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Details about John Geweke

Workplace:Economics Discipline Group, Business School, University of Technology Sydney, (more information at EDIRC)

Access statistics for papers by John Geweke.

Last updated 2014-05-26. Update your information in the RePEc Author Service.

Short-id: pge136


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Working Papers

2013

  1. Adaptive Sequential Posterior Simulators for Massively Parallel Computing Environments
    Working Paper Series, Economics Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (1)
  2. Prediction using several macroeconomic models
    Working Paper Series, European Central Bank Downloads View citations (3)

2011

  1. Analysis of variance for bayesian inference
    Working Paper Series, European Central Bank Downloads
    See also Journal Article in Econometric Reviews (2014)
  2. Economic Rationality, Risk Presentation, and Retirement Portfolio Choice
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    Also in Working Papers, ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales (2011) Downloads
  3. Financial Competence, Risk Presentation and Retirement Portfolio Preferences
    Working Papers, ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales Downloads View citations (1)

2009

  1. Optimal Prediction Pools
    Working Paper Series, European Central Bank Downloads View citations (9)
    See also Journal Article in Journal of Econometrics (2011)

2008

  1. Comparing and evaluating Bayesian predictive distributions of assets returns
    Working Paper Series, European Central Bank Downloads View citations (2)
    See also Journal Article in International Journal of Forecasting (2010)

2007

  1. Hierarchical Markov Normal Mixture Models with Applications to Financial Asset Returns
    Working Papers, University of Brescia, Department of Economics Downloads View citations (18)
    Also in Working Paper Series, European Central Bank (2007) Downloads View citations (26)

    See also Journal Article in Journal of Applied Econometrics (2011)

2006

  1. Econometrics: A Bird's Eye View
    IZA Discussion Papers, Institute for the Study of Labor (IZA) Downloads
    Also in CESifo Working Paper Series, CESifo Group Munich (2006) Downloads
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2006) Downloads

2005

  1. Bayesian Cross-Sectional Analysis of the Conditional Distribution of Earnings of Men in the United States, 1967-1996
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
  2. Bayesian Cross-Sectional Analysis of the Conditional Distribution of Earnings of Men in the United States, 1967-1996: Appendices
    MPRA Paper, University Library of Munich, Germany Downloads

2002

  1. Bayesian inference for hospital quality in a selection model
    Working Paper Series, Federal Reserve Bank of San Francisco Downloads View citations (1)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2001) Downloads View citations (3)

    See also Journal Article in Econometrica (2003)

2000

  1. Predicting Turning Points: Technical Paper 2000-3
    Working Papers, Congressional Budget Office Downloads View citations (2)
  2. Predicting turning points
    Staff Report, Federal Reserve Bank of Minneapolis Downloads View citations (11)

1999

  1. Computational Experiments and Reality
    Computing in Economics and Finance 1999, Society for Computational Economics View citations (42)
  2. Simulation Based Inference for Dynamic Multinomial Choice Models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (9)
  3. Using Simulation Methods for Bayesian Econometric Models
    Computing in Economics and Finance 1999, Society for Computational Economics View citations (89)

1998

  1. Using simulation methods for Bayesian econometric models: inference, development, and communication
    Staff Report, Federal Reserve Bank of Minneapolis Downloads View citations (57)
    See also Journal Article in Econometric Reviews (1999)

1997

  1. An empirical analysis of income dynamics among men in the PSID: 1968-1989
    Staff Report, Federal Reserve Bank of Minneapolis Downloads
    Also in Institute for Research on Poverty Discussion Papers, University of Wisconsin Institute for Research on Poverty Downloads View citations (4)
  2. Mixture of normals probit models
    Staff Report, Federal Reserve Bank of Minneapolis Downloads View citations (26)

1996

  1. Bayesian inference for dynamic choice models without the need for dynamic programming
    Working Papers, Federal Reserve Bank of Minneapolis Downloads View citations (19)
  2. Measuring the Pricing Error of the Arbitrage Pricing Theory
    CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics Downloads View citations (57)
    Also in Staff Report, Federal Reserve Bank of Minneapolis (1995) Downloads View citations (6)

    See also Journal Article in Review of Financial Studies (1996)
  3. Simulation-based Bayesian inference for economic time series
    Working Papers, Federal Reserve Bank of Minneapolis Downloads View citations (4)

1995

  1. Bayesian inference for linear models subject to linear inequality constraints
    Working Papers, Federal Reserve Bank of Minneapolis Downloads View citations (3)
  2. Bayesian reduced rank regression in econometrics
    Working Papers, Federal Reserve Bank of Minneapolis Downloads View citations (1)
    See also Journal Article in Journal of Econometrics (1996)
  3. Monte Carlo simulation and numerical integration
    Staff Report, Federal Reserve Bank of Minneapolis Downloads View citations (16)
    See also Chapter (1996)
  4. Posterior simulators in econometrics
    Working Papers, Federal Reserve Bank of Minneapolis Downloads View citations (3)
    Also in Computing in Economics and Finance 1996, Society for Computational Economics Downloads View citations (7)
  5. Prior density ratio class robustness in econometrics
    Working Papers, Federal Reserve Bank of Minneapolis Downloads
    See also Journal Article in Journal of Business & Economic Statistics (1998)

1994

  1. Advances in Random Utility Models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)
  2. Alternative computational approaches to inference in the multinomial probit model
    Staff Report, Federal Reserve Bank of Minneapolis Downloads View citations (137)
    See also Journal Article in The Review of Economics and Statistics (1994)
  3. Bayesian comparison of econometric models
    Working Papers, Federal Reserve Bank of Minneapolis View citations (36)
  4. Recursively Simulating Multinomial Multiperiod Probit Probabilities
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
  5. Statistical inference in the multinomial multiperiod probit model
    Staff Report, Federal Reserve Bank of Minneapolis Downloads View citations (7)
    See also Journal Article in Journal of Econometrics (1997)
  6. Variable selection and model comparison in regression
    Working Papers, Federal Reserve Bank of Minneapolis Downloads View citations (4)

1992

  1. Priors for macroeconomic time series and their application
    Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis Downloads View citations (8)
    See also Journal Article in Econometric Theory (1994)

1991

  1. Evaluating the accuracy of sampling-based approaches to the calculation of posterior moments
    Staff Report, Federal Reserve Bank of Minneapolis Downloads View citations (42)

Journal Articles

2014

  1. Analysis of Variance for Bayesian Inference
    Econometric Reviews, 2014, 33, (1-4), 270-288 Downloads View citations (4)
    See also Working Paper (2011)

2012

  1. Financial Competence and Expectations Formation: Evidence from Australia
    The Economic Record, 2012, 88, (280), 39-63 Downloads View citations (3)
  2. Nonparametric Bayesian modelling of monotone preferences for discrete choice experiments
    Journal of Econometrics, 2012, 171, (2), 185-204 Downloads View citations (1)
  3. Prediction with Misspecified Models
    American Economic Review, 2012, 102, (3), 482-86 Downloads View citations (13)

2011

  1. Hierarchical Markov normal mixture models with applications to financial asset returns
    Journal of Applied Econometrics, 2011, 26, (1), 1-29 Downloads View citations (45)
    See also Working Paper (2007)
  2. Inference and prediction in a multiple-structural-break model
    Journal of Econometrics, 2011, 163, (2), 172-185 Downloads View citations (13)
  3. Optimal prediction pools
    Journal of Econometrics, 2011, 164, (1), 130-141 Downloads View citations (69)
    See also Working Paper (2009)

2010

  1. Comment
    International Journal of Forecasting, 2010, 26, (2), 435-438 Downloads
  2. Comparing and evaluating Bayesian predictive distributions of asset returns
    International Journal of Forecasting, 2010, 26, (2), 216-230 Downloads View citations (131)
    See also Working Paper (2008)
  3. Memoirs of an indifferent trader: Estimating forecast distributions from prediction markets
    Quantitative Economics, 2010, 1, (1), 163-186 Downloads View citations (2)

2009

  1. Comments on "Convergence Properties of the Likelihood of Computed Dynamic Models"
    Econometrica, 2009, 77, (6), 2009-2017 Downloads View citations (3)

2007

  1. Bayesian Model Comparison and Validation
    American Economic Review, 2007, 97, (2), 60-64 Downloads View citations (12)
  2. Comment
    Econometric Reviews, 2007, 26, (2-4), 193-200 Downloads
  3. Computational techniques for applied econometric analysis of macroeconomic and financial processes
    Computational Statistics & Data Analysis, 2007, 51, (7), 3506-3508 Downloads View citations (1)
  4. Interpretation and inference in mixture models: Simple MCMC works
    Computational Statistics & Data Analysis, 2007, 51, (7), 3529-3550 Downloads View citations (43)
  5. Smoothly mixing regressions
    Journal of Econometrics, 2007, 138, (1), 252-290 Downloads View citations (63)

2006

  1. A variance screen for collusion
    International Journal of Industrial Organization, 2006, 24, (3), 467-486 Downloads View citations (50)

2004

  1. Getting It Right: Joint Distribution Tests of Posterior Simulators
    Journal of the American Statistical Association, 2004, 99, 799-804 Downloads View citations (36)

2003

  1. Bayesian Inference for Hospital Quality in a Selection Model
    Econometrica, 2003, 71, (4), 1215-1238 Downloads View citations (55)
    See also Working Paper (2002)
  2. Econometric issues in using the AHEAD panel
    Journal of Econometrics, 2003, 112, (1), 115-120 Downloads
  3. Iterative and Recursive Estimation in Structural Nonadaptive Models: Comment
    Journal of Business & Economic Statistics, 2003, 21, (4), 490-92

2002

  1. Pitfalls in Drawing Policy Conclusions from Retrospective Survey Data: The Case of Advertising and Underage Smoking
    Journal of Risk and Uncertainty, 2002, 25, (2), 111-31 Downloads

2001

  1. A note on some limitations of CRRA utility
    Economics Letters, 2001, 71, (3), 341-345 Downloads View citations (59)
  2. Bayesian Inference and Posterior Simulators
    Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, 2001, 49, (3), 313-325 Downloads
  3. Bayesian Specification Analysis in Econometrics
    American Journal of Agricultural Economics, 2001, 83, (5), 1181-1186 Downloads View citations (3)
  4. Bayesian econometrics and forecasting
    Journal of Econometrics, 2001, 100, (1), 11-15 Downloads View citations (20)
  5. Bayesian estimation of state-space models using the Metropolis-Hastings algorithm within Gibbs sampling
    Computational Statistics & Data Analysis, 2001, 37, (2), 151-170 Downloads View citations (9)

2000

  1. An empirical analysis of earnings dynamics among men in the PSID: 1968-1989
    Journal of Econometrics, 2000, 96, (2), 293-356 Downloads View citations (50)
  2. Introduction: inference and decision making
    Journal of Applied Econometrics, 2000, 15, (6), 545-546 View citations (1)

1999

  1. Power of Tests in Binary Response Models: Comment
    Econometrica, 1999, 67, (2), 423-426
  2. Reply
    Econometric Reviews, 1999, 18, (1), 119-126 Downloads
  3. Using simulation methods for bayesian econometric models: inference, development,and communication
    Econometric Reviews, 1999, 18, (1), 1-73 Downloads View citations (236)
    See also Working Paper (1998)

1998

  1. Prior Density-Ratio Class Robustness in Econometrics
    Journal of Business & Economic Statistics, 1998, 16, (4), 469-78
    See also Working Paper (1995)
  2. Real and Spurious Long-Memory Properties of Stock-Market Data: Comment
    Journal of Business & Economic Statistics, 1998, 16, (3), 269-71 View citations (8)
  3. Some experiments in constructing a hybrid model for macroeconomic analysis: A comment
    Carnegie-Rochester Conference Series on Public Policy, 1998, 49, (1), 143-147 Downloads

1997

  1. Statistical inference in the multinomial multiperiod probit model
    Journal of Econometrics, 1997, 80, (1), 125-165 Downloads View citations (81)
    See also Working Paper (1994)

1996

  1. Bayesian reduced rank regression in econometrics
    Journal of Econometrics, 1996, 75, (1), 121-146 Downloads View citations (63)
    See also Working Paper (1995)
  2. Measuring the Pricing Error of the Arbitrage Pricing Theory
    Review of Financial Studies, 1996, 9, (2), 557-87 Downloads View citations (75)
    See also Working Paper (1996)

1995

  1. A fine time for monetary policy?
    Quarterly Review, 1995, (Win), 18-31 Downloads View citations (5)

1994

  1. Alternative Computational Approaches to Inference in the Multinomial Probit Model
    The Review of Economics and Statistics, 1994, 76, (4), 609-32 Downloads View citations (103)
    See also Working Paper (1994)
  2. Bayesian Analysis of Stochastic Volatility Models: Comment
    Journal of Business & Economic Statistics, 1994, 12, (4), 397-99 View citations (2)
  3. Priors for Macroeconomic Time Series and Their Application
    Econometric Theory, 1994, 10, (3-4), 609-632 Downloads View citations (29)
    See also Working Paper (1992)

1993

  1. Bayesian Treatment of the Independent Student- t Linear Model
    Journal of Applied Econometrics, 1993, 8, (S), S19-40 Downloads View citations (112)
  2. Forecasting time series with common seasonal patterns
    Journal of Econometrics, 1993, 55, (1-2), 201-202 Downloads View citations (1)

1991

  1. Seminonparametric Bayesian estimation of the asymptotically ideal production model
    Journal of Econometrics, 1991, 49, (1-2), 5-50 Downloads View citations (48)

1989

  1. Bayesian Inference in Econometric Models Using Monte Carlo Integration
    Econometrica, 1989, 57, (6), 1317-39 Downloads View citations (318)
  2. Exact predictive densities for linear models with arch disturbances
    Journal of Econometrics, 1989, 40, (1), 63-86 Downloads View citations (40)

1988

  1. An Application of Operational-Subjective Statistical Methods to Rational Expectations: Comment
    Journal of Business & Economic Statistics, 1988, 6, (4), 465-66
  2. Antithetic acceleration of Monte Carlo integration in Bayesian inference
    Journal of Econometrics, 1988, 38, (1-2), 73-89 Downloads View citations (52)
  3. Comment on Poirer: Operational Bayesian Methods in Econometrics
    Journal of Economic Perspectives, 1988, 2, (1), 159-66 Downloads View citations (1)
  4. The Secular and Cyclical Behavior of Real GDP in 19 OECD Countries, 1957-1983
    Journal of Business & Economic Statistics, 1988, 6, (4), 479-86 View citations (2)

1987

  1. Long run competition in the U.S. aluminum industry
    International Journal of Industrial Organization, 1987, 5, (1), 67-78 Downloads View citations (7)

1986

  1. Exact Inference in the Inequality Constrained Normal Linear Regression Model
    Journal of Applied Econometrics, 1986, 1, (2), 127-41 Downloads View citations (57)
  2. Mobility Indices in Continuous Time Markov Chains
    Econometrica, 1986, 54, (6), 1407-23 Downloads View citations (86)
  3. The Superneutrality of Money in the United States: An Interpretation of the Evidence
    Econometrica, 1986, 54, (1), 1-21 Downloads View citations (41)

1985

  1. Macroeconometric Modeling and the Theory of the Representative Agent
    American Economic Review, 1985, 75, (2), 206-10 Downloads View citations (13)

1984

  1. A Comparison of Autoregressive Univariate Forecasting Procedures for Macroeconomic Time Series
    Journal of Business & Economic Statistics, 1984, 2, (3), 191-200 View citations (30)

1983

  1. Comparing alternative tests of causality in temporal systems: Analytic results and experimental evidence
    Journal of Econometrics, 1983, 21, (2), 161-194 Downloads View citations (94)

1981

  1. Estimating Regression Models of Finite but Unknown Order
    International Economic Review, 1981, 22, (1), 55-70 Downloads View citations (67)
    Also in Journal of Econometrics, 1981, 16, (1), 162-162 (1981) Downloads View citations (54)
  2. Latent variable models for time series: A frequency domain approach with an application to the permanent income hypothesis
    Journal of Econometrics, 1981, 17, (3), 287-304 Downloads View citations (8)
  3. Maximum Likelihood "Confirmatory" Factor Analysis of Economic Time Series
    International Economic Review, 1981, 22, (1), 37-54 Downloads View citations (26)
  4. The Approximate Slopes of Econometric Tests
    Econometrica, 1981, 49, (6), 1427-42 Downloads View citations (23)

1979

  1. Some Joint Tests of the Efficiency of Markets for Forward Foreign Exchange
    The Review of Economics and Statistics, 1979, 61, (3), 334-41 Downloads View citations (33)

1978

  1. Temporal Aggregation in the Multiple Regression Model
    Econometrica, 1978, 46, (3), 643-61 Downloads View citations (23)
  2. Testing the exogeneity specification in the complete dynamic simultaneous equation model
    Journal of Econometrics, 1978, 7, (2), 163-185 Downloads View citations (8)

1976

  1. A monetarist model of inflationary expectations: John Rutledge, (D.C. Health, Lexington, Massachusetts, 1974) pp. xv+115, $12.50
    Journal of Monetary Economics, 1976, 2, (1), 125-127 Downloads

Edited books

2013

  1. The Oxford Handbook of Bayesian Econometrics
    OUP Catalogue, Oxford University Press

2011

  1. The Oxford Handbook of Bayesian Econometrics
    OUP Catalogue, Oxford University Press View citations (2)

2005

  1. Economic Complexity: Chaos, Sunspots, Bubbles, and Nonlinearity
    Cambridge Books, Cambridge University Press View citations (1)

1989

  1. Economic Complexity: Chaos, Sunspots, Bubbles, and Nonlinearity
    Cambridge Books, Cambridge University Press View citations (2)

Chapters

2006

  1. Bayesian Forecasting
    Elsevier Downloads View citations (41)

2001

  1. Computationally intensive methods for integration in econometrics
    Chapter 56 in Handbook of Econometrics, 2001, vol. 5, pp 3463-3568 Downloads View citations (47)

1996

  1. Monte carlo simulation and numerical integration
    Chapter 15 in Handbook of Computational Economics, 1996, vol. 1, pp 731-800 Downloads View citations (48)
    See also Working Paper (1995)

1984

  1. Inference and causality in economic time series models
    Chapter 19 in Handbook of Econometrics, 1984, vol. 2, pp 1101-1144 Downloads View citations (37)

1980

  1. On Specification in Simultaneous Equation Models
    A chapter in Evaluation of Econometric Models, 1980, pp 169-196 Downloads View citations (1)

1979

  1. The Temporal and Sectoral Aggregation of Seasonally Adjusted Time Series
    A chapter in Seasonal Analysis of Economic Time Series, 1979, pp 411-432 Downloads
    Also in A chapter in Seasonal Analysis of Economic Time Series, 1978, pp 411-432 (1978) Downloads View citations (2)

Editor

  1. Journal of Econometrics
    Elsevier
 
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