Details about Eric Eisenstat

Access statistics for papers by Eric Eisenstat.

Last updated 2022-04-14. Update your information in the RePEc Author Service.

Short-id: pei47

Working Papers

2018

1. Comparing hybrid time-varying parameter VARs
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (11)
   See also Journal Article Comparing hybrid time-varying parameter VARs, Economics Letters, Elsevier (2018) View citations (12) (2018)
2. Composite Likelihood Methods for Large Bayesian VARs with Stochastic Volatility
   Working Paper Series, Economics Discipline Group, UTS Business School, University of Technology, Sydney View citations (7)
   Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2018) View citations (10)
   See also Journal Article Composite likelihood methods for large Bayesian VARs with stochastic volatility, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2020) View citations (8) (2020)
3. Identifying Noise Shocks
   Working Paper Series, Economics Discipline Group, UTS Business School, University of Technology, Sydney View citations (1)
   See also Journal Article Identifying noise shocks, Journal of Economic Dynamics and Control, Elsevier (2020) View citations (3) (2020)
4. Reducing Dimensions in a Large TVP-VAR
   Working Paper series, Rimini Centre for Economic Analysis View citations (6)
   Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2018) View citations (6)
   Working Paper Series, Economics Discipline Group, UTS Business School, University of Technology, Sydney (2018) View citations (6)

2015

5. Bayesian model comparison for time-varying parameter VARs with stochastic volatility
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (18)
   See also Journal Article Bayesian model comparison for time‐varying parameter VARs with stochastic volatility, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2018) View citations (90) (2018)
6. Efficient estimation of Bayesian VARMAs with time-varying coefficients
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (5)
7. Large Bayesian VARMAs
   Working Paper series, Rimini Centre for Economic Analysis View citations (2)
   Also in Working Papers, University of Strathclyde Business School, Department of Economics (2014) View citations (8)
   SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2014) View citations (8)
   Working Paper series, Rimini Centre for Economic Analysis (2014) View citations (16)
   See also Journal Article Large Bayesian VARMAs, Journal of Econometrics, Elsevier (2016) View citations (21) (2016)

2014

8. Modelling Inflation Volatility
   Working Paper series, Rimini Centre for Economic Analysis View citations (8)
   Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2014) View citations (15)
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2014) View citations (8)
   See also Journal Article Modelling Inflation Volatility, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2016) View citations (7) (2016)
9. Stochastic Model Specification Search for Time-Varying Parameter VARs
   Working Paper series, Rimini Centre for Economic Analysis View citations (9)
   Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2014) View citations (31)
   See also Journal Article Stochastic Model Specification Search for Time-Varying Parameter VARs, Econometric Reviews, Taylor & Francis Journals (2016) View citations (36) (2016)

2013

10. Gibbs Samplers for VARMA and Its Extensions
    ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics View citations (2)

2012

11. Marginal Likelihood Estimation with the Cross-Entropy Method
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (2)
    Also in MPRA Paper, University Library of Munich, Germany (2012) View citations (3)
    See also Journal Article Marginal Likelihood Estimation with the Cross-Entropy Method, Econometric Reviews, Taylor & Francis Journals (2015) View citations (52) (2015)

Journal Articles

2022

1. Choosing between identification schemes in noisy-news models
   Studies in Nonlinear Dynamics & Econometrics, 2022, 26, (1), 99-136

2020

2. Composite likelihood methods for large Bayesian VARs with stochastic volatility
   Journal of Applied Econometrics, 2020, 35, (6), 692-711 View citations (8)
   See also Working Paper Composite Likelihood Methods for Large Bayesian VARs with Stochastic Volatility, Working Paper Series (2018) View citations (7) (2018)
3. Identifying noise shocks
   Journal of Economic Dynamics and Control, 2020, 111, (C) View citations (3)
   See also Working Paper Identifying Noise Shocks, Working Paper Series (2018) View citations (1) (2018)
4. Reducing the state space dimension in a large TVP-VAR
   Journal of Econometrics, 2020, 218, (1), 105-118 View citations (49)

2018

5. Bayesian model comparison for time‐varying parameter VARs with stochastic volatility
   Journal of Applied Econometrics, 2018, 33, (4), 509-532 View citations (90)
   See also Working Paper Bayesian model comparison for time-varying parameter VARs with stochastic volatility, CAMA Working Papers (2015) View citations (18) (2015)
6. Comparing hybrid time-varying parameter VARs
   Economics Letters, 2018, 171, (C), 1-5 View citations (12)
   See also Working Paper Comparing hybrid time-varying parameter VARs, CAMA Working Papers (2018) View citations (11) (2018)

2017

7. Efficient estimation of Bayesian VARMAs with time†varying coefficients
   Journal of Applied Econometrics, 2017, 32, (7), 1277-1297 View citations (5)

2016

8. Large Bayesian VARMAs
   Journal of Econometrics, 2016, 192, (2), 374-390 View citations (21)
   See also Working Paper Large Bayesian VARMAs, Working Paper series (2015) View citations (2) (2015)
9. Modelling Inflation Volatility
   Journal of Applied Econometrics, 2016, 31, (5), 805-820 View citations (7)
   See also Working Paper Modelling Inflation Volatility, Working Paper series (2014) View citations (8) (2014)
10. Stochastic Model Specification Search for Time-Varying Parameter VARs
    Econometric Reviews, 2016, 35, (8-10), 1638-1665 View citations (36)
    See also Working Paper Stochastic Model Specification Search for Time-Varying Parameter VARs, Working Paper series (2014) View citations (9) (2014)

2015

11. Marginal Likelihood Estimation with the Cross-Entropy Method
    Econometric Reviews, 2015, 34, (3), 256-285 View citations (52)
    See also Working Paper Marginal Likelihood Estimation with the Cross-Entropy Method, CAMA Working Papers (2012) View citations (2) (2012)

2011

12. THE ECONOMICS OF MEASURING QUALITY OF LIFE BY THE STANDARD GAMBLE METHOD
    Annals of Spiru Haret University, Economic Series, 2011, 2, (1), 81-100

2010

13. A Comment on “A Review of Student Test Properties in Condition of Multifactorial Linear Regression”
    Journal for Economic Forecasting, 2010, (3), 53-73
14. BAYESIAN ANALYSIS OF CARTEL STABILITY AND REGIME SWITCHING
    Annals of Spiru Haret University, Economic Series, 2010, 1, (1), 85-95