carlo approach"
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Year of publication
Subjects
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Bayes-Statistik 2,969 Bayesian inference 2,969 Theorie 1,048 Theory 1,048 USA 459 United States 459 Schätzung 378 Estimation 377 Prognoseverfahren 350 Forecasting model 349 VAR model 305 VAR-Modell 305 Markov-Kette 236 Markov chain 235 Monte Carlo simulation 205 Monte-Carlo-Simulation 205 Dynamisches Gleichgewicht 204 Dynamic equilibrium 203 Zeitreihenanalyse 174 Time series analysis 173 Geldpolitik 166 Monetary policy 166 Modellierung 153 Scientific modelling 152 Economic growth 122 Wirtschaftswachstum 122 Regression analysis 120 Regressionsanalyse 120 Volatilität 116 Volatility 115 Estimation theory 108 Schätztheorie 108 Stochastic process 107 Stochastischer Prozess 107 Konjunktur 105 Business cycle 104 Schock 93 Shock 93 DSGE model 89 DSGE-Modell 89
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Online availability
All
Free 1,110 Undetermined 60
Type of publication
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Book / Working Paper 1,575 Article 1,393 Journal 1
Type of publication (narrower categories)
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Graue Literatur 1,456 Non-commercial literature 1,456 Arbeitspapier 1,393 Working Paper 1,393 Article in journal 1,261 Aufsatz in Zeitschriften 1,261 Article in book 128 Aufsatz im Buch 128 Hochschulschrift 115 Dissertation 114 Thesis 114 Collection of articles of several authors 24 Sammelwerk 24 Collection of articles written by one author 23 Sammlung 23 Amtsdruckschrift 12 Government document 12 Lehrbuch 10 Forschungsbericht 9 Survey 9 Übersichtsarbeit 9 Case study 7 Fallstudie 7 Bibliographie enthalten 4 Bibliography included 4 Commentary 4 Kommentar 4 Reprint 4 Bibliographie 3 Aufsatzsammlung 2 Congress report 2 Handbook 2 Handbuch 2 Konferenzschrift 2 Kongress 2 Kongressschrift 2 Personenfestschrift 2 Publication in honor of a person 2
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Language
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English 2,896 German 29 French 19 Spanish 10 Polish 6 Portuguese 3 Italian 2 Czech 1 Romanian 1 Russian 1 Turkish 1
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Persons
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Dijk, Herman K. van 62 Koop, Gary 53 Ravazzolo, Francesco 46 Schorfheide, Frank 35 Strachan, Rodney W. 33 Crespo Cuaresma, Jesús 30 Lang, Stefan 23 Bauwens, Luc 22 Griffiths, William E. 22 Marcellino, Massimiliano 22 Potter, Simon M. 21 Carriero, Andrea 20 Feldkircher, Martin 20 Canova, Fabio 19 Casarin, Roberto 19 Doppelhofer, Gernot 19 Hoogerheide, Lennart 18 Paap, Richard 18 Leon-Gonzalez, Roberto 17 Li, Kai 17 Tobias, Justin L. 17 Hoogerheide, Lennart F. 16 Kapetanios, George 16 Robert, Christian P. 16 Billio, Monica 15 Ciccarelli, Matteo 15 Duangkamon Chotikapanich 15 Österholm, Pär 15 Dijk, Dick van 14 Nakajima, Jouchi 14 Pesaran, M. Hashem 14 Polasek, Wolfgang 14 Rombouts, Jeroen V. K. 14 Villani, Mattias 14 Caraiani, Petre 13 Chan, Joshua 13 Zellner, Arnold 13 Allenby, Greg M. 12 Del Negro, Marco 12 Frühwirth-Schnatter, Sylvia 12
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Institutions
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University of British Columbia / Finance Division 9 Econometrisch Instituut <Rotterdam> 6 University of Strathclyde / Department of Economics 6 Federal Reserve Bank of St. Louis 4 Johns Hopkins University / Department of Economics 4 University of Cambridge / Department of Applied Economics 4 University of Warwick / Department of Economics 4 European University Institute / Department of Law 3 Federal Reserve Bank of New York 3 Iowa State University / Department of Economics 3 University of Canterbury / Dept. of Economics and Finance 3 University of New England / Department of Econometrics 3 University of Sheffield / Department of Economics 3 Université de Montréal / Département de Sciences Economiques 3 Brown University / Department of Economics 2 Ekonomiska forskningsinstitutet <Stockholm> 2 Institute for Research in the Behavioral, Economic, and Management Sciences 2 Institutet för Internationell Ekonomi <Stockholm> 2 Krannert Graduate School of Management 2 Rijksuniversiteit Gent / Faculteit Economie en Bedrijfskunde 2 Social Systems Research Institute 2 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 2 Center for Economic Research <Tilburg> 1 Centre for Analytical Finance <Århus> 1 Christian-Albrechts-Universität zu Kiel 1 Conference State Space and Unobserved Component Models <2002, Amsterdam> 1 Erasmus Research Institute of Management 1 Federal Reserve Bank of Kansas City / Research Division 1 Forschungsinstitut zur Zukunft der Arbeit 1 Harvard Institute of Economic Research 1 Instituto Valenciano de Investigaciones Económicas 1 Istituto Nazionale di Statistica <Rom> 1 Judge Institute of Management Studies 1 Københavns Universitet / Økonomisk Institut 1 Leuphana Universität Lüneburg 1 Massachusetts Institute of Technology / Department of Economics 1 Melbourne Institute of Applied Economic and Social Research 1 Nuffield College 1 Queen Mary College / Department of Economics 1 Rheinische Friedrich-Wilhelms-Universität Bonn 1
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Published in...
All
Working paper 75 Discussion paper 56 Journal of econometrics 56 Journal of business & economic statistics : JBES : a publication of the American Statistical Association 48 Discussion paper / Centre for Economic Policy Research 40 Journal of applied econometrics 40 Working papers 35 Journal of marketing research : JMR 31 Working papers in economics and statistics 31 CAMA working paper series 29 Econometric reviews 29 Discussion paper / Tinbergen Institute 28 Série des documents de travail / Centre de Recherche en Économie et Statistique 27 Working paper series / European Central Bank 27 IMF working paper 26 Discussion papers 24 Journal of economic theory 24 IMF working papers 22 Working paper / Department of Econometrics and Business Statistics, Monash University 22 Econometric Institute research papers 21 International journal of forecasting 21 Research paper 21 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 20 Journal of economic dynamics & control 20 Journal of forecasting 20 CESifo working papers 19 Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics 19 Management science : journal of the Institute for Operations Research and the Management Sciences 19 Sveriges Riksbank working paper series 19 Economic modelling 18 Marketing science : the marketing journal of the Institute for Operations Research and the Management Sciences 18 Working paper series / Czech National Bank 18 Journal of money, credit and banking : JMCB 16 Economic theory 15 SFB 649 discussion paper 15 Quantitative marketing and economics : QME 14 Tinbergen Institute research series 14 Discussion paper series 13 Research paper series 13 Department of Economics working paper series 12
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Sources
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ECONIS (ZBW) 2,969
Showing 1 - 50 of 2,969
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Understanding Rating Movements in Euro Area Countries
Bruha, Jan; Karber, Moritz; Pierluigi, Beatrice; … - 2018
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Markov switching panel with network interaction effects
Agudze, Komula Mawulom; Billio, Monica; Casarin, Roberto; … - 2018
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Comparing the forecasting performances of linear models for electricity prices with high RES penetration
Gianfreda, Angelica; Ravazzolo, Francesco; Rossini, Luca - 2018
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Assessing international commonality in macroeconomic uncertainty and its effects
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2018
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Responses of inflation and output to shocks in monetary policy : a case study with Bangladesh using the DSGE model
Younus, Sayera - 2017
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Exchange rate pass-trough in to the Euro area
Comunale, Mariarosaria; Kunovac, Davor - 2017
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Relationship between inflation, potencial output and structural unemployment in Bulgaria
Kasabov, Daniel; Kotseva, Petra; Vassilev, Andrey; … - 2017
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The shortage of safe assets in the US investment portfolio : some international evidence
Huber, Florian; Punzi, Maria Teresa - 2017
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Capital-task complementarity and the decline of the U.S. labor share of income
Orak, Musa - 2017
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Asymmetries in the interaction between housing prices and housing credit in Estonia
Cuestas, Juan Carlos; Kukk, Merike - 2017
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Exchange rate pass-through in the euro area
Comunale, Mariarosaria; Kunovac, Davor - Task Force on Low Inflation (LIFT) - 2017
In this paper we analyse the exchange rate pass-through (ERPT) in the euro area as a whole and for four euro area members - Germany, France, Italy and Spain. For that purpose we use Bayesian VARs with identification based on a combination of zero and sign restrictions. Our results emphasize that...
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A panel VAR analysis of macro-financial imbalances in the EU
Comunale, Mariarosaria - 2017
We investigate the interactions across current account misalignments, Real Effective Exchange Rate misalignments and financial (or output) gaps within EU countries. We apply panel techniques, including a Bayesian panel VAR, to 27 EU members over the period 1994-2012. We find that, for the euro...
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Determinants of foreign firect investments in Bulgaria and Romania in the context of recent economic crisis
Simionescu, Mirel-Daniel - In: Academic journal of economic studies 3 (2017) 1, pp. 68-72
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BAMLSS : Bayesian additive models for location, scale and shape (and beyond)
Umlauf, Nikolaus; Klein, Nadja; Zeileis, Achim - 2017
Bayesian analysis provides a convenient setting for the estimation of complex generalized additive regression models (GAMs). Since computational power has tremendously increased in the past decade it is now possible to tackle complicated inferential problems, e.g., with Markov chain Monte Carlo...
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Three essays in applied macroeconomics and time series analysis
Abi Morshed, Alaa - 2017
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What is driving inflation and GDP in a small European economy: the case of Croatia
Jovičić, Goran; Kunovac, Davor - 2017
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Leaning against windy bank lending
Melina, Giovanni; Villa, Stefania - 2017
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Multi-channel advertising effectiveness : modeling user behavior and approaches for decision support in real-time advertising
Stange, Martin - 2017
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House prices and macroprudential policy in an estimated DSGE model of New Zealand
Funke, Michael; Kirkby, Robert; Mihaylovski, Petar - 2017
We analyse the effects of macroprudential and monetary policies and their interactions using an estimated dynamic stochastic general equilibrium (DSGE) model tailored to New Zealand. We find that the main historical drivers of house prices are shocks specific to the housing sector. While our...
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What drives export market shares? : it depends! : an empirical analysis using Bayesian Model Averaging
Osbat, Chiara; Benkovskis, Konstantins; Bluhm, Benjamin; … - 2017
What drives external performance of countries? This is a recurring question in academia and policy. The factors underlying export growth are receiving great attention, as countries struggle to grow out of the crisis by increasing exports and as protectionist discourses take foot again. Despite...
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A primer on Bayesian distributional regression
Kneib, Thomas; Umlauf, Nikolaus - 2017
Bayesian methods have become increasingly popular in the past two decades. With the constant rise of computational power even very complex models can be estimated on virtually any modern computer. Moreover, interest has shifted from conditional mean models to probabilistic distributional models...
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VEC-MSF models in Bayesian analysis of short- and long-run relationships
Pajor, Anna; Wróblewska, Justyna - In: Studies in nonlinear dynamics and econometrics : SNDE : … 21 (2017) 3, pp. 1-22
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House prices and macroprudential policy in an estimated DSGE model of New Zealand
Funke, Michael; Kirkby, Robert; Mihaylovski, Petar - 2017
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Bayesian treatments for panel data stochastic frontier models with time varying heterogeneity
Liu, Junrong; Sickles, Robin Christopher; Tsionas, … - In: Econometrics : open access journal 5 (2017) 3, pp. 1-21
This paper considers a linear panel data model with time varying heterogeneity. Bayesian inference techniques organized around Markov chain Monte Carlo (MCMC) are applied to implement new estimators that combine smoothness priors on unobserved heterogeneity and priors on the factor structure of...
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Political distribution risk and aggregate fluctuations
Drautzburg, Thorsten; Fernández-Villaverde, Jesús; … - 2017
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Exchange rate pass-through in the euro area
Comunale, Mariarosaria; Kunovac, Davor - 2017
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A panel VAR analysis of macro-financial imbalances in the EU
Comunale, Mariarosaria - 2017
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What drives export market shares?: it depends! : an empirical analysis using Bayesian Model Averaging
Beņkovskis, Konstantīns; Bluhm, Benjamin; Bobeica, Elena - 2017
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Assessing forecast uncertainty : an information Bayesian approach
Mendez-Ramos, Fabian - 2017
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Bayesian assessment of Lorenz and stochastic dominance
Lander, David; Gunawan, David; Griffiths, William; … - 2017
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Bayesian weighted inference from surveys
Gunawan, David; Panagiotelis, Anastasios; Griffiths, William - 2017
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Bayesian inference for health inequality and welfare using qualitative data
Gunawan, David; Griffiths, William; Duangkamon Chotikapanich - 2017
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Creaming - and the depletion of resources : a Bayesian data analysis
Lillestøl, Jostein; Sinding-Larsen, Richard - 2017
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Global trade and the dollar
Boz, Emine; Gopinath, Gita; Plagborg-Møller, Mikkel - 2017
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Fiscal spillovers in the euro area : letting the data speak
Dabla-Norris, Era; Dallari, Pietro; Poghosyan, Tigran - 2017
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Trend and uncertainty in the long-term real interest rate : Bayesian exponential tilting with survey data
Doh, Taeyoung - 2017
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Unconventional monetary policy in a small open economy
MacDonald, Margaux; Popiel, Michał Ksawery - 2017
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System priors for econometric time series
Andrle, Michal; Plašil, Miroslav - 2017
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A BVAR model for forecasting of Czech inflation
Brázdik, František; Franta, Michal - 2017
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Measuring the strength of the theories of government size
Kourtellos, Andros; Lenkoski, Alex; Petrou, Kyriakos - 2017
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Bayesian assessment of Lorenz and stochastic dominance
Lander, David; Gunawan, David; Griffiths, William E.; … - 2017
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Bayesian inference for linear regression
Ciuiu, Daniel - 2017
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A Bayesian heterogeneous coefficients spatial autoregressive panel data model of retail fuel price rivalry
Lesage, James P.; Vance, Colin; Chih, Yao-Yu - 2016
We apply a heterogenous coefficient spatial autoregressive panel model from Aquaro, Bailey and Pesaran (2015) to explore competition/cooperation by Berlin fueling stations in setting prices for diesel and E5 fuel. Unlike the maximum likelihood estimation method set forth by Aquaro, Bailey and...
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Financial development, structure and growth : new data, method and results
Luintel, Kul Bahadur; Khan, Mosahid; Leon-Gonzalez, Roberto - 2016
The existing weight of evidence suggests that financial structure (the classification of a financial system as bank-based versus market-based) is irrelevant for economic growth. This contradicts the common belief that the institutional structure of a financial system matters. We re-examine this...
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Uncertainty and employment dynamics in the euro area and the US
Netšunajev, Aleksei; Glass, Katharina - 2016
In this paper we investigate transmission and spillovers of local and foreign economic policy uncertainty shocks to unemployment in two largest economic regions in the world - the United States (US) and the Euro area (EA). For this purpose we deploy Bayesian Markov-switching structural vector...
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A Bayesian approach to excess volatility, short-term underreaction and long-term overreaction during financial crises
Guo, Xu; McAleer, Michael; Wong, Wing Keung; Zhu, Lixing - 2016
In this paper, we introduce a new Bayesian approach to explain some market anomalies during financial crises and subsequent recovery. We assume that the earnings shock of an asset follows a random walk model with and without drift to incorporate the impact of financial crises. We further assume...
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A Bayesian approach to excess volatility, short-term underreaction and long-term overreaction during financial crises
Guo, Xu; McAleer, Michael; Wong, Wing Keung; Zhu, Lixing - 2016
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What type of finance matters for growth? : Bayesian model averaging evidence
Hasan, Iftekhar; Horváth, Roman; Mareš, Jan - 2016
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Macroeconomic forecasting and structural changes in steady states
Louzis, Dimitrios P. - 2016
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Implementing the Zero Lower Bound in an estimated regime-switching DSGE model
Binning, Andrew; Maih, Junior - 2016
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