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Details about Gary Koop

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Homepage:https://sites.google.com/site/garykoop/
Postal address:Department of Economics University of Strathclyde Sir William Duncan Building 130 Rottenrow Glasgow G4 0GE Scotland, UK
Workplace:Economics Department, University of Strathclyde, (more information at EDIRC)

Access statistics for papers by Gary Koop.

Last updated 2017-04-05. Update your information in the RePEc Author Service.

Short-id: pko8


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Working Papers

2015

  1. A New Model of Inflation, Trend Inflation, and Long-Run Inflation Expectations
    Working Paper, Federal Reserve Bank of Cleveland Downloads View citations (3)
  2. Forecasting With High Dimensional Panel VARs
    Working Papers, Business School - Economics, University of Glasgow Downloads View citations (3)
  3. Large Bayesian VARMAs
    Working Paper Series, The Rimini Centre for Economic Analysis Downloads
    Also in Working Paper Series, The Rimini Centre for Economic Analysis (2014) Downloads View citations (5)
    Working Papers, University of Strathclyde Business School, Department of Economics (2014) Downloads View citations (5)
  4. Model Uncertainty in Panel Vector Autoregressive Models
    Working Paper Series, The Rimini Centre for Economic Analysis Downloads View citations (3)
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2014) Downloads View citations (4)
    Working Paper Series, The Rimini Centre for Economic Analysis (2014) Downloads View citations (2)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2014) Downloads View citations (2)
    MPRA Paper, University Library of Munich, Germany (2014) Downloads View citations (2)
    Working Papers, Business School - Economics, University of Glasgow (2014) Downloads View citations (2)

    See also Journal Article in European Economic Review (2016)

2014

  1. A Bounded Model of Time Variation in Trend Inflation, NAIRU and the Phillips Curve
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads
    Also in ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics (2012) Downloads View citations (5)
  2. Nowcasting Scottish GDP Growth
    Working Paper Series, The Rimini Centre for Economic Analysis Downloads
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2014) Downloads
  3. The Known Unknowns of Governance
    Working Paper Series, The Rimini Centre for Economic Analysis Downloads
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2014) Downloads

2013

  1. A New Index of Financial Conditions
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads View citations (8)
    Also in MPRA Paper, University Library of Munich, Germany (2013) Downloads View citations (11)
    Working Papers, Business School - Economics, University of Glasgow Downloads View citations (9)
    Working Papers, University of Strathclyde Business School, Department of Economics (2013) Downloads View citations (8)

    See also Journal Article in European Economic Review (2014)
  2. A new look at variation in employment growth in Canada
    Working Papers, Lancaster University Management School, Economics Department Downloads
  3. Domestic Violence and Football in Glasgow: Are Reference Points Relevant?
    Working Papers, University of Strathclyde Business School, Department of Economics Downloads
    Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2013) Downloads
  4. Model Switching and Model Averaging in Time- Varying Parameter Regression Models
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2013) Downloads View citations (4)
  5. Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables
    ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics Downloads
    Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2011) Downloads
    Working Papers, University of Strathclyde Business School, Department of Economics (2011) Downloads
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2012) Downloads

    See also Journal Article in Computational Statistics & Data Analysis (2014)
  6. Technical appendix to: a new look at variation in employment growth in Canada
    Working Papers, Lancaster University Management School, Economics Department Downloads
  7. Using VARs and TVP-VARs with Many Macroeconomic Variables
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2013) Downloads

    See also Journal Article in Central European Journal of Economic Modelling and Econometrics (2012)

2012

  1. A New Model Of Trend Inflation
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2012) Downloads View citations (11)
    Working Papers, University of Strathclyde Business School, Department of Economics (2012) Downloads
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2012) Downloads

    See also Journal Article in Journal of Business & Economic Statistics (2013)
  2. Bayesian Model Averaging in the Instrumental Variable Regression Model
    Working Paper Series, The Rimini Centre for Economic Analysis Downloads View citations (15)
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2011) Downloads View citations (2)
    GRIPS Discussion Papers, National Graduate Institute for Policy Studies (2011) Downloads View citations (2)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2011) Downloads View citations (2)

    See also Journal Article in Journal of Econometrics (2012)
  3. Estimating Phillips curves in turbulent times using the ECB's survey of professional forecasters
    Working Paper Series, European Central Bank Downloads View citations (11)
    Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2011) Downloads View citations (2)
    Working Papers, University of Strathclyde Business School, Department of Economics (2011) Downloads View citations (4)
  4. Estimating the Impact on Efficiency of the Adoption of a Voluntary Environmental Standard: An Empirical Study of the Global Copper Mining Industry
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2011) Downloads
    Working Papers, University of Strathclyde Business School, Department of Economics (2011) Downloads

    See also Journal Article in Journal of Productivity Analysis (2013)
  5. Large Time-Varying Parameter VARs
    Working Paper Series, The Rimini Centre for Economic Analysis Downloads View citations (11)
    Also in MPRA Paper, University Library of Munich, Germany (2012) Downloads View citations (22)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2012) Downloads View citations (12)
    Working Papers, Business School - Economics, University of Glasgow (2012) Downloads View citations (17)

    See also Journal Article in Journal of Econometrics (2013)
  6. The Dynamics of UK and US Inflation Expectation
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads View citations (6)
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2011) Downloads
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2008) Downloads
    Working Paper Series, The Rimini Centre for Economic Analysis (2009) Downloads View citations (1)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2011) Downloads View citations (2)

    See also Journal Article in Computational Statistics & Data Analysis (2012)
  7. Time Variation in the Dynamics of Worker Flows: Evidence from the US and Canada
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2011) Downloads View citations (2)

2011

  1. A Comparison Of Forecasting Procedures For Macroeconomic Series: The Contribution Of Structural Break Models
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads View citations (7)
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2011) Downloads View citations (5)
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) Downloads View citations (4)
    CIRANO Working Papers, CIRANO (2011) Downloads View citations (7)
    Cahiers de recherche, CIRPEE (2011) Downloads View citations (9)
  2. Bayesian Inference in a Time Varying Cointegration Model
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (9)
    See also Journal Article in Journal of Econometrics (2011)
  3. Bayesian Inference in the Time Varying Cointegration Model*
    Working Papers, University of Strathclyde Business School, Department of Economics Downloads View citations (9)
    Also in GRIPS Discussion Papers, National Graduate Institute for Policy Studies (2008) Downloads View citations (2)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2008) Downloads View citations (1)
  4. Forecasting Inflation Using Dynamic Model Averaging
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads View citations (3)
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2011) Downloads View citations (3)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2010) Downloads View citations (5)
    Working Paper Series, The Rimini Centre for Economic Analysis (2009) Downloads View citations (54)

    See also Journal Article in International Economic Review (2012)
  5. Forecasting the European Carbon Market
    Working Papers, University of Strathclyde Business School, Department of Economics Downloads View citations (7)
    Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2011) Downloads

    See also Journal Article in Journal of the Royal Statistical Society Series A (2013)
  6. Forecasting with Medium and Large Bayesian VARs
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads View citations (22)
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2011) Downloads View citations (18)
    Working Paper Series, The Rimini Centre for Economic Analysis (2010) Downloads View citations (6)

    See also Journal Article in Journal of Applied Econometrics (2013)
  7. Hierarchical Shrinkage in Time-Varying Parameter Models
    Working Papers, University of Strathclyde Business School, Department of Economics Downloads View citations (3)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) Downloads View citations (4)
    MPRA Paper, University Library of Munich, Germany (2011) Downloads View citations (5)
    Working Paper Series, The Rimini Centre for Economic Analysis (2011) Downloads View citations (10)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2011) Downloads View citations (4)

    See also Journal Article in Journal of Forecasting (2014)
  8. On Identification of Bayesian DSGE Models
    IZA Discussion Papers, Institute for the Study of Labor (IZA) Downloads View citations (6)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2011) Downloads View citations (6)
    Working Papers, University of Strathclyde Business School, Department of Economics (2011) Downloads View citations (6)
    CESifo Working Paper Series, CESifo Group Munich (2011) Downloads View citations (6)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2011) Downloads View citations (5)

    See also Journal Article in Journal of Business & Economic Statistics (2013)
  9. Regime-Switching Cointegration
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads View citations (2)
    Also in Working Paper Series, The Rimini Centre for Economic Analysis (2011) Downloads View citations (2)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2011) Downloads View citations (2)
    Working Papers, University of Strathclyde Business School, Department of Economics (2011) Downloads View citations (5)

    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2015)
  10. The Contribution of Structural Break Models to Forecasting Macroeconomic Series
    Working Paper Series, The Rimini Centre for Economic Analysis Downloads View citations (4)
    See also Journal Article in Journal of Applied Econometrics (2015)
  11. Time Varying Dimension Models
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads
    Also in Working Paper Series, The Rimini Centre for Economic Analysis (2010) Downloads View citations (3)
    ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics (2010) Downloads View citations (4)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2010) Downloads View citations (2)
    Working Papers, University of Strathclyde Business School, Department of Economics (2011) Downloads View citations (2)

    See also Journal Article in Journal of Business & Economic Statistics (2012)
  12. UK Macroeconomic Forecasting with Many Predictors: Which Models Forecast Best and When Do They Do So?
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads View citations (24)
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2009) Downloads View citations (1)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2009) Downloads View citations (1)
    Working Papers, University of Strathclyde Business School, Department of Economics (2011) Downloads View citations (25)

    See also Journal Article in Economic Modelling (2011)
  13. Understanding Liquidity and Credit Risks in the Financial Crisis
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads View citations (10)
    Also in Working Paper Series, The Rimini Centre for Economic Analysis (2010) Downloads View citations (3)
    Working Papers, University of Strathclyde Business School, Department of Economics (2011) Downloads View citations (10)

    See also Journal Article in Journal of Empirical Finance (2011)

2010

  1. A flexible approach to parametric inference in nonlinear and time varying time series models
    Post-Print, HAL Downloads View citations (5)
    See also Journal Article in Journal of Econometrics (2010)
  2. Technical Appendix to: Understanding Liquidity and Credit Risks in the Financial Crisis
    Working Paper Series, The Rimini Centre for Economic Analysis Downloads

2009

  1. Bayesian Multivariate Time Series Methods for Empirical Macroeconomics
    MPRA Paper, University Library of Munich, Germany Downloads View citations (51)
    Also in Working Paper Series, The Rimini Centre for Economic Analysis (2009) Downloads View citations (84)

    See also Journal Article in Foundations and Trends(R) in Econometrics (2010)
  2. Modeling the Dynamics of Inflation Compensation
    Working Paper Series, The Rimini Centre for Economic Analysis Downloads View citations (12)
    See also Journal Article in Journal of Empirical Finance (2010)
  3. Stochastic Search Variable Selection in Vector Error Correction Models with an Application to a Model of the UK Macroeconomy
    Working Papers, University of Strathclyde Business School, Department of Economics Downloads View citations (4)
    Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2009) Downloads
    Working Paper Series, The Rimini Centre for Economic Analysis (2009) Downloads View citations (4)

    See also Journal Article in Journal of Applied Econometrics (2013)

2008

  1. Real-time Prediction with UK Monetary Aggregates in the Presence of Model Uncertainty
    Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand Downloads
    Also in Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics (2007) Downloads View citations (17)

    See also Journal Article in Journal of Business & Economic Statistics (2009)

2007

  1. A flexible approach to parametric inference in nonlinear time series models
    Staff Reports, Federal Reserve Bank of New York Downloads
  2. Bayesian Econometric Methods
    Staff General Research Papers Archive, Iowa State University, Department of Economics View citations (61)
    See also Book (2007)

2006

  1. Bayesian Inference in a Cointegrating Panel Data Model
    Discussion Papers in Economics, Department of Economics, University of Leicester Downloads View citations (1)
  2. Efficient Posterior Simulation for Cointegrated Models with Priors On the Cointegration Space
    Discussion Papers in Economics, Department of Economics, University of Leicester Downloads View citations (5)
    See also Journal Article in Econometric Reviews (2010)
  3. Forecasting Substantial Data Revisions in the Presence of Model Uncertainty
    Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand Downloads View citations (5)
    Also in Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics (2006) Downloads View citations (5)

    See also Journal Article in Economic Journal (2008)
  4. Semiparametric Bayesian Inference in Smooth Coefficient Models
    Staff General Research Papers Archive, Iowa State University, Department of Economics View citations (10)
    Also in Discussion Papers in Economics, Department of Economics, University of Leicester (2003) Downloads

    See also Journal Article in Journal of Econometrics (2006)

2005

  1. Bayesian approaches to cointegratrion
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (2)
    Also in Discussion Papers in Economics, Department of Economics, University of Leicester (2004) Downloads View citations (6)
  2. Re-examining the Consumption-Wealth Relationship: The Role of Model Uncertainty
    Discussion Papers in Economics, Department of Economics, University of Leicester Downloads View citations (4)
    Also in Staff Reports, Federal Reserve Bank of New York (2005) Downloads View citations (3)

    See also Journal Article in Journal of Money, Credit and Banking (2008)
  3. Semiparametric Bayesian Inference in Multiple Equation Models
    Staff General Research Papers Archive, Iowa State University, Department of Economics View citations (7)
    See also Journal Article in Journal of Applied Econometrics (2005)

2004

  1. An Investigation of Thresholds in Air Pollution-Mortality Effects
    Discussion Papers in Economics, Department of Economics, University of Leicester Downloads View citations (2)
  2. Bayesian Analysis of Long Memory and Persistence using ARFIMA Models
    Econometrics, EconWPA Downloads View citations (4)
    Also in CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1995) Downloads View citations (2)
    Working Papers, University of Toronto, Department of Economics (1995) Downloads

    See also Journal Article in Journal of Econometrics (1997)
  3. Forecasting and Estimating Multiple Change-point Models with an Unknown Number of Change-points
    Discussion Papers in Economics, Department of Economics, University of Leicester Downloads View citations (10)
    Also in Staff Reports, Federal Reserve Bank of New York (2004) Downloads View citations (8)
  4. Learning About Heterogeneity in Returns to Schooling
    Staff General Research Papers Archive, Iowa State University, Department of Economics View citations (15)
  5. Prior Elicitation in Multiple Change-point Models
    Discussion Papers in Economics, Department of Economics, University of Leicester Downloads View citations (4)
    Also in Staff Reports, Federal Reserve Bank of New York (2004) Downloads View citations (7)

    See also Journal Article in International Economic Review (2009)

2003

  1. Alternative efficiency measures for multiple-output production
    ESE Discussion Papers, Edinburgh School of Economics, University of Edinburgh Downloads View citations (1)
    See also Journal Article in Journal of Econometrics (2005)
  2. Bayesian Semiparametric Inference in Multiple Equation Models
    Discussion Papers in Economics, Department of Economics, University of Leicester Downloads View citations (1)
  3. Forecasting in Large Macroeconomic Panels using Bayesian Model Averaging
    Discussion Papers in Economics, Department of Economics, University of Leicester Downloads View citations (36)
    Also in Staff Reports, Federal Reserve Bank of New York (2003) Downloads View citations (34)

2002

  1. Multiple-Output Production With Undesirable Outputs: An Application to Nitrogen Surplus in Agriculture
    Econometrics, EconWPA Downloads View citations (40)
    Also in ESE Discussion Papers, Edinburgh School of Economics, University of Edinburgh (2002) Downloads View citations (10)

    See also Journal Article in Journal of the American Statistical Association (2002)
  2. Parametric and Nonparametric Inference in Equilibrium Job Search Models
    Discussion Papers in Economics, Department of Economics, University of Leicester Downloads

2001

  1. Bayesian Variants of Some classical Semiparametric Regression Techniques
    ESE Discussion Papers, Edinburgh School of Economics, University of Edinburgh Downloads View citations (21)
    Also in Working Papers, California Irvine - School of Social Sciences (2000) View citations (1)

    See also Journal Article in Journal of Econometrics (2004)
  2. Comparing the Performance of Baseball Players: A Multiple Output Approach
    ESE Discussion Papers, Edinburgh School of Economics, University of Edinburgh Downloads
    See also Journal Article in Journal of the American Statistical Association (2002)
  3. Modeling the Evolution of Distributions: An Application to Major League Baseball
    ESE Discussion Papers, Edinburgh School of Economics, University of Edinburgh Downloads
    See also Journal Article in Journal of the Royal Statistical Society Series A (2004)

2000

  1. Bayesian Analysis of Endogenous Delay Threshold Models
    ESE Discussion Papers, Edinburgh School of Economics, University of Edinburgh Downloads
    See also Journal Article in Journal of Business & Economic Statistics (2003)
  2. The Vector Floor and Ceiling Model
    Discussion Papers in Economics, Department of Economics, University of Leicester Downloads View citations (1)

1999

  1. A Bayesian analysis of multiple-output production frontier
    ESE Discussion Papers, Edinburgh School of Economics, University of Edinburgh Downloads View citations (2)
    See also Journal Article in Journal of Econometrics (2000)
  2. Are apparent findings of nonlinearity due to structural instability in economic time series?
    Staff Reports, Federal Reserve Bank of New York Downloads
    See also Journal Article in Econometrics Journal (2001)
  3. Bayesian inference in models based on equilibrium search theory
    ESE Discussion Papers, Edinburgh School of Economics, University of Edinburgh Downloads
    See also Journal Article in Journal of Econometrics (2001)
  4. Cross-sectoral patterns of efficiency and technical change in manufacturing: A stochastic frontier analysis
    ESE Discussion Papers, Edinburgh School of Economics, University of Edinburgh
  5. Testing for Integration using Evolving Trend and Seasonals Models: A Bayesian Approach
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (1999) Downloads View citations (4)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (1997) Downloads

    See also Journal Article in Journal of Econometrics (2000)

1998

  1. Dynamic asymmetries in US unemployment
    ESE Discussion Papers, Edinburgh School of Economics, University of Edinburgh Downloads View citations (3)
    See also Journal Article in Journal of Business & Economic Statistics (1999)
  2. The valuation of IPO, SEO and Post-Chapter 11 firms: A Stochastic Frontier Approach
    ESE Discussion Papers, Edinburgh School of Economics, University of Edinburgh Downloads

1997

  1. A Stochastic Frontier Analysis of Output Level and Growth in Poland and Western Economies
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (1)
    See also Journal Article in Economic Change and Restructuring (2000)

1995

  1. Bayesian Efficiency Analysis through Individual Effects: Hospital Cost Frontiers
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
    Also in CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads

    See also Journal Article in Journal of Econometrics (1997)
  2. Measuring the Sources of Output Growth in a Panel of Countries
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (4)
  3. The Components of Output Growth: A Croos-Country Analysis
    Working Papers, Tilburg - Center for Economic Research View citations (5)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1995) Downloads View citations (5)
    Discussion Paper, Tilburg University, Center for Economic Research (1995) Downloads View citations (5)

1994

  1. Bayesian efficiency analysis with a flexible form: The aim cost function
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (26)
    See also Journal Article in Journal of Business & Economic Statistics (1994)
  2. Hospital efficiency analysis through individual effects: A Bayesian approach
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (1)
  3. Posterior Analysis of Stochastic Frontier Models using Gibbs Sampling
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (14)

1991

  1. A Decision Theoretic Analysis of the Unit Root Hypothesis Using Mixtures of Elliptical Models
    Working Papers, Tilburg - Center for Economic Research View citations (1)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1991) Downloads View citations (1)

    See also Journal Article in Journal of Business & Economic Statistics (1994)

Undated

  1. Bayesian Analysis of Stochastic Frontier Models
    ESE Discussion Papers, Edinburgh School of Economics, University of Edinburgh Downloads View citations (14)
  2. Bayesian modelling of catch in a Northwest Atlantic Fishery (first version)
    ESE Discussion Papers, Edinburgh School of Economics, University of Edinburgh

Journal Articles

2016

  1. Model uncertainty in Panel Vector Autoregressive models
    European Economic Review, 2016, 81, (C), 115-131 Downloads View citations (3)
    See also Working Paper (2015)

2015

  1. Regime-switching cointegration
    Studies in Nonlinear Dynamics & Econometrics, 2015, 19, (1), 35-48 Downloads View citations (1)
    See also Working Paper (2011)
  2. The Contribution of Structural Break Models to Forecasting Macroeconomic Series
    Journal of Applied Econometrics, 2015, 30, (4), 596-620 Downloads View citations (8)
    See also Working Paper (2011)

2014

  1. A new index of financial conditions
    European Economic Review, 2014, 71, (C), 101-116 Downloads View citations (19)
    See also Working Paper (2013)
  2. A new look at variation in employment growth in Canada: The role of industry, provincial, national and external factors
    Journal of Economic Dynamics and Control, 2014, 41, (C), 257-275 Downloads
  3. Forecasting with dimension switching VARs
    International Journal of Forecasting, 2014, 30, (2), 280-290 Downloads View citations (4)
  4. Hierarchical Shrinkage in Time‐Varying Parameter Models
    Journal of Forecasting, 2014, 33, (1), 80-94 Downloads View citations (17)
    See also Working Paper (2011)
  5. Modelling breaks and clusters in the steady states of macroeconomic variables
    Computational Statistics & Data Analysis, 2014, 76, (C), 186-193 Downloads View citations (1)
    See also Working Paper (2013)
  6. TIME VARIATION IN THE DYNAMICS OF WORKER FLOWS: EVIDENCE FROM NORTH AMERICA AND EUROPE
    Journal of Applied Econometrics, 2014, 29, (2), 265-290 Downloads View citations (3)

2013

  1. A New Model of Trend Inflation
    Journal of Business & Economic Statistics, 2013, 31, (1), 94-106 Downloads View citations (21)
    See also Working Paper (2012)
  2. Editorial: The Scottish Journal of Political Economy's 60th Birthday Issue
    Scottish Journal of Political Economy, 2013, 60, (5), 461-461 Downloads
  3. Estimating the impact on efficiency of the adoption of a voluntary environmental standard: an empirical study of the global copper mining industry
    Journal of Productivity Analysis, 2013, 39, (1), 35-45 Downloads
    See also Working Paper (2012)
  4. Forecasting the European carbon market
    Journal of the Royal Statistical Society Series A, 2013, 176, (3), 723-741 Downloads View citations (6)
    See also Working Paper (2011)
  5. Forecasting with Medium and Large Bayesian VARS
    Journal of Applied Econometrics, 2013, 28, (2), 177-203 View citations (74)
    See also Working Paper (2011)
  6. Large time-varying parameter VARs
    Journal of Econometrics, 2013, 177, (2), 185-198 Downloads View citations (78)
    See also Working Paper (2012)
  7. Modeling the relationship between European carbon permits and certified emission reductions
    Journal of Empirical Finance, 2013, 24, (C), 166-181 Downloads View citations (3)
  8. On Identification of Bayesian DSGE Models
    Journal of Business & Economic Statistics, 2013, 31, (3), 300-314 Downloads View citations (17)
    See also Working Paper (2011)
  9. Stochastic search variable selection in vector error correction models with an application to a model of the UK macroeconomy
    Journal of Applied Econometrics, 2013, 28, (1), 62-81 View citations (3)
    See also Working Paper (2009)

2012

  1. Bayesian model averaging in the instrumental variable regression model
    Journal of Econometrics, 2012, 171, (2), 237-250 Downloads View citations (14)
    See also Working Paper (2012)
  2. FORECASTING INFLATION USING DYNAMIC MODEL AVERAGING
    International Economic Review, 2012, 53, (3), 867-886 Downloads View citations (72)
    See also Working Paper (2011)
  3. The dynamics of UK and US inflation expectations
    Computational Statistics & Data Analysis, 2012, 56, (11), 3120-3133 Downloads View citations (2)
    See also Working Paper (2012)
  4. Time Varying Dimension Models
    Journal of Business & Economic Statistics, 2012, 30, (3), 358-367 Downloads View citations (26)
    See also Working Paper (2011)
  5. Using VARs and TVP-VARs with Many Macroeconomic Variables
    Central European Journal of Economic Modelling and Econometrics, 2012, 4, (3), 143-167 Downloads View citations (1)
    See also Working Paper (2013)

2011

  1. Bayesian inference in a time varying cointegration model
    Journal of Econometrics, 2011, 165, (2), 210-220 Downloads View citations (10)
    See also Working Paper (2011)
  2. Do environmental regulations affect the location decisions of multinational gold mining firms?
    Journal of Economic Geography, 2011, 11, (1), 151-177 Downloads View citations (8)
  3. Time varying VARs with inequality restrictions
    Journal of Economic Dynamics and Control, 2011, 35, (7), 1126-1138 Downloads View citations (27)
  4. UK macroeconomic forecasting with many predictors: Which models forecast best and when do they do so?
    Economic Modelling, 2011, 28, (5), 2307-2318 Downloads View citations (21)
    See also Working Paper (2011)
  5. Understanding liquidity and credit risks in the financial crisis
    Journal of Empirical Finance, 2011, 18, (5), 903-914 Downloads View citations (10)
    See also Working Paper (2011)

2010

  1. A flexible approach to parametric inference in nonlinear and time varying time series models
    Journal of Econometrics, 2010, 159, (1), 134-150 Downloads View citations (8)
    See also Working Paper (2010)
  2. Bayesian Multivariate Time Series Methods for Empirical Macroeconomics
    Foundations and Trends(R) in Econometrics, 2010, 3, (4), 267-358 Downloads View citations (140)
    See also Working Paper (2009)
  3. Bayesian forecasting using stochastic search variable selection in a VAR subject to breaks
    International Journal of Forecasting, 2010, 26, (2), 326-347 Downloads View citations (30)
  4. Dynamic Probabilities of Restrictions in State Space Models: An Application to the Phillips Curve
    Journal of Business & Economic Statistics, 2010, 28, (3), 370-379 Downloads View citations (14)
  5. Efficient Posterior Simulation for Cointegrated Models with Priors on the Cointegration Space
    Econometric Reviews, 2010, 29, (2), 224-242 Downloads View citations (13)
    See also Working Paper (2006)
  6. Modeling the dynamics of inflation compensation
    Journal of Empirical Finance, 2010, 17, (1), 157-167 Downloads View citations (11)
    See also Working Paper (2009)

2009

  1. On the evolution of the monetary policy transmission mechanism
    Journal of Economic Dynamics and Control, 2009, 33, (4), 997-1017 Downloads View citations (76)
  2. PRIOR ELICITATION IN MULTIPLE CHANGE-POINT MODELS
    International Economic Review, 2009, 50, (3), 751-772 Downloads View citations (7)
    See also Working Paper (2004)
  3. Real-Time Prediction With U.K. Monetary Aggregates in the Presence of Model Uncertainty
    Journal of Business & Economic Statistics, 2009, 27, (4), 480-491 Downloads View citations (40)
    See also Working Paper (2008)

2008

  1. Forecasting Substantial Data Revisions in the Presence of Model Uncertainty
    Economic Journal, 2008, 118, (530), 1128-1144 Downloads View citations (15)
    See also Working Paper (2006)
  2. Re-Examining the Consumption-Wealth Relationship: The Role of Model Uncertainty
    Journal of Money, Credit and Banking, 2008, 40, (2-3), 341-367 Downloads View citations (13)
    See also Working Paper (2005)
  3. What is the environmental performance of firms overseas? An empirical investigation of the global gold mining industry
    Journal of Productivity Analysis, 2008, 30, (2), 129-143 Downloads View citations (5)

2007

  1. Editors' Introduction to the Special Issue of Econometric Reviews on Bayesian Dynamic Econometrics
    Econometric Reviews, 2007, 26, (2-4), 107-112 Downloads
  2. Estimation and Forecasting in Models with Multiple Breaks
    Review of Economic Studies, 2007, 74, (3), 763-789 Downloads View citations (71)

2006

  1. Semiparametric Bayesian inference in smooth coefficient models
    Journal of Econometrics, 2006, 134, (1), 283-315 Downloads View citations (9)
    See also Working Paper (2006)

2005

  1. Alternative efficiency measures for multiple-output production
    Journal of Econometrics, 2005, 126, (2), 411-444 Downloads View citations (24)
    See also Working Paper (2003)
  2. Current developments in productivity and efficiency measurement
    Journal of Econometrics, 2005, 126, (2), 233-240 Downloads View citations (11)
  3. Semiparametric Bayesian inference in multiple equation models
    Journal of Applied Econometrics, 2005, 20, (6), 723-747 Downloads View citations (7)
    See also Working Paper (2005)

2004

  1. Bayesian variants of some classical semiparametric regression techniques
    Journal of Econometrics, 2004, 123, (2), 259-282 Downloads View citations (27)
    See also Working Paper (2001)
  2. Forecasting in dynamic factor models using Bayesian model averaging
    Econometrics Journal, 2004, 7, (2), 550-565 Downloads View citations (69)
  3. Measuring the health effects of air pollution: to what extent can we really say that people are dying from bad air?
    Journal of Environmental Economics and Management, 2004, 47, (1), 30-54 Downloads View citations (14)
  4. Modelling the evolution of distributions: an application to Major League baseball
    Journal of the Royal Statistical Society Series A, 2004, 167, (4), 639-655 Downloads
    See also Working Paper (2001)

2003

  1. A Bayesian analysis of a variance decomposition for stock returns
    Journal of Empirical Finance, 2003, 10, (5), 583-601 Downloads View citations (4)
  2. Bayesian Analysis of Endogenous Delay Threshold Models
    Journal of Business & Economic Statistics, 2003, 21, (1), 93-103 View citations (11)
    See also Working Paper (2000)

2002

  1. Comparing the Performance of Baseball Players: A Multiple-Output Approach
    Journal of the American Statistical Association, 2002, 97, 710-720 Downloads View citations (1)
    See also Working Paper (2001)
  2. Modelling Recreation Demand Using Choice Experiments: Climbing in Scotland
    Environmental & Resource Economics, 2002, 22, (3), 449-466 Downloads View citations (61)
  3. Multiple-Output Production With Undesirable Outputs: An Application to Nitrogen Surplus in Agriculture
    Journal of the American Statistical Association, 2002, 97, 432-442 Downloads View citations (42)
    See also Working Paper (2002)

2001

  1. Are apparent findings of nonlinearity due to structural instability in economic time series?
    Econometrics Journal, 2001, 4, (1), 38 View citations (35)
    See also Working Paper (1999)
  2. Bayesian inference in models based on equilibrium search theory
    Journal of Econometrics, 2001, 102, (2), 311-338 Downloads View citations (1)
    See also Working Paper (1999)
  3. Cross-Sectoral Patterns of Efficiency and Technical Change in Manufacturing
    International Economic Review, 2001, 42, (1), 73-103 View citations (14)
  4. Go climb a mountain: an application of recreation demand modelling to rock climbing in Scotland
    Journal of Agricultural Economics, 2001, 52, (1), 36-52 Downloads View citations (12)
  5. Testing for optimality in job search models
    Econometrics Journal, 2001, 4, (2), 6 View citations (1)
  6. The valuation of IPO and SEO firms
    Journal of Empirical Finance, 2001, 8, (4), 375-401 Downloads View citations (11)

2000

  1. A Bayesian analysis of multiple-output production frontiers
    Journal of Econometrics, 2000, 98, (1), 47-79 Downloads View citations (29)
    See also Working Paper (1999)
  2. A Stochastic Frontier Analysis of Output Level and Growth in Poland and Western Economies
    Economic Change and Restructuring, 2000, 33, (3), 185-202 Downloads View citations (14)
    See also Working Paper (1997)
  3. Modeling the Sources of Output Growth in a Panel of Countries
    Journal of Business & Economic Statistics, 2000, 18, (3), 284-99 View citations (32)
  4. Testing for integration using evolving trend and seasonals models: A Bayesian approach
    Journal of Econometrics, 2000, 97, (2), 261-291 Downloads View citations (21)
    See also Working Paper (1999)

1999

  1. Bayesian Analysis, Computation and Communication Software
    Journal of Applied Econometrics, 1999, 14, (6), 677-89 Downloads View citations (2)
  2. Dynamic Asymmetries in U.S. Unemployment
    Journal of Business & Economic Statistics, 1999, 17, (3), 298-312 View citations (75)
    See also Working Paper (1998)
  3. Incomplete models and reweighting
    Econometric Reviews, 1999, 18, (1), 97-104 Downloads
  4. Is there an environmental Kuznets curve for deforestation?
    Journal of Development Economics, 1999, 58, (1), 231-244 Downloads View citations (98)
  5. The Components of Output Growth: A Stochastic Frontier Analysis
    Oxford Bulletin of Economics and Statistics, 1999, 61, (4), 455-87 Downloads View citations (39)

1998

  1. Bayes factors and nonlinearity: Evidence from economic time series1
    Journal of Econometrics, 1998, 88, (2), 251-281 Downloads View citations (41)
  2. Carbon dioxide emissions and economic growth: A structural approach
    Journal of Applied Statistics, 1998, 25, (4), 489-515 Downloads View citations (21)
  3. On the sensitivity of unit root inference to nonlinear data transformations
    Economics Letters, 1998, 59, (1), 7-15 Downloads View citations (10)

1997

  1. Bayesian analysis of long memory and persistence using ARFIMA models
    Journal of Econometrics, 1997, 76, (1-2), 149-169 Downloads View citations (16)
    See also Working Paper (2004)
  2. Bayesian efficiency analysis through individual effects: Hospital cost frontiers
    Journal of Econometrics, 1997, 76, (1-2), 77-105 Downloads View citations (92)
    See also Working Paper (1995)
  3. Learning about the across-regime correlation in switching regression models
    Journal of Econometrics, 1997, 78, (2), 217-227 Downloads View citations (21)
  4. Measuring differential forest outcomes: A tale of two countries
    World Development, 1997, 25, (12), 2043-2056 Downloads View citations (1)

1996

  1. Correction [Posterior Properties of Long-Run Impulse Responses]
    Journal of Business & Economic Statistics, 1996, 14, (2), 257
  2. Impulse response analysis in nonlinear multivariate models
    Journal of Econometrics, 1996, 74, (1), 119-147 Downloads View citations (1188)
  3. Parameter uncertainty and impulse response analysis
    Journal of Econometrics, 1996, 72, (1-2), 135-149 Downloads View citations (26)

1995

  1. Bayesian long-run prediction in time series models
    Journal of Econometrics, 1995, 69, (1), 61-80 Downloads View citations (7)

1994

  1. A Decision-Theoretic Analysis of the Unit-Root Hypothesis Using Mixtures of Elliptical Models
    Journal of Business & Economic Statistics, 1994, 12, (1), 95-107 View citations (4)
    See also Working Paper (1991)
  2. An objective Bayesian analysis of common stochastic trends in international stock prices and exchange rates
    Journal of Empirical Finance, 1994, 1, (3-4), 343-364 Downloads View citations (6)
  3. Bayesian Efficiency Analysis with a Flexible Form: The AIM Cost Function
    Journal of Business & Economic Statistics, 1994, 12, (3), 339-46 View citations (28)
    See also Working Paper (1994)
  4. Bayesian Semi-nonparametric ARCH Models
    The Review of Economics and Statistics, 1994, 76, (1), 176-81 Downloads View citations (3)
  5. Posterior Properties of Long-Run Impulse Responses
    Journal of Business & Economic Statistics, 1994, 12, (4), 489-92 View citations (3)
  6. Rank-Ordered Logit Models: An Empirical Analysis of Ontario Voter Preferences
    Journal of Applied Econometrics, 1994, 9, (4), 369-88 Downloads View citations (6)
  7. Recent Progress in Applied Bayesian Econometrics
    Journal of Economic Surveys, 1994, 8, (1), 1-34 View citations (16)
  8. Stochastic frontier models: A Bayesian perspective
    Journal of Econometrics, 1994, 61, (2), 273-303 Downloads View citations (107)

1993

  1. Bayesian analysis of logit models using natural conjugate priors
    Journal of Econometrics, 1993, 56, (3), 323-340 Downloads View citations (12)
  2. Do recessions permanently change output?
    Journal of Monetary Economics, 1993, 31, (2), 149-163 Downloads View citations (211)
  3. Econometric estimation of proportional hazard models
    Journal of Economics and Business, 1993, 45, (5), 421-430 Downloads View citations (1)

1992

  1. 'Objective' Bayesian Unit Root Tests
    Journal of Applied Econometrics, 1992, 7, (1), 65-82 Downloads View citations (10)
  2. Aggregate Shocks and Macroeconomic Fluctuations: A Bayesian Approach
    Journal of Applied Econometrics, 1992, 7, (4), 395-411 Downloads View citations (16)
  3. Review of PCBRAP
    Journal of Applied Econometrics, 1992, 7, (1), 105-07 Downloads

1991

  1. Cointegration tests in present value relationships: A Bayesian look at the bivariate properties of stock prices and dividends
    Journal of Econometrics, 1991, 49, (1-2), 105-139 Downloads View citations (8)
  2. Intertemporal Properties of Real Output: A Bayesian Analysis
    Journal of Business & Economic Statistics, 1991, 9, (3), 253-65 View citations (9)
  3. To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends: A Comment
    Journal of Applied Econometrics, 1991, 6, (4), 365-70 Downloads View citations (4)

Books

2007

  1. Bayesian Econometric Methods
    Cambridge Books, Cambridge University Press View citations (66)
    Also in Cambridge Books, Cambridge University Press (2007) View citations (66)

    See also Working Paper (2007)

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)

Software Items

 
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