메뉴 건너뛰기




Volumn 12, Issue 2, 1997, Pages 99-132

Numerical methods for estimation and inference in Bayesian VAR-models

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0039646598     PISSN: 08837252     EISSN: None     Source Type: Journal    
DOI: 10.1002/(SICI)1099-1255(199703)12:2<99::AID-JAE429>3.0.CO;2-A     Document Type: Article
Times cited : (372)

References (30)
  • 4
    • 84945763545 scopus 로고
    • Forecasting and conditional projection using realistic prior distributions
    • with discussion
    • Doan, T., R. Litterman and C. Sims (1984), 'Forecasting and conditional projection using realistic prior distributions', with discussion, Econometric Reviews, 3, 1-144.
    • (1984) Econometric Reviews , vol.3 , pp. 1-144
    • Doan, T.1    Litterman, R.2    Sims, C.3
  • 5
    • 0040790803 scopus 로고
    • A numerical Bayesian test for cointegration of AR processes
    • Dorfman, J. H. (1995), 'A numerical Bayesian test for cointegration of AR processes', Journal of Econometrics, 66, 289-324.
    • (1995) Journal of Econometrics , vol.66 , pp. 289-324
    • Dorfman, J.H.1
  • 6
    • 0039321048 scopus 로고
    • Bayesian regression analysis using poly-t densities
    • Drèze, J. H. (1977), 'Bayesian regression analysis using poly-t densities', Journal of Econometrics, 6, 329-54.
    • (1977) Journal of Econometrics , vol.6 , pp. 329-354
    • Drèze, J.H.1
  • 7
    • 84865903984 scopus 로고
    • Bayesian full information analysis of simultaneous equations
    • Drèze, J. H. and J.-A. Morales (1976), 'Bayesian full information analysis of simultaneous equations', Journal of the American Statistical Association, 71, 919-23. Reprinted in A. Zellner (ed.), Bayesian Analysis in Econometrics and Statistics, North-Holland, Amsterdam, 1980.
    • (1976) Journal of the American Statistical Association , vol.71 , pp. 919-923
    • Drèze, J.H.1    Morales, J.-A.2
  • 8
    • 84865903984 scopus 로고
    • North-Holland, Amsterdam
    • Drèze, J. H. and J.-A. Morales (1976), 'Bayesian full information analysis of simultaneous equations', Journal of the American Statistical Association, 71, 919-23. Reprinted in A. Zellner (ed.), Bayesian Analysis in Econometrics and Statistics, North-Holland, Amsterdam, 1980.
    • (1980) Bayesian Analysis in Econometrics and Statistics
    • Zellner, A.1
  • 9
    • 70350091109 scopus 로고
    • Bayesian analysis of simultaneous equation systems
    • Z. Griliches and M. D. Intrilligator (eds), North-Holland, Amsterdam
    • Drèze, J. H. and J.-F. Richard (1983), 'Bayesian analysis of simultaneous equation systems', in Z. Griliches and M. D. Intrilligator (eds), Handbook of Econometrics, vol I, North-Holland, Amsterdam.
    • (1983) Handbook of Econometrics , vol.1
    • Drèze, J.H.1    Richard, J.-F.2
  • 10
    • 38249001963 scopus 로고
    • Forecasting the Swedish unemployment rate. VAR vs. transfer function modelling
    • Edlund, P.-O. and S. Karlsson (1993), 'Forecasting the Swedish unemployment rate. VAR vs. transfer function modelling', International Journal of Forecasting, 9, 61-76.
    • (1993) International Journal of Forecasting , vol.9 , pp. 61-76
    • Edlund, P.-O.1    Karlsson, S.2
  • 11
    • 0039012379 scopus 로고
    • Bayesian estimation in multivariate analysis
    • Geisser, S. (1965), 'Bayesian estimation in multivariate analysis', Annals of Mathematical Statistics, 36, 150-9.
    • (1965) Annals of Mathematical Statistics , vol.36 , pp. 150-159
    • Geisser, S.1
  • 14
    • 38249030777 scopus 로고
    • Antithetic acceleration of Monte Carlo integration in Bayesian inference
    • Geweke, J. (1988), 'Antithetic acceleration of Monte Carlo integration in Bayesian inference', Journal of Econometrics, 38, 73-89.
    • (1988) Journal of Econometrics , vol.38 , pp. 73-89
    • Geweke, J.1
  • 15
    • 0001667705 scopus 로고
    • Bayesian inference in econometric models using Monte Carlo integration
    • Geweke, J. (1989), 'Bayesian inference in econometric models using Monte Carlo integration', Econometrica, 58, 1317-39.
    • (1989) Econometrica , vol.58 , pp. 1317-1339
    • Geweke, J.1
  • 16
    • 84986088295 scopus 로고
    • Bayesian treatment of the independent Student-t linear model
    • Geweke, J. (1993), 'Bayesian treatment of the independent Student-t linear model', Journal of Applied Econometrics, 8, S19-40.
    • (1993) Journal of Applied Econometrics , vol.8
    • Geweke, J.1
  • 17
    • 0037936076 scopus 로고
    • Monte Carlo simulation and numerical integration
    • H. Amman, D. Kendrick and J. Rust (eds), North-Holland, Amsterdam
    • Geweke, J. (1995), 'Monte Carlo simulation and numerical integration', in H. Amman, D. Kendrick and J. Rust (eds), Handbook of Computational Economics, North-Holland, Amsterdam.
    • (1995) Handbook of Computational Economics
    • Geweke, J.1
  • 18
    • 70350225597 scopus 로고
    • Classical estimation methods for LDV models using simulation
    • R. F. Engle and D. L. McFadden (eds), Elsevier Science BV, Amsterdam
    • Hajivassiliou, H. V. and P. A. Ruud (1994), 'Classical estimation methods for LDV models using simulation', in R. F. Engle and D. L. McFadden (eds), Handbook of Econometrics, Volume IV, Elsevier Science BV, Amsterdam.
    • (1994) Handbook of Econometrics , vol.4
    • Hajivassiliou, H.V.1    Ruud, P.A.2
  • 19
    • 0040793209 scopus 로고
    • Forecasting with generalized Bayesian vector autoregressions
    • Kadiyala, K. R. and S. Karlsson (1993), 'Forecasting with generalized Bayesian vector autoregressions', Journal of Forecasting, 12, 365-78.
    • (1993) Journal of Forecasting , vol.12 , pp. 365-378
    • Kadiyala, K.R.1    Karlsson, S.2
  • 21
    • 84974196366 scopus 로고
    • On the shape of the likelihood/posterior in cointegration models
    • Kleibergen, F. and H. K. Van Dijk (1994), 'On the shape of the likelihood/posterior in cointegration models', Econometric Theory, 10, 514-51.
    • (1994) Econometric Theory , vol.10 , pp. 514-551
    • Kleibergen, F.1    Van Dijk, H.K.2
  • 22
    • 0002662247 scopus 로고
    • Bayesian estimates of equation system parameters: An application of integration by Monte Carlo
    • Kloek, T. and H. van Dijk (1978), 'Bayesian estimates of equation system parameters: an application of integration by Monte Carlo', Econometrica, 46, 1-19. Reprinted in A. Zellner (ed.), Bayesian Analysis in Econometrics and Statistics, North-Holland, Amsterdam, 1980.
    • (1978) Econometrica , vol.46 , pp. 1-19
    • Kloek, T.1    Van Dijk, H.2
  • 23
    • 0003406852 scopus 로고
    • North-Holland, Amsterdam
    • Kloek, T. and H. van Dijk (1978), 'Bayesian estimates of equation system parameters: an application of integration by Monte Carlo', Econometrica, 46, 1-19. Reprinted in A. Zellner (ed.), Bayesian Analysis in Econometrics and Statistics, North-Holland, Amsterdam, 1980.
    • (1980) Bayesian Analysis in Econometrics and Statistics
    • Zellner, A.1
  • 24
    • 0040196340 scopus 로고
    • Cointegration tests in present value relationships: A Bayesian look at the bivariate properties of stock prices and dividends
    • Koop, G. (1991), 'Cointegration tests in present value relationships: a Bayesian look at the bivariate properties of stock prices and dividends', Journal of Econometrics, 49, 105-39.
    • (1991) Journal of Econometrics , vol.49 , pp. 105-139
    • Koop, G.1
  • 25
    • 84986414623 scopus 로고
    • Aggregate shocks and macroeconomic fluctuations: A Bayesian approach
    • Koop, G. (1992), 'Aggregate shocks and macroeconomic fluctuations: a Bayesian approach', Journal of Applied Econometrics, 7, 395-411.
    • (1992) Journal of Applied Econometrics , vol.7 , pp. 395-411
    • Koop, G.1
  • 27
    • 84952504842 scopus 로고
    • Forecasting with Bayesian vector autoregressions - Five years of experience
    • Litterman, R. B. (1986), 'Forecasting with Bayesian vector autoregressions - five years of experience', Journal of Business & Economic Statistics, 4, 25-38.
    • (1986) Journal of Business & Economic Statistics , vol.4 , pp. 25-38
    • Litterman, R.B.1
  • 28
    • 0039012375 scopus 로고
    • On the evaluation of poly t densities
    • Richard, J.-F. and H. Tompa (1980), 'On the evaluation of poly t densities', Journal of Econometrics, 12, 335-51.
    • (1980) Journal of Econometrics , vol.12 , pp. 335-351
    • Richard, J.-F.1    Tompa, H.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.