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 2013-03-25. Update your information in the RePEc Author Service.

Short-id: pge136

---

Jump to Journal Articles Edited books Chapters Editor

Working Papers

2009

1. Optimal Prediction Pools
   Working Paper Series, European Central Bank View citations (8)
   Also in Working Paper Series, The Rimini Centre for Economic Analysis (2008) View citations (3)

2008

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

2007

3. Hierarchical Markov normal mixture models with applications to financial asset returns
   Working Paper Series, European Central Bank View citations (22)

2006

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

2002

5. Bayesian inference for hospital quality in a selection model
   Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco View citations (1)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2001) View citations (2)
   See also Journal Article in Econometrica (2003)

2000

6. Predicting turning points
   Staff Report, Federal Reserve Bank of Minneapolis View citations (9)

1999

7. Computational Experiments and Reality
   Computing in Economics and Finance 1999, Society for Computational Economics View citations (35)
8. Using Simulation Methods for Bayesian Econometric Models
   Computing in Economics and Finance 1999, Society for Computational Economics View citations (33)

1998

9. Using simulation methods for Bayesian econometric models: inference, development, and communication
   Staff Report, Federal Reserve Bank of Minneapolis View citations (41)
   See also Journal Article in Econometric Reviews (1999)

1997

10. An empirical analysis of income dynamics among men in the PSID: 1968-1989
    Staff Report, Federal Reserve Bank of Minneapolis
    Also in Institute for Research on Poverty Discussion Papers, University of Wisconsin Institute for Research on Poverty View citations (3)
11. Mixture of normals probit models
    Staff Report, Federal Reserve Bank of Minneapolis View citations (17)

1996

12. Bayesian inference for dynamic choice models without the need for dynamic programming
    Working Papers, Federal Reserve Bank of Minneapolis View citations (11)
13. Simulation-based Bayesian inference for economic time series
    Working Papers, Federal Reserve Bank of Minneapolis View citations (4)

1995

14. Bayesian inference for linear models subject to linear inequality constraints
    Working Papers, Federal Reserve Bank of Minneapolis View citations (3)
15. Bayesian reduced rank regression in econometrics
    Working Papers, Federal Reserve Bank of Minneapolis View citations (1)
    See also Journal Article in Journal of Econometrics (1996)
16. Measuring the pricing error of the arbitrage pricing theory
    Staff Report, Federal Reserve Bank of Minneapolis View citations (6)
    See also Journal Article in Review of Financial Studies (1996)
17. Monte Carlo simulation and numerical integration
    Staff Report, Federal Reserve Bank of Minneapolis View citations (14)
    See also Chapter (1996)
18. Posterior simulators in econometrics
    Working Papers, Federal Reserve Bank of Minneapolis View citations (4)
    Also in Computing in Economics and Finance 1996, Society for Computational Economics View citations (8)
19. Prior density ratio class robustness in econometrics
    Working Papers, Federal Reserve Bank of Minneapolis
    See also Journal Article in Journal of Business & Economic Statistics (1998)

1994

20. Alternative computational approaches to inference in the multinomial probit model
    Staff Report, Federal Reserve Bank of Minneapolis View citations (96)
    See also Journal Article in The Review of Economics and Statistics (1994)
21. Bayesian comparison of econometric models
    Working Papers, Federal Reserve Bank of Minneapolis View citations (30)
22. Statistical inference in the multinomial multiperiod probit model
    Staff Report, Federal Reserve Bank of Minneapolis View citations (4)
    See also Journal Article in Journal of Econometrics (1997)
23. Variable selection and model comparison in regression
    Working Papers, Federal Reserve Bank of Minneapolis View citations (2)

1992

24. Priors for macroeconomic time series and their application
    Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis View citations (6)
    See also Journal Article in Econometric Theory (1994)

1991

25. Evaluating the accuracy of sampling-based approaches to the calculation of posterior moments
    Staff Report, Federal Reserve Bank of Minneapolis View citations (24)

Journal Articles

2010

1. Comment
   International Journal of Forecasting, 2010, 26, (2), 435-438
2. Comparing and evaluating Bayesian predictive distributions of asset returns
   International Journal of Forecasting, 2010, 26, (2), 216-230 View citations (32)
   See also Working Paper (2008)

2009

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

2007

4. Bayesian Model Comparison and Validation
   American Economic Review, 2007, 97, (2), 60-64 View citations (7)
5. Comment
   Econometric Reviews, 2007, 26, (2-4), 193-200
6. Computational techniques for applied econometric analysis of macroeconomic and financial processes
   Computational Statistics & Data Analysis, 2007, 51, (7), 3506-3508 View citations (1)
7. Interpretation and inference in mixture models: Simple MCMC works
   Computational Statistics & Data Analysis, 2007, 51, (7), 3529-3550 View citations (21)
8. Smoothly mixing regressions
   Journal of Econometrics, 2007, 138, (1), 252-290 View citations (27)

2006

9. A variance screen for collusion
   International Journal of Industrial Organization, 2006, 24, (3), 467-486 View citations (27)

2004

10. Getting It Right: Joint Distribution Tests of Posterior Simulators
    Journal of the American Statistical Association, 2004, 99, 799-804 View citations (27)

2003

11. Bayesian Inference for Hospital Quality in a Selection Model
    Econometrica, 2003, 71, (4), 1215-1238 View citations (28)
    See also Working Paper (2002)
12. Econometric issues in using the AHEAD panel
    Journal of Econometrics, 2003, 112, (1), 115-120
13. Iterative and Recursive Estimation in Structural Nonadaptive Models: Comment
    Journal of Business & Economic Statistics, 2003, 21, (4), 490-92

2002

14. 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

2001

15. A note on some limitations of CRRA utility
    Economics Letters, 2001, 71, (3), 341-345 View citations (29)
16. Bayesian econometrics and forecasting
    Journal of Econometrics, 2001, 100, (1), 11-15 View citations (14)
17. Bayesian estimation of state-space models using the Metropolis-Hastings algorithm within Gibbs sampling
    Computational Statistics & Data Analysis, 2001, 37, (2), 151-170 View citations (3)

2000

18. An empirical analysis of earnings dynamics among men in the PSID: 1968-1989
    Journal of Econometrics, 2000, 96, (2), 293-356 View citations (23)
19. Introduction: inference and decision making
    Journal of Applied Econometrics, 2000, 15, (6), 545-546 View citations (2)

1999

20. Power of Tests in Binary Response Models: Comment
    Econometrica, 1999, 67, (2), 423-426
21. Reply
    Econometric Reviews, 1999, 18, (1), 119-126
22. Using simulation methods for bayesian econometric models: inference, development,and communication
    Econometric Reviews, 1999, 18, (1), 1-73 View citations (66)
    See also Working Paper (1998)

1998

23. Prior Density-Ratio Class Robustness in Econometrics
    Journal of Business & Economic Statistics, 1998, 16, (4), 469-78
    See also Working Paper (1995)
24. Real and Spurious Long-Memory Properties of Stock-Market Data: Comment
    Journal of Business & Economic Statistics, 1998, 16, (3), 269-71 View citations (6)
25. Some experiments in constructing a hybrid model for macroeconomic analysis: A comment
    Carnegie-Rochester Conference Series on Public Policy, 1998, 49, (1), 143-147

1997

26. Statistical inference in the multinomial multiperiod probit model
    Journal of Econometrics, 1997, 80, (1), 125-165 View citations (61)
    See also Working Paper (1994)

1996

27. Bayesian reduced rank regression in econometrics
    Journal of Econometrics, 1996, 75, (1), 121-146 View citations (36)
    See also Working Paper (1995)
28. Measuring the Pricing Error of the Arbitrage Pricing Theory
    Review of Financial Studies, 1996, 9, (2), 557-87 View citations (32)
    See also Working Paper (1995)

1995

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

1994

30. Alternative Computational Approaches to Inference in the Multinomial Probit Model
    The Review of Economics and Statistics, 1994, 76, (4), 609-32 View citations (66)
    See also Working Paper (1994)
31. Bayesian Analysis of Stochastic Volatility Models: Comment
    Journal of Business & Economic Statistics, 1994, 12, (4), 397-99 View citations (1)
32. Priors for Macroeconomic Time Series and Their Application
    Econometric Theory, 1994, 10, (3-4), 609-632 View citations (23)
    See also Working Paper (1992)

1993

33. Bayesian Treatment of the Independent Student- t Linear Model
    Journal of Applied Econometrics, 1993, 8, (S), S19-40 View citations (33)
34. Forecasting time series with common seasonal patterns
    Journal of Econometrics, 1993, 55, (1-2), 201-202 View citations (1)

1991

35. Seminonparametric Bayesian estimation of the asymptotically ideal production model
    Journal of Econometrics, 1991, 49, (1-2), 5-50 View citations (33)

1989

36. Bayesian Inference in Econometric Models Using Monte Carlo Integration
    Econometrica, 1989, 57, (6), 1317-39 View citations (183)
37. Exact predictive densities for linear models with arch disturbances
    Journal of Econometrics, 1989, 40, (1), 63-86 View citations (26)

1988

38. An Application of Operational-Subjective Statistical Methods to Rational Expectations: Comment
    Journal of Business & Economic Statistics, 1988, 6, (4), 465-66
39. Antithetic acceleration of Monte Carlo integration in Bayesian inference
    Journal of Econometrics, 1988, 38, (1-2), 73-89 View citations (43)
40. Comment on Poirer: Operational Bayesian Methods in Econometrics
    Journal of Economic Perspectives, 1988, 2, (1), 159-66 View citations (1)
41. The Secular and Cyclical Behavior of Real GDP in 19 OECD Countries, 1957-1983
    Journal of Business & Economic Statistics, 1988, 6, (4), 479-86

1987

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

1986

43. Exact Inference for Continuous Time Markov Chain Models
    Review of Economic Studies, 1986, 53, (4), 653-69 View citations (5)
44. Exact Inference in the Inequality Constrained Normal Linear Regression Model
    Journal of Applied Econometrics, 1986, 1, (2), 127-41 View citations (42)
45. Mobility Indices in Continuous Time Markov Chains
    Econometrica, 1986, 54, (6), 1407-23 View citations (52)
46. The Superneutrality of Money in the United States: An Interpretation of the Evidence
    Econometrica, 1986, 54, (1), 1-21 View citations (31)

1985

47. Macroeconometric Modeling and the Theory of the Representative Agent
    American Economic Review, 1985, 75, (2), 206-10 View citations (6)

1984

48. A Comparison of Autoregressive Univariate Forecasting Procedures for Macroeconomic Time Series
    Journal of Business & Economic Statistics, 1984, 2, (3), 191-200 View citations (19)

1983

49. Comparing alternative tests of causality in temporal systems: Analytic results and experimental evidence
    Journal of Econometrics, 1983, 21, (2), 161-194 View citations (67)

1981

50. Estimating Regression Models of Finite but Unknown Order
    International Economic Review, 1981, 22, (1), 55-70 View citations (45)
    Also in Journal of Econometrics, 1981, 16, (1), 162-162 (1981) View citations (39)
51. 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 View citations (6)
52. Maximum Likelihood "Confirmatory" Factor Analysis of Economic Time Series
    International Economic Review, 1981, 22, (1), 37-54 View citations (12)
53. The Approximate Slopes of Econometric Tests
    Econometrica, 1981, 49, (6), 1427-42 View citations (23)

1979

54. Some Joint Tests of the Efficiency of Markets for Forward Foreign Exchange
    The Review of Economics and Statistics, 1979, 61, (3), 334-41 View citations (24)

1978

55. Temporal Aggregation in the Multiple Regression Model
    Econometrica, 1978, 46, (3), 643-61 View citations (12)
56. Testing the exogeneity specification in the complete dynamic simultaneous equation model
    Journal of Econometrics, 1978, 7, (2), 163-185 View citations (7)

1976

57. 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

Edited books

2005

1. Economic Complexity: Chaos, Sunspots, Bubbles, and Nonlinearity
   Cambridge Books, Cambridge University Press

1989

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

Chapters

2006

1. Bayesian Forecasting
   Elsevier View citations (23)

2001

2. Computationally intensive methods for integration in econometrics
   Chapter 56 in Handbook of Econometrics, 2001, vol. 5, pp 3463-3568 View citations (30)

1996

3. Monte carlo simulation and numerical integration
   Chapter 15 in Handbook of Computational Economics, 1996, vol. 1, pp 731-800 View citations (42)
   See also Working Paper (1995)

1984

4. Inference and causality in economic time series models
   Chapter 19 in Handbook of Econometrics, 1984, vol. 2, pp 1101-1144 View citations (29)

1980

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

1979

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

Editor

1. Journal of Econometrics
   Elsevier