Aruoba, S. Borağan; Mlikota, Marko; Schorfheide, Frank; Villalvazo, Sergio SVARs with occasionally-binding constraints. (English) Zbl 07633049 J. Econom. 231, No. 2, 477-499 (2022). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{S. B. Aruoba} et al., J. Econom. 231, No. 2, 477--499 (2022; Zbl 07633049) Full Text: DOI
Fulop, Andras; Heng, Jeremy; Li, Junye; Liu, Hening Bayesian estimation of long-run risk models using sequential Monte Carlo. (English) Zbl 07491177 J. Econom. 228, No. 1, 62-84 (2022). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{A. Fulop} et al., J. Econom. 228, No. 1, 62--84 (2022; Zbl 07491177) Full Text: DOI
Borowska, Agnieszka; Hoogerheide, Lennart; Koopman, Siem Jan; van Dijk, Herman K. Partially censored posterior for robust and efficient risk evaluation. (English) Zbl 1456.62273 J. Econom. 217, No. 2, 335-355 (2020). MSC: 62P20 62F15 62M10 62P05 91G70 PDFBibTeX XMLCite \textit{A. Borowska} et al., J. Econom. 217, No. 2, 335--355 (2020; Zbl 1456.62273) Full Text: DOI Link
Dellaportas, Petros; Tsionas, Mike G. Importance sampling from posterior distributions using copula-like approximations. (English) Zbl 1452.62219 J. Econom. 210, No. 1, 45-57 (2019). MSC: 62F15 62M10 62P20 65C05 PDFBibTeX XMLCite \textit{P. Dellaportas} and \textit{M. G. Tsionas}, J. Econom. 210, No. 1, 45--57 (2019; Zbl 1452.62219) Full Text: DOI
Herbst, Edward; Schorfheide, Frank Tempered particle filtering. (English) Zbl 1452.62069 J. Econom. 210, No. 1, 26-44 (2019). MSC: 62-08 62F15 62M20 65C05 91B51 PDFBibTeX XMLCite \textit{E. Herbst} and \textit{F. Schorfheide}, J. Econom. 210, No. 1, 26--44 (2019; Zbl 1452.62069) Full Text: DOI Link
Geweke, John; Durham, Garland Sequentially adaptive Bayesian learning algorithms for inference and optimization. (English) Zbl 1452.62062 J. Econom. 210, No. 1, 4-25 (2019). MSC: 62-08 62F15 65C05 65Y05 90C59 PDFBibTeX XMLCite \textit{J. Geweke} and \textit{G. Durham}, J. Econom. 210, No. 1, 4--25 (2019; Zbl 1452.62062) Full Text: DOI
Fulop, Andras; Li, Junye Bayesian estimation of dynamic asset pricing models with informative observations. (English) Zbl 1452.62765 J. Econom. 209, No. 1, 114-138 (2019). MSC: 62P05 62F15 62-08 PDFBibTeX XMLCite \textit{A. Fulop} and \textit{J. Li}, J. Econom. 209, No. 1, 114--138 (2019; Zbl 1452.62765) Full Text: DOI
Li, Yong; Yu, Jun; Zeng, Tao Specification tests based on MCMC output. (English) Zbl 1452.62944 J. Econom. 207, No. 1, 237-260 (2018). MSC: 62P20 62G10 62E20 62-08 65C40 PDFBibTeX XMLCite \textit{Y. Li} et al., J. Econom. 207, No. 1, 237--260 (2018; Zbl 1452.62944) Full Text: DOI Link
Waggoner, Daniel F.; Wu, Hongwei; Zha, Tao Striated Metropolis-Hastings sampler for high-dimensional models. (English) Zbl 1420.62125 J. Econom. 192, No. 2, 406-420 (2016). MSC: 62F15 62M10 62P20 65C05 PDFBibTeX XMLCite \textit{D. F. Waggoner} et al., J. Econom. 192, No. 2, 406--420 (2016; Zbl 1420.62125) Full Text: DOI
Scharth, Marcel; Kohn, Robert Particle efficient importance sampling. (English) Zbl 1419.62247 J. Econom. 190, No. 1, 133-147 (2016). MSC: 62M10 62F15 62M20 65C05 PDFBibTeX XMLCite \textit{M. Scharth} and \textit{R. Kohn}, J. Econom. 190, No. 1, 133--147 (2016; Zbl 1419.62247) Full Text: DOI arXiv
Lee, Donghoon; Song, Kyungchul Simulated maximum likelihood estimation for discrete choices using transformed simulated frequencies. (English) Zbl 1337.91128 J. Econom. 187, No. 1, 131-153 (2015). MSC: 91G60 62P20 PDFBibTeX XMLCite \textit{D. Lee} and \textit{K. Song}, J. Econom. 187, No. 1, 131--153 (2015; Zbl 1337.91128) Full Text: DOI
Chudik, Alexander; Pesaran, M. Hashem Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors. (English) Zbl 1337.62354 J. Econom. 188, No. 2, 393-420 (2015). MSC: 62P20 62M10 62H12 65C05 91B84 PDFBibTeX XMLCite \textit{A. Chudik} and \textit{M. H. Pesaran}, J. Econom. 188, No. 2, 393--420 (2015; Zbl 1337.62354) Full Text: DOI
Hayakawa, Kazuhiko; Pesaran, M. Hashem Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity. (English) Zbl 1337.62265 J. Econom. 188, No. 1, 111-134 (2015). MSC: 62M10 62H12 62F03 65C05 PDFBibTeX XMLCite \textit{K. Hayakawa} and \textit{M. H. Pesaran}, J. Econom. 188, No. 1, 111--134 (2015; Zbl 1337.62265) Full Text: DOI
Su, Liangjun; Yang, Zhenlin QML estimation of dynamic panel data models with spatial errors. (English) Zbl 1331.62486 J. Econom. 185, No. 1, 230-258 (2015). MSC: 62P20 62H12 62F12 62M30 65C05 PDFBibTeX XMLCite \textit{L. Su} and \textit{Z. Yang}, J. Econom. 185, No. 1, 230--258 (2015; Zbl 1331.62486) Full Text: DOI Link
Huber, Martin; Lechner, Michael; Wunsch, Conny The performance of estimators based on the propensity score. (English) Zbl 1283.62232 J. Econom. 175, No. 1, 1-21 (2013). MSC: 62P20 91B82 PDFBibTeX XMLCite \textit{M. Huber} et al., J. Econom. 175, No. 1, 1--21 (2013; Zbl 1283.62232) Full Text: DOI Link
Ahn, Seung C.; Lee, Young H.; Schmidt, Peter Panel data models with multiple time-varying individual effects. (English) Zbl 1277.62202 J. Econom. 174, No. 1, 1-14 (2013). MSC: 62M10 62F10 65C05 91B84 PDFBibTeX XMLCite \textit{S. C. Ahn} et al., J. Econom. 174, No. 1, 1--14 (2013; Zbl 1277.62202) Full Text: DOI
Koop, Gary; Leon-Gonzalez, Roberto; Strachan, Rodney Bayesian model averaging in the instrumental variable regression model. (English) Zbl 1443.62479 J. Econom. 171, No. 2, 237-250 (2012). MSC: 62P20 62F15 65C05 PDFBibTeX XMLCite \textit{G. Koop} et al., J. Econom. 171, No. 2, 237--250 (2012; Zbl 1443.62479) Full Text: DOI Link Link
Pitt, Michael K.; dos Santos Silva, Ralph; Giordani, Paolo; Kohn, Robert On some properties of Markov chain Monte Carlo simulation methods based on the particle filter. (English) Zbl 1443.62499 J. Econom. 171, No. 2, 134-151 (2012). MSC: 62P20 62F15 62M20 65C05 PDFBibTeX XMLCite \textit{M. K. Pitt} et al., J. Econom. 171, No. 2, 134--151 (2012; Zbl 1443.62499) Full Text: DOI Link
Hoogerheide, Lennart; Opschoor, Anne; van Dijk, Herman K. A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation. (English) Zbl 1443.62465 J. Econom. 171, No. 2, 101-120 (2012). MSC: 62P20 62F15 62M10 65C05 PDFBibTeX XMLCite \textit{L. Hoogerheide} et al., J. Econom. 171, No. 2, 101--120 (2012; Zbl 1443.62465) Full Text: DOI Link Link
Zellner, Arnold; Ando, Tomohiro A direct Monte Carlo approach for Bayesian analysis of the seemingly unrelated regression model. (English) Zbl 1431.62295 J. Econom. 159, No. 1, 33-45 (2010). MSC: 62J05 62-08 62F15 62P20 65C40 PDFBibTeX XMLCite \textit{A. Zellner} and \textit{T. Ando}, J. Econom. 159, No. 1, 33--45 (2010; Zbl 1431.62295) Full Text: DOI
Chib, Siddhartha; Ramamurthy, Srikanth Tailored randomized block MCMC methods with application to DSGE models. (English) Zbl 1431.62603 J. Econom. 155, No. 1, 19-38 (2010). MSC: 62P20 62F15 62M10 65C40 91B51 PDFBibTeX XMLCite \textit{S. Chib} and \textit{S. Ramamurthy}, J. Econom. 155, No. 1, 19--38 (2010; Zbl 1431.62603) Full Text: DOI
Frühwirth-Schnatter, Sylvia; Wagner, Helga Stochastic model specification search for Gaussian and partial non-Gaussian state space models. (English) Zbl 1431.62373 J. Econom. 154, No. 1, 85-100 (2010). MSC: 62M10 62F15 62M20 65C40 62P20 PDFBibTeX XMLCite \textit{S. Frühwirth-Schnatter} and \textit{H. Wagner}, J. Econom. 154, No. 1, 85--100 (2010; Zbl 1431.62373) Full Text: DOI HAL
Koopman, Siem Jan; Shephard, Neil; Creal, Drew Testing the assumptions behind importance sampling. (English) Zbl 1429.62681 J. Econom. 149, No. 1, 2-11 (2009). MSC: 62P20 62G32 62-08 65C05 PDFBibTeX XMLCite \textit{S. J. Koopman} et al., J. Econom. 149, No. 1, 2--11 (2009; Zbl 1429.62681) Full Text: DOI HAL
Richard, Jean-Francois; Zhang, Wei Efficient high-dimensional importance sampling. (English) Zbl 1420.65005 J. Econom. 141, No. 2, 1385-1411 (2007). MSC: 65C05 62P20 PDFBibTeX XMLCite \textit{J.-F. Richard} and \textit{W. Zhang}, J. Econom. 141, No. 2, 1385--1411 (2007; Zbl 1420.65005) Full Text: DOI Link
Hoogerheide, Lennart F.; Kaashoek, Johan F.; van Dijk, Herman K. On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: an application of flexible sampling methods using neural networks. (English) Zbl 1418.62470 J. Econom. 139, No. 1, 154-180 (2007). MSC: 62P20 62F15 65C05 PDFBibTeX XMLCite \textit{L. F. Hoogerheide} et al., J. Econom. 139, No. 1, 154--180 (2007; Zbl 1418.62470) Full Text: DOI Link
Yu, Keming; Stander, Julian Bayesian analysis of a Tobit quantile regression model. (English) Zbl 1360.62484 J. Econom. 137, No. 1, 260-276 (2007). MSC: 62N01 62C10 PDFBibTeX XMLCite \textit{K. Yu} and \textit{J. Stander}, J. Econom. 137, No. 1, 260--276 (2007; Zbl 1360.62484) Full Text: DOI
Chib, Siddhartha; Jacobi, Liana Modeling and calculating the effect of treatment at baseline from panel outcomes. (English) Zbl 1247.62084 J. Econom. 140, No. 2, 781-801 (2007). MSC: 62F15 65C40 65C60 PDFBibTeX XMLCite \textit{S. Chib} and \textit{L. Jacobi}, J. Econom. 140, No. 2, 781--801 (2007; Zbl 1247.62084) Full Text: DOI Link
Omori, Yasuhiro; Chib, Siddhartha; Shephard, Neil; Nakajima, Jouchi Stochastic volatility with leverage: fast and efficient likelihood inference. (English) Zbl 1247.91207 J. Econom. 140, No. 2, 425-449 (2007). MSC: 91G70 PDFBibTeX XMLCite \textit{Y. Omori} et al., J. Econom. 140, No. 2, 425--449 (2007; Zbl 1247.91207) Full Text: DOI
Chib, Siddhartha Analysis of treatment response data without the joint distribution of potential outcomes. (English) Zbl 1247.91132 J. Econom. 140, No. 2, 401-412 (2007). MSC: 91B82 PDFBibTeX XMLCite \textit{S. Chib}, J. Econom. 140, No. 2, 401--412 (2007; Zbl 1247.91132) Full Text: DOI
Dufour, Jean-Marie; Jouini, Tarek Finite-sample simulation-based inference in VAR models with application to Granger causality testing. (English) Zbl 1418.62316 J. Econom. 135, No. 1-2, 229-254 (2006). MSC: 62M10 62G09 62P20 PDFBibTeX XMLCite \textit{J.-M. Dufour} and \textit{T. Jouini}, J. Econom. 135, No. 1--2, 229--254 (2006; Zbl 1418.62316) Full Text: DOI
Chib, Siddhartha; Nardari, Federico; Shephard, Neil Analysis of high dimensional multivariate stochastic volatility models. (English) Zbl 1418.62377 J. Econom. 134, No. 2, 341-371 (2006). MSC: 62P05 62F15 91B84 62M10 62M20 91G70 PDFBibTeX XMLCite \textit{S. Chib} et al., J. Econom. 134, No. 2, 341--371 (2006; Zbl 1418.62377) Full Text: DOI
Detemple, Jérôme; Garcia, René; Rindisbacher, Marcel Asymptotic properties of Monte Carlo estimators of diffusion processes. (English) Zbl 1418.62287 J. Econom. 134, No. 1, 1-68 (2006). MSC: 62M05 62F12 60H10 60J60 65C05 PDFBibTeX XMLCite \textit{J. Detemple} et al., J. Econom. 134, No. 1, 1--68 (2006; Zbl 1418.62287) Full Text: DOI Link
Luger, Richard Exact permutation tests for non-nested non-linear regression models. (English) Zbl 1345.62095 J. Econom. 133, No. 2, 513-529 (2006). MSC: 62J02 62G09 62P20 91B64 PDFBibTeX XMLCite \textit{R. Luger}, J. Econom. 133, No. 2, 513--529 (2006; Zbl 1345.62095) Full Text: DOI
Jouneau-Sion, Frédéric; Torrès, Olivier MMC techniques for limited dependent variables models: implementation by the branch-and-bound algorithm. (English) Zbl 1345.62039 J. Econom. 133, No. 2, 479-512 (2006). MSC: 62F03 65C05 65K05 PDFBibTeX XMLCite \textit{F. Jouneau-Sion} and \textit{O. Torrès}, J. Econom. 133, No. 2, 479--512 (2006; Zbl 1345.62039) Full Text: DOI
Dufour, Jean-Marie Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and nonstandard asymptotics. (English) Zbl 1345.62037 J. Econom. 133, No. 2, 443-477 (2006). MSC: 62F03 65C05 PDFBibTeX XMLCite \textit{J.-M. Dufour}, J. Econom. 133, No. 2, 443--477 (2006; Zbl 1345.62037) Full Text: DOI Link
Durham, Garland B. Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models. (English) Zbl 1344.91016 J. Econom. 133, No. 1, 273-305 (2006). MSC: 91G60 62P05 91B70 91G70 PDFBibTeX XMLCite \textit{G. B. Durham}, J. Econom. 133, No. 1, 273--305 (2006; Zbl 1344.91016) Full Text: DOI Link
Gagliardini, Patrick; Trojani, Fabio; Urga, Giovanni Robust GMM tests for structural breaks. (English) Zbl 1336.62057 J. Econom. 129, No. 1-2, 139-182 (2005). MSC: 62F03 62F35 62F10 62F40 PDFBibTeX XMLCite \textit{P. Gagliardini} et al., J. Econom. 129, No. 1--2, 139--182 (2005; Zbl 1336.62057) Full Text: DOI Link
Yu, Jun On leverage in a stochastic volatility model. (English) Zbl 1335.91116 J. Econom. 127, No. 2, 165-178 (2005). MSC: 91G70 91B70 PDFBibTeX XMLCite \textit{J. Yu}, J. Econom. 127, No. 2, 165--178 (2005; Zbl 1335.91116) Full Text: DOI Link
O’Donnell, Christopher J.; Coelli, Timothy J. A Bayesian approach to imposing curvature on distance functions. (English) Zbl 1334.62222 J. Econom. 126, No. 2, 493-523 (2005). MSC: 62P20 91B82 62F15 PDFBibTeX XMLCite \textit{C. J. O'Donnell} and \textit{T. J. Coelli}, J. Econom. 126, No. 2, 493--523 (2005; Zbl 1334.62222) Full Text: DOI
Kumbhakar, Subal C.; Tsionas, Efthymios G. Measuring technical and allocative inefficiency in the translog cost system: a Bayesian approach. (English) Zbl 1334.62221 J. Econom. 126, No. 2, 355-384 (2005). MSC: 62P20 91B82 62F15 PDFBibTeX XMLCite \textit{S. C. Kumbhakar} and \textit{E. G. Tsionas}, J. Econom. 126, No. 2, 355--384 (2005; Zbl 1334.62221) Full Text: DOI
Greene, William Reconsidering heterogeneity in panel data estimators of the stochastic frontier model. (English) Zbl 1334.62214 J. Econom. 126, No. 2, 269-303 (2005). MSC: 62P20 91B82 62J02 PDFBibTeX XMLCite \textit{W. Greene}, J. Econom. 126, No. 2, 269--303 (2005; Zbl 1334.62214) Full Text: DOI
Imai, Kosuke; van Dyk, David A. A Bayesian analysis of the multinomial probit model using marginal data augmentation. (English) Zbl 1335.62049 J. Econom. 124, No. 2, 311-334 (2005). MSC: 62F15 65C05 PDFBibTeX XMLCite \textit{K. Imai} and \textit{D. A. van Dyk}, J. Econom. 124, No. 2, 311--334 (2005; Zbl 1335.62049) Full Text: DOI
Canova, Fabio; Ciccarelli, Matteo Forecasting and turning point predictions in a Bayesian panel VAR model. (English) Zbl 1282.62211 J. Econom. 120, No. 2, 327-359 (2004). MSC: 62M20 62P05 62P20 91B84 PDFBibTeX XMLCite \textit{F. Canova} and \textit{M. Ciccarelli}, J. Econom. 120, No. 2, 327--359 (2004; Zbl 1282.62211) Full Text: DOI
Strachan, Rodney W.; Inder, Brett Bayesian analysis of the error correction model. (English) Zbl 1085.62034 J. Econom. 123, No. 2, 307-325 (2004). MSC: 62F15 65C05 62M10 62P20 PDFBibTeX XMLCite \textit{R. W. Strachan} and \textit{B. Inder}, J. Econom. 123, No. 2, 307--325 (2004; Zbl 1085.62034) Full Text: DOI
Bauwens, Luc; Bos, Charles S.; van Dijk, Herman K.; van Oest, Rutger D. Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods. (English) Zbl 1085.62028 J. Econom. 123, No. 2, 201-225 (2004). MSC: 62F15 65C60 62P20 65C40 PDFBibTeX XMLCite \textit{L. Bauwens} et al., J. Econom. 123, No. 2, 201--225 (2004; Zbl 1085.62028) Full Text: DOI Link
Park, Byeong U.; Sickles, Robin C.; Simar, Léopold Semiparametric-efficient estimation of AR(1) panel data models. (English) Zbl 1138.62346 J. Econom. 117, No. 2, 279-309 (2003); corrigendum ibid. 117, No. 2, 311 (2003). MSC: 62P05 62M10 62G05 65C05 PDFBibTeX XMLCite \textit{B. U. Park} et al., J. Econom. 117, No. 2, 279--309 (2003; Zbl 1138.62346) Full Text: DOI
Baltagi, Badi H.; Song, Seuck Heun; Koh, Won Testing panel data regression models with spatial error correlation. (English) Zbl 1134.62390 J. Econom. 117, No. 1, 123-150 (2003). MSC: 62P20 62H15 65C05 PDFBibTeX XMLCite \textit{B. H. Baltagi} et al., J. Econom. 117, No. 1, 123--150 (2003; Zbl 1134.62390) Full Text: DOI
Bandi, Federico M.; Nguyen, Thong H. On the functional estimation of jump-diffusion models. (English) Zbl 1038.62071 J. Econom. 116, No. 1-2, 293-328 (2003). MSC: 62M05 62P05 62G20 65C05 PDFBibTeX XMLCite \textit{F. M. Bandi} and \textit{T. H. Nguyen}, J. Econom. 116, No. 1--2, 293--328 (2003; Zbl 1038.62071) Full Text: DOI
Bondarenko, Oleg Estimation of risk-neutral densities using positive convolution approximation. (English) Zbl 1016.62120 J. Econom. 116, No. 1-2, 85-112 (2003). MSC: 62P05 62G07 65C05 PDFBibTeX XMLCite \textit{O. Bondarenko}, J. Econom. 116, No. 1--2, 85--112 (2003; Zbl 1016.62120) Full Text: DOI
Chernozhukov, Victor; Hong, Han An MCMC approach to classical estimation. (English) Zbl 1043.62022 J. Econom. 115, No. 2, 293-346 (2003). MSC: 62G05 65C40 65C60 62F12 62P20 PDFBibTeX XMLCite \textit{V. Chernozhukov} and \textit{H. Hong}, J. Econom. 115, No. 2, 293--346 (2003; Zbl 1043.62022) Full Text: DOI
Davidson, Russell; MacKinnon, James G. Bootstrap \(J\) tests of nonnested linear regression models. (English) Zbl 1016.62082 J. Econom. 109, No. 1, 167-193 (2002). MSC: 62J05 62H15 62H10 65C05 62F40 62G09 PDFBibTeX XMLCite \textit{R. Davidson} and \textit{J. G. MacKinnon}, J. Econom. 109, No. 1, 167--193 (2002; Zbl 1016.62082) Full Text: DOI
Biewen, Martin Bootstrap inference for inequality, mobility and poverty measurement. (English) Zbl 1020.62118 J. Econom. 108, No. 2, 317-342 (2002). MSC: 62P20 62G09 91B82 65C05 PDFBibTeX XMLCite \textit{M. Biewen}, J. Econom. 108, No. 2, 317--342 (2002; Zbl 1020.62118) Full Text: DOI
Chib, Siddhartha; Nardari, Federico; Shephard, Neil Markov chain Monte Carlo methods for stochastic volatility models. (English) Zbl 1099.62539 J. Econom. 108, No. 2, 281-316 (2002). MSC: 62P05 65C40 PDFBibTeX XMLCite \textit{S. Chib} et al., J. Econom. 108, No. 2, 281--316 (2002; Zbl 1099.62539) Full Text: DOI
Boswijk, H. Peter; Lucas, André Semi-nonparametric cointegration testing. (English) Zbl 1020.62036 J. Econom. 108, No. 2, 253-280 (2002). MSC: 62G10 62M10 62E20 65C05 PDFBibTeX XMLCite \textit{H. P. Boswijk} and \textit{A. Lucas}, J. Econom. 108, No. 2, 253--280 (2002; Zbl 1020.62036) Full Text: DOI
Corradi, Valentina; Swanson, Norman R. A consistent test for nonlinear out of sample predictive accuracy. (English) Zbl 1044.62118 J. Econom. 110, No. 2, 353-381 (2002). MSC: 62P20 62E20 65C05 PDFBibTeX XMLCite \textit{V. Corradi} and \textit{N. R. Swanson}, J. Econom. 110, No. 2, 353--381 (2002; Zbl 1044.62118) Full Text: DOI
Hansen, Bruce E.; Seo, Byeongseon Testing for two-regime threshold cointegration in vector error-correction models. (English) Zbl 1044.62092 J. Econom. 110, No. 2, 293-318 (2002). MSC: 62M10 62P05 65C05 62E20 62P20 PDFBibTeX XMLCite \textit{B. E. Hansen} and \textit{B. Seo}, J. Econom. 110, No. 2, 293--318 (2002; Zbl 1044.62092) Full Text: DOI
Coppejans, Mark; Gallant, A. Ronald Cross-validated SNP density estimates. (English) Zbl 1030.62028 J. Econom. 110, No. 1, 27-65 (2002). MSC: 62G07 62G20 62P05 65C05 PDFBibTeX XMLCite \textit{M. Coppejans} and \textit{A. R. Gallant}, J. Econom. 110, No. 1, 27--65 (2002; Zbl 1030.62028) Full Text: DOI
Vahid, Farshid; Issler, João Victor The importance of common cyclical features in VAR analysis: A Monte-Carlo study. (English) Zbl 1043.62111 J. Econom. 109, No. 2, 341-363 (2002). MSC: 62P20 65C05 62M20 62M10 PDFBibTeX XMLCite \textit{F. Vahid} and \textit{J. V. Issler}, J. Econom. 109, No. 2, 341--363 (2002; Zbl 1043.62111) Full Text: DOI
Gregory, Allan W.; Lamarche, Jean-François; Smith, Gregor W. Information-theoretic estimation of preference parameters: macroeconomic applications and simulation evidence. (English) Zbl 1030.62089 J. Econom. 107, No. 1-2, 213-233 (2002). MSC: 62P20 65C05 62B10 91B64 PDFBibTeX XMLCite \textit{A. W. Gregory} et al., J. Econom. 107, No. 1--2, 213--233 (2002; Zbl 1030.62089) Full Text: DOI
Ramalho, Joaquim J. S.; Smith, Richard J. Generalized empirical likelihood non-nested tests. (English) Zbl 1030.62036 J. Econom. 107, No. 1-2, 99-125 (2002). MSC: 62G10 62G20 65C05 62F05 62G05 62F10 PDFBibTeX XMLCite \textit{J. J. S. Ramalho} and \textit{R. J. Smith}, J. Econom. 107, No. 1--2, 99--125 (2002; Zbl 1030.62036) Full Text: DOI
Grammig, Joachim; Wellner, Marc Modeling the interdependence of volatility and inter-transaction duration processes. (English) Zbl 1040.62094 J. Econom. 106, No. 2, 369-400 (2002). MSC: 62P05 62M10 65C05 PDFBibTeX XMLCite \textit{J. Grammig} and \textit{M. Wellner}, J. Econom. 106, No. 2, 369--400 (2002; Zbl 1040.62094) Full Text: DOI
Ramalho, Esmeralda A. Regression models for choice-based samples with misclassification in the response variable. (English) Zbl 1043.62109 J. Econom. 106, No. 1, 171-201 (2002). MSC: 62P20 65C05 PDFBibTeX XMLCite \textit{E. A. Ramalho}, J. Econom. 106, No. 1, 171--201 (2002; Zbl 1043.62109) Full Text: DOI
Davis, Peter Estimating multi-way error components models with unbalanced data structures. (English) Zbl 1044.62119 J. Econom. 106, No. 1, 67-95 (2002). MSC: 62P20 65C05 62H12 62J05 PDFBibTeX XMLCite \textit{P. Davis}, J. Econom. 106, No. 1, 67--95 (2002; Zbl 1044.62119) Full Text: DOI
Francq, C.; Zakoïan, J.-M. Stationarity of multivariate Markov-switching ARMA models. (English) Zbl 0998.62076 J. Econom. 102, No. 2, 339-364 (2001). MSC: 62M10 65C05 62M05 PDFBibTeX XMLCite \textit{C. Francq} and \textit{J. M. Zakoïan}, J. Econom. 102, No. 2, 339--364 (2001; Zbl 0998.62076) Full Text: DOI
Andrews, Donald W. K.; Buchinsky, Moshe Evaluation of a three-step method for choosing the number of bootstrap repetitions. (English) Zbl 1025.62019 J. Econom. 103, No. 1-2, 345-386 (2001). MSC: 62G09 65C05 62P20 PDFBibTeX XMLCite \textit{D. W. K. Andrews} and \textit{M. Buchinsky}, J. Econom. 103, No. 1--2, 345--386 (2001; Zbl 1025.62019) Full Text: DOI
Sakata, Shinichi; White, Halbert \(S\)-estimation of nonlinear regression models with dependent and heterogeneous observations. (English) Zbl 0998.62060 J. Econom. 103, No. 1-2, 5-72 (2001). MSC: 62J02 62M10 65C05 62F35 62P20 PDFBibTeX XMLCite \textit{S. Sakata} and \textit{H. White}, J. Econom. 103, No. 1--2, 5--72 (2001; Zbl 0998.62060) Full Text: DOI
Deo, Rohit S. Spectral tests of the martingale hypothesis under conditional heteroscedasticity. (English) Zbl 1075.62624 J. Econom. 99, No. 2, 291-315 (2000). MSC: 62M15 62E20 62G10 65C05 62P20 PDFBibTeX XMLCite \textit{R. S. Deo}, J. Econom. 99, No. 2, 291--315 (2000; Zbl 1075.62624) Full Text: DOI
Smith, Michael; Kohn, Robert Nonparametric seemingly unrelated regression. (English) Zbl 0957.62033 J. Econom. 98, No. 2, 257-281 (2000). MSC: 62G08 62F15 65C40 PDFBibTeX XMLCite \textit{M. Smith} and \textit{R. Kohn}, J. Econom. 98, No. 2, 257--281 (2000; Zbl 0957.62033) Full Text: DOI
Deschamps, Philippe J. Exact small-sample inference in stationary, fully regular, dynamic demand models. (English) Zbl 0998.62098 J. Econom. 97, No. 1, 51-91 (2000). MSC: 62P20 62M10 91B42 65C40 PDFBibTeX XMLCite \textit{P. J. Deschamps}, J. Econom. 97, No. 1, 51--91 (2000; Zbl 0998.62098) Full Text: DOI
Geweke, John; Keane, Michael An empirical analysis of earnings dynamics among men in the PSID: 1968–1989. (English) Zbl 0956.62120 J. Econom. 96, No. 2, 293-356 (2000). MSC: 62P20 91B82 PDFBibTeX XMLCite \textit{J. Geweke} and \textit{M. Keane}, J. Econom. 96, No. 2, 293--356 (2000; Zbl 0956.62120) Full Text: DOI
Michaelidis, Alexander; Ng, Serena Estimating the rational expectations model of speculative storage: a Monte Carlo comparison of three simulation estimators. (English) Zbl 1122.62386 J. Econom. 96, No. 2, 231-266 (2000). MSC: 62P20 65C05 PDFBibTeX XMLCite \textit{A. Michaelidis} and \textit{S. Ng}, J. Econom. 96, No. 2, 231--266 (2000; Zbl 1122.62386) Full Text: DOI
Delgado, Miguel A.; Hidalgo, Javier Nonparametric inference on structural breaks. (English) Zbl 0968.62041 J. Econom. 96, No. 1, 113-144 (2000). MSC: 62G08 62P20 65C05 PDFBibTeX XMLCite \textit{M. A. Delgado} and \textit{J. Hidalgo}, J. Econom. 96, No. 1, 113--144 (2000; Zbl 0968.62041) Full Text: DOI
Corradi, Valentina; Swanson, Norman R.; White, Halbert Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes. (English) Zbl 1054.62577 J. Econom. 96, No. 1, 39-73 (2000). MSC: 62M05 62M10 65C05 PDFBibTeX XMLCite \textit{V. Corradi} et al., J. Econom. 96, No. 1, 39--73 (2000; Zbl 1054.62577) Full Text: DOI
Nakatsuma, Teruo Bayesian analysis of ARMA-GARCH models: a Markov chain sampling approach. (English) Zbl 0970.62014 J. Econom. 95, No. 1, 57-69 (2000). MSC: 62F15 65C40 62M10 62P20 PDFBibTeX XMLCite \textit{T. Nakatsuma}, J. Econom. 95, No. 1, 57--69 (2000; Zbl 0970.62014) Full Text: DOI
Martin, Vance L.; Wilkins, Nigel P. Indirect estimation of ARFIMA and VARFIMA models. (English) Zbl 0942.62106 J. Econom. 93, No. 1, 149-175 (1999). MSC: 62M10 62P20 65C05 PDFBibTeX XMLCite \textit{V. L. Martin} and \textit{N. P. Wilkins}, J. Econom. 93, No. 1, 149--175 (1999; Zbl 0942.62106) Full Text: DOI
Michelis, Leo The distributions of the \(J\) and Cox non-nested tests in regression models with weakly correlated regressors. (English) Zbl 0943.62067 J. Econom. 93, No. 2, 369-401 (1999). MSC: 62J05 62E20 65C05 PDFBibTeX XMLCite \textit{L. Michelis}, J. Econom. 93, No. 2, 369--401 (1999; Zbl 0943.62067) Full Text: DOI
Lumsdaine, Robin L.; Ng, Serena Testing for ARCH in the presence of a possibly misspecified conditional mean. (English) Zbl 0943.62118 J. Econom. 93, No. 2, 257-279 (1999). MSC: 62P20 62M10 65C05 PDFBibTeX XMLCite \textit{R. L. Lumsdaine} and \textit{S. Ng}, J. Econom. 93, No. 2, 257--279 (1999; Zbl 0943.62118) Full Text: DOI
Lee, Lung-fei Estimation of dynamic and ARCH Tobit models. (English) Zbl 0951.62095 J. Econom. 92, No. 2, 355-390 (1999). MSC: 62P20 62M10 65C05 PDFBibTeX XMLCite \textit{L.-f. Lee}, J. Econom. 92, No. 2, 355--390 (1999; Zbl 0951.62095) Full Text: DOI
Skeels, Christopher L.; Vella, Francis A Monte Carlo investigation of the sampling behavior of conditional moment tests in Tobit and probit models. (English) Zbl 0945.62125 J. Econom. 92, No. 2, 275-294 (1999). MSC: 62P20 65C05 PDFBibTeX XMLCite \textit{C. L. Skeels} and \textit{F. Vella}, J. Econom. 92, No. 2, 275--294 (1999; Zbl 0945.62125) Full Text: DOI
Mroz, Thomas A. Discrete factor approximations in simultaneous equation models: Estimating the impact of a dummy endogenous variable on a continuous outcome. (English) Zbl 0951.62096 J. Econom. 92, No. 2, 233-274 (1999). MSC: 62P20 62P25 65C05 PDFBibTeX XMLCite \textit{T. A. Mroz}, J. Econom. 92, No. 2, 233--274 (1999; Zbl 0951.62096) Full Text: DOI
Snell, Andy Testing for \(r\) versus \(r-1\) cointegrating vectors. (English) Zbl 1070.62517 J. Econom. 88, No. 1, 151-191 (1999). MSC: 62M10 62F03 62H25 65C05 PDFBibTeX XMLCite \textit{A. Snell}, J. Econom. 88, No. 1, 151--191 (1999; Zbl 1070.62517) Full Text: DOI
Tsionas, Efthymios G. Monte Carlo inference in econometric models with symmetric stable disturbances. (English) Zbl 0947.62078 J. Econom. 88, No. 2, 365-401 (1999). Reviewer: Victoria N.Parkhomenko (Kyïv) MSC: 62P20 65C40 62F15 PDFBibTeX XMLCite \textit{E. G. Tsionas}, J. Econom. 88, No. 2, 365--401 (1999; Zbl 0947.62078) Full Text: DOI
Koop, Gary; Potter, Simon M. Bayes factors and nonlinearity: Evidence from economic time series. (English) Zbl 0937.62124 J. Econom. 88, No. 2, 251-281 (1999). MSC: 62P20 91B84 65C40 PDFBibTeX XMLCite \textit{G. Koop} and \textit{S. M. Potter}, J. Econom. 88, No. 2, 251--281 (1999; Zbl 0937.62124) Full Text: DOI
Andersen, Torben G.; Chung, Hyung-Jin; Sørensen, Bent E. Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study. (English) Zbl 0937.62105 J. Econom. 91, No. 1, 61-87 (1999). MSC: 62P05 65C05 62P20 PDFBibTeX XMLCite \textit{T. G. Andersen} et al., J. Econom. 91, No. 1, 61--87 (1999; Zbl 0937.62105) Full Text: DOI
Zha, Tao Block recursion and structural vector autoregressions. (English) Zbl 1041.62519 J. Econom. 90, No. 2, 291-316 (1999). MSC: 62M10 65C05 62F15 62P20 PDFBibTeX XMLCite \textit{T. Zha}, J. Econom. 90, No. 2, 291--316 (1999; Zbl 1041.62519) Full Text: DOI
Li, Qi; Wang, Suojin A simple consistent bootstrap test for a parametric regression function. (English) Zbl 0943.62031 J. Econom. 87, No. 1, 145-165 (1998). MSC: 62F40 62F03 62E20 62J02 65C05 PDFBibTeX XMLCite \textit{Q. Li} and \textit{S. Wang}, J. Econom. 87, No. 1, 145--165 (1998; Zbl 0943.62031) Full Text: DOI
Breslaw, Jon A.; McIntosh, James Simulated latent variable estimation of models with ordered categorical data. (English) Zbl 0944.62062 J. Econom. 87, No. 1, 25-47 (1998). MSC: 62J05 62P20 65C05 PDFBibTeX XMLCite \textit{J. A. Breslaw} and \textit{J. McIntosh}, J. Econom. 87, No. 1, 25--47 (1998; Zbl 0944.62062) Full Text: DOI
Kuo, Biing-Shen Test for partial parameter instability in regressions with \(I(1)\) processes. (English) Zbl 0942.62104 J. Econom. 86, No. 2, 337-368 (1998). MSC: 62M10 62E20 65C05 PDFBibTeX XMLCite \textit{B.-S. Kuo}, J. Econom. 86, No. 2, 337--368 (1998; Zbl 0942.62104) Full Text: DOI
Chib, Siddhartha Estimation and comparison of multiple change-point models. (English) Zbl 1045.62510 J. Econom. 86, No. 2, 221-241 (1998). MSC: 62F15 62M10 60J20 65C40 PDFBibTeX XMLCite \textit{S. Chib}, J. Econom. 86, No. 2, 221--241 (1998; Zbl 1045.62510) Full Text: DOI
Bertschek, Irene; Lechner, Michael Convenient estimators for the panel probit model. (English) Zbl 0944.62115 J. Econom. 87, No. 2, 329-371 (1998). MSC: 62P20 65C05 62G05 PDFBibTeX XMLCite \textit{I. Bertschek} and \textit{M. Lechner}, J. Econom. 87, No. 2, 329--371 (1998; Zbl 0944.62115) Full Text: DOI
Sandmann, Gleb; Koopman, Siem Jan Estimation of stochastic volatility models via Monte Carlo maximum likelihood. (English) Zbl 0937.62110 J. Econom. 87, No. 2, 271-301 (1998). MSC: 62P05 65C05 62P20 PDFBibTeX XMLCite \textit{G. Sandmann} and \textit{S. J. Koopman}, J. Econom. 87, No. 2, 271--301 (1998; Zbl 0937.62110) Full Text: DOI
Demos, Antonis; Sentana, Enrique Testing for GARCH effects: A one-sided approach. (English) Zbl 0962.62083 J. Econom. 86, No. 1, 97-127 (1998). MSC: 62M10 62M07 62P20 65C05 PDFBibTeX XMLCite \textit{A. Demos} and \textit{E. Sentana}, J. Econom. 86, No. 1, 97--127 (1998; Zbl 0962.62083) Full Text: DOI
Li, Yikang Low-pass filtered least squares estimators of cointegrating vectors. (English) Zbl 0961.62083 J. Econom. 85, No. 2, 289-316 (1998). MSC: 62M20 65C05 62P20 PDFBibTeX XMLCite \textit{Y. Li}, J. Econom. 85, No. 2, 289--316 (1998; Zbl 0961.62083) Full Text: DOI
Tanizaki, Hisashi; Mariano, Roberto S. Nonlinear and non-Gaussian state-space modeling with Monte Carlo simulations. (English) Zbl 0905.62094 J. Econom. 83, No. 1-2, 263-290 (1998). Reviewer: N.Curteanu (Iaşi) MSC: 62M20 65D30 62P20 65C05 93E11 PDFBibTeX XMLCite \textit{H. Tanizaki} and \textit{R. S. Mariano}, J. Econom. 83, No. 1--2, 263--290 (1998; Zbl 0905.62094) Full Text: DOI
Atkinson, A. C.; Koopman, S. J.; Shephard, N. Detecting shocks: Outliers and breaks in time series. (English) Zbl 0921.62137 J. Econom. 80, No. 2, 387-422 (1997). MSC: 62P20 91B84 PDFBibTeX XMLCite \textit{A. C. Atkinson} et al., J. Econom. 80, No. 2, 387--422 (1997; Zbl 0921.62137) Full Text: DOI
Vijverberg, Wim P. M. Monte-Carlo evaluation of multivariate normal probabilities. (English) Zbl 0880.62016 J. Econom. 76, No. 1-2, 281-307 (1997). MSC: 65C05 62P20 PDFBibTeX XMLCite \textit{W. P. M. Vijverberg}, J. Econom. 76, No. 1--2, 281--307 (1997; Zbl 0880.62016) Full Text: DOI
Liu, Chuanhai; Rubin, Donald B. Markov-normal analysis of iterative simulations before their convergence. (English) Zbl 0866.62079 J. Econom. 75, No. 1, 69-78 (1996). MSC: 62P20 65C05 PDFBibTeX XMLCite \textit{C. Liu} and \textit{D. B. Rubin}, J. Econom. 75, No. 1, 69--78 (1996; Zbl 0866.62079) Full Text: DOI
Leung, Siu Fai; Yu, Shihti On the choice between sample selection and two-part models. (English) Zbl 0881.62132 J. Econom. 72, No. 1-2, 197-229 (1996). MSC: 62P20 65C05 PDFBibTeX XMLCite \textit{S. F. Leung} and \textit{S. Yu}, J. Econom. 72, No. 1--2, 197--229 (1996; Zbl 0881.62132) Full Text: DOI
Hajivassiliou, Vassilis; McFadden, Daniel; Ruud, Paul Simulation of multivariate normal rectangle probabilities and their derivatives. Theoretical and computational results. (English) Zbl 0849.62064 J. Econom. 72, No. 1-2, 85-134 (1996). MSC: 62P20 65C99 65C05 65D30 PDFBibTeX XMLCite \textit{V. Hajivassiliou} et al., J. Econom. 72, No. 1--2, 85--134 (1996; Zbl 0849.62064) Full Text: DOI
Campos, Julia; Ericsson, Neil R.; Hendry, David F. Cointegration tests in the presence of structural breaks. (English) Zbl 0834.62083 J. Econom. 70, No. 1, 187-220 (1996). MSC: 62M10 62P20 65C05 PDFBibTeX XMLCite \textit{J. Campos} et al., J. Econom. 70, No. 1, 187--220 (1996; Zbl 0834.62083) Full Text: DOI Link