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 2023-08-05. Update your information in the RePEc Author Service.

Short-id: pge136

---

Jump to Journal Articles Edited books Chapters Editor

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 View citations (7)
2. Prediction using several macroeconomic models
   Working Paper Series, European Central Bank View citations (15)

2011

3. Analysis of variance for bayesian inference
   Working Paper Series, European Central Bank View citations (1)
   See also Journal Article Analysis of Variance for Bayesian Inference, Econometric Reviews, Taylor & Francis Journals (2014) View citations (14) (2014)
4. Economic Rationality, Risk Presentation, and Retirement Portfolio Choice
   Working Papers, ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales
   Also in MPRA Paper, University Library of Munich, Germany (2011) View citations (1)
5. 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 View citations (1)

2009

6. Optimal Prediction Pools
   Working Paper Series, European Central Bank View citations (13)
   See also Journal Article Optimal prediction pools, Journal of Econometrics, Elsevier (2011) View citations (255) (2011)

2007

7. Hierarchical Markov Normal Mixture Models with Applications to Financial Asset Returns
   Working Papers, University of Brescia, Department of Economics View citations (26)
   See also Journal Article Hierarchical Markov normal mixture models with applications to financial asset returns, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2011) View citations (76) (2011)

2006

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

2005

9. 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 View citations (3)
10. 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 View citations (1)

2002

11. Bayesian inference for hospital quality in a selection model
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (1)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2001) View citations (4)
    See also Journal Article Bayesian Inference for Hospital Quality in a Selection Model, Econometrica, Econometric Society (2003) View citations (112) (2003)

2000

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

1999

14. Computational Experiments and Reality
    Computing in Economics and Finance 1999, Society for Computational Economics View citations (67)
15. Simulation Based Inference for Dynamic Multinomial Choice Models
    MPRA Paper, University Library of Munich, Germany View citations (9)
16. Using Simulation Methods for Bayesian Econometric Models
    Computing in Economics and Finance 1999, Society for Computational Economics View citations (689)

1998

17. Using simulation methods for Bayesian econometric models: inference, development, and communication
    Staff Report, Federal Reserve Bank of Minneapolis View citations (96)
    See also Journal Article Using simulation methods for bayesian econometric models: inference, development,and communication, Econometric Reviews, Taylor & Francis Journals (1999) View citations (643) (1999)

1997

18. An empirical analysis of income dynamics among men in the PSID: 1968-1989
    Staff Report, Federal Reserve Bank of Minneapolis View citations (1)
    Also in Institute for Research on Poverty Discussion Papers, University of Wisconsin Institute for Research on Poverty View citations (6)
19. Mixture of normals probit models
    Staff Report, Federal Reserve Bank of Minneapolis View citations (33)

1996

20. Bayesian inference for dynamic choice models without the need for dynamic programming
    Working Papers, Federal Reserve Bank of Minneapolis View citations (20)
21. Measuring the Pricing Error of the Arbitrage Pricing Theory
    CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics View citations (165)
    Also in Staff Report, Federal Reserve Bank of Minneapolis (1995) View citations (6)
    See also Journal Article Measuring the Pricing Error of the Arbitrage Pricing Theory, The Review of Financial Studies, Society for Financial Studies (1996) View citations (166) (1996)
22. Simulation-based Bayesian inference for economic time series
    Working Papers, Federal Reserve Bank of Minneapolis View citations (4)

1995

23. Bayesian inference for linear models subject to linear inequality constraints
    Working Papers, Federal Reserve Bank of Minneapolis View citations (5)
24. Bayesian reduced rank regression in econometrics
    Working Papers, Federal Reserve Bank of Minneapolis View citations (1)
    See also Journal Article Bayesian reduced rank regression in econometrics, Journal of Econometrics, Elsevier (1996) View citations (100) (1996)
25. Monte Carlo simulation and numerical integration
    Staff Report, Federal Reserve Bank of Minneapolis View citations (22)
    See also Chapter Monte carlo simulation and numerical integration, Handbook of Computational Economics, Elsevier (1996) View citations (73) (1996)
26. 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 (80)
27. Prior density ratio class robustness in econometrics
    Working Papers, Federal Reserve Bank of Minneapolis
    See also Journal Article Prior Density-Ratio Class Robustness in Econometrics, Journal of Business & Economic Statistics, American Statistical Association (1998) View citations (2) (1998)

1994

28. Advances in Random Utility Models
    MPRA Paper, University Library of Munich, Germany View citations (5)
29. Alternative computational approaches to inference in the multinomial probit model
    Staff Report, Federal Reserve Bank of Minneapolis View citations (180)
    See also Journal Article Alternative Computational Approaches to Inference in the Multinomial Probit Model, The Review of Economics and Statistics, MIT Press (1994) View citations (172) (1994)
30. Bayesian comparison of econometric models
    Working Papers, Federal Reserve Bank of Minneapolis View citations (40)
31. Recursively Simulating Multinomial Multiperiod Probit Probabilities
    MPRA Paper, University Library of Munich, Germany View citations (2)
32. Statistical inference in the multinomial multiperiod probit model
    Staff Report, Federal Reserve Bank of Minneapolis View citations (9)
    See also Journal Article Statistical inference in the multinomial multiperiod probit model, Journal of Econometrics, Elsevier (1997) View citations (102) (1997)
33. Variable selection and model comparison in regression
    Working Papers, Federal Reserve Bank of Minneapolis View citations (4)

1992

34. Priors for macroeconomic time series and their application
    Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis View citations (14)
    See also Journal Article Priors for Macroeconomic Time Series and Their Application, Econometric Theory, Cambridge University Press (1994) View citations (37) (1994)

1991

35. Evaluating the accuracy of sampling-based approaches to the calculation of posterior moments
    Staff Report, Federal Reserve Bank of Minneapolis View citations (111)

Journal Articles

2014

1. Analysis of Variance for Bayesian Inference
   Econometric Reviews, 2014, 33, (1-4), 270-288 View citations (14)
   See also Working Paper Analysis of variance for bayesian inference, Working Paper Series (2011) View citations (1) (2011)

2012

2. Financial Competence and Expectations Formation: Evidence from Australia
   The Economic Record, 2012, 88, (280), 39-63 View citations (18)
3. Nonparametric Bayesian modelling of monotone preferences for discrete choice experiments
   Journal of Econometrics, 2012, 171, (2), 185-204 View citations (3)
4. Prediction with Misspecified Models
   American Economic Review, 2012, 102, (3), 482-86 View citations (49)

2011

5. Hierarchical Markov normal mixture models with applications to financial asset returns
   Journal of Applied Econometrics, 2011, 26, (1), 1-29 View citations (76)
   See also Working Paper Hierarchical Markov Normal Mixture Models with Applications to Financial Asset Returns, Working Papers (2007) View citations (26) (2007)
6. Inference and prediction in a multiple-structural-break model
   Journal of Econometrics, 2011, 163, (2), 172-185 View citations (30)
7. Optimal prediction pools
   Journal of Econometrics, 2011, 164, (1), 130-141 View citations (255)
   See also Working Paper Optimal Prediction Pools, Working Paper Series (2009) View citations (13) (2009)

2010

8. Comment
   International Journal of Forecasting, 2010, 26, (2), 435-438
9. Comparing and evaluating Bayesian predictive distributions of asset returns
   International Journal of Forecasting, 2010, 26, (2), 216-230 View citations (304)
10. Memoirs of an indifferent trader: Estimating forecast distributions from prediction markets
    Quantitative Economics, 2010, 1, (1), 163-186 View citations (5)

2009

11. Comments on "Convergence Properties of the Likelihood of Computed Dynamic Models"
    Econometrica, 2009, 77, (6), 2009-2017 View citations (8)

2007

12. Bayesian Model Comparison and Validation
    American Economic Review, 2007, 97, (2), 60-64 View citations (25)
13. Comment
    Econometric Reviews, 2007, 26, (2-4), 193-200
14. Computational techniques for applied econometric analysis of macroeconomic and financial processes
    Computational Statistics & Data Analysis, 2007, 51, (7), 3506-3508 View citations (1)
15. Interpretation and inference in mixture models: Simple MCMC works
    Computational Statistics & Data Analysis, 2007, 51, (7), 3529-3550 View citations (87)
16. Smoothly mixing regressions
    Journal of Econometrics, 2007, 138, (1), 252-290 View citations (98)

2006

17. A variance screen for collusion
    International Journal of Industrial Organization, 2006, 24, (3), 467-486 View citations (111)

2004

18. Getting It Right: Joint Distribution Tests of Posterior Simulators
    Journal of the American Statistical Association, 2004, 99, 799-804 View citations (50)

2003

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

2002

22. 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 View citations (2)

2001

23. A note on some limitations of CRRA utility
    Economics Letters, 2001, 71, (3), 341-345 View citations (82)
24. Bayesian Inference and Posterior Simulators
    Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, 2001, 49, (3), 313-325
25. Bayesian Specification Analysis in Econometrics
    American Journal of Agricultural Economics, 2001, 83, (5), 1181-1186 View citations (3)
26. Bayesian econometrics and forecasting
    Journal of Econometrics, 2001, 100, (1), 11-15 View citations (32)
27. 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 (29)

2000

28. An empirical analysis of earnings dynamics among men in the PSID: 1968-1989
    Journal of Econometrics, 2000, 96, (2), 293-356 View citations (102)
29. Introduction: inference and decision making
    Journal of Applied Econometrics, 2000, 15, (6), 545-546 View citations (2)

1999

30. Power of Tests in Binary Response Models: Comment
    Econometrica, 1999, 67, (2), 423-426
31. Reply
    Econometric Reviews, 1999, 18, (1), 119-126
32. Using simulation methods for bayesian econometric models: inference, development,and communication
    Econometric Reviews, 1999, 18, (1), 1-73 View citations (643)
    See also Working Paper Using simulation methods for Bayesian econometric models: inference, development, and communication, Staff Report (1998) View citations (96) (1998)

1998

33. Prior Density-Ratio Class Robustness in Econometrics
    Journal of Business & Economic Statistics, 1998, 16, (4), 469-78 View citations (2)
    See also Working Paper Prior density ratio class robustness in econometrics, Working Papers (1995) (1995)
34. Real and Spurious Long-Memory Properties of Stock-Market Data: Comment
    Journal of Business & Economic Statistics, 1998, 16, (3), 269-71 View citations (19)
35. 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

36. Statistical inference in the multinomial multiperiod probit model
    Journal of Econometrics, 1997, 80, (1), 125-165 View citations (102)
    See also Working Paper Statistical inference in the multinomial multiperiod probit model, Staff Report (1994) View citations (9) (1994)

1996

37. Bayesian reduced rank regression in econometrics
    Journal of Econometrics, 1996, 75, (1), 121-146 View citations (100)
    See also Working Paper Bayesian reduced rank regression in econometrics, Working Papers (1995) View citations (1) (1995)
38. Measuring the Pricing Error of the Arbitrage Pricing Theory
    The Review of Financial Studies, 1996, 9, (2), 557-87 View citations (166)
    See also Working Paper Measuring the Pricing Error of the Arbitrage Pricing Theory, CEMA Working Papers (1996) View citations (165) (1996)

1995

39. A fine time for monetary policy?
    Quarterly Review, 1995, 19, (Win), 18-31 View citations (7)

1994

40. Alternative Computational Approaches to Inference in the Multinomial Probit Model
    The Review of Economics and Statistics, 1994, 76, (4), 609-32 View citations (172)
    See also Working Paper Alternative computational approaches to inference in the multinomial probit model, Staff Report (1994) View citations (180) (1994)
41. Bayesian Analysis of Stochastic Volatility Models: Comment
    Journal of Business & Economic Statistics, 1994, 12, (4), 397-99 View citations (10)
42. Priors for Macroeconomic Time Series and Their Application
    Econometric Theory, 1994, 10, (3-4), 609-632 View citations (37)
    See also Working Paper Priors for macroeconomic time series and their application, Discussion Paper / Institute for Empirical Macroeconomics (1992) View citations (14) (1992)

1993

43. Bayesian Treatment of the Independent Student- t Linear Model
    Journal of Applied Econometrics, 1993, 8, (S), S19-40 View citations (227)
44. Forecasting time series with common seasonal patterns
    Journal of Econometrics, 1993, 55, (1-2), 201-202 View citations (1)

1991

45. Seminonparametric Bayesian estimation of the asymptotically ideal production model
    Journal of Econometrics, 1991, 49, (1-2), 5-50 View citations (57)

1989

46. Bayesian Inference in Econometric Models Using Monte Carlo Integration
    Econometrica, 1989, 57, (6), 1317-39 View citations (495)
47. Exact predictive densities for linear models with arch disturbances
    Journal of Econometrics, 1989, 40, (1), 63-86 View citations (59)

1988

48. An Application of Operational-Subjective Statistical Methods to Rational Expectations: Comment
    Journal of Business & Economic Statistics, 1988, 6, (4), 465-66
49. Antithetic acceleration of Monte Carlo integration in Bayesian inference
    Journal of Econometrics, 1988, 38, (1-2), 73-89 View citations (74)
50. Comment on Poirer: Operational Bayesian Methods in Econometrics
    Journal of Economic Perspectives, 1988, 2, (1), 159-66 View citations (1)
51. 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 (10)

1987

52. Long run competition in the U.S. aluminum industry
    International Journal of Industrial Organization, 1987, 5, (1), 67-78 View citations (8)

1986

53. Exact Inference in the Inequality Constrained Normal Linear Regression Model
    Journal of Applied Econometrics, 1986, 1, (2), 127-41 View citations (97)
54. Mobility Indices in Continuous Time Markov Chains
    Econometrica, 1986, 54, (6), 1407-23 View citations (108)
55. The Superneutrality of Money in the United States: An Interpretation of the Evidence
    Econometrica, 1986, 54, (1), 1-21 View citations (62)

1985

56. Macroeconometric Modeling and the Theory of the Representative Agent
    American Economic Review, 1985, 75, (2), 206-10 View citations (15)

1984

57. A Comparison of Autoregressive Univariate Forecasting Procedures for Macroeconomic Time Series
    Journal of Business & Economic Statistics, 1984, 2, (3), 191-200 View citations (36)

1983

58. Comparing alternative tests of causality in temporal systems: Analytic results and experimental evidence
    Journal of Econometrics, 1983, 21, (2), 161-194 View citations (134)

1981

59. Estimating Regression Models of Finite but Unknown Order
    International Economic Review, 1981, 22, (1), 55-70 View citations (96)
    Also in Journal of Econometrics, 1981, 16, (1), 162-162 (1981) View citations (94)
60. 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 (12)
61. Maximum Likelihood "Confirmatory" Factor Analysis of Economic Time Series
    International Economic Review, 1981, 22, (1), 37-54 View citations (48)
62. The Approximate Slopes of Econometric Tests
    Econometrica, 1981, 49, (6), 1427-42 View citations (26)

1979

63. 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 (44)

1978

64. Temporal Aggregation in the Multiple Regression Model
    Econometrica, 1978, 46, (3), 643-61 View citations (43)
65. Testing the exogeneity specification in the complete dynamic simultaneous equation model
    Journal of Econometrics, 1978, 7, (2), 163-185 View citations (12)

1976

66. 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

2013

1. The Oxford Handbook of Bayesian Econometrics
   OUP Catalogue, Oxford University Press View citations (4)

2011

2. The Oxford Handbook of Bayesian Econometrics
   OUP Catalogue, Oxford University Press View citations (96)

2005

3. Economic Complexity: Chaos, Sunspots, Bubbles, and Nonlinearity
   Cambridge Books, Cambridge University Press View citations (4)

1989

4. Economic Complexity: Chaos, Sunspots, Bubbles, and Nonlinearity
   Cambridge Books, Cambridge University Press View citations (117)

Chapters

2006

1. Bayesian Forecasting
   Elsevier View citations (55)

2001

2. Computationally intensive methods for integration in econometrics
   Chapter 56 in Handbook of Econometrics, 2001, vol. 5, pp 3463-3568 View citations (95)

1996

3. Monte carlo simulation and numerical integration
   Chapter 15 in Handbook of Computational Economics, 1996, vol. 1, pp 731-800 View citations (73)
   See also Working Paper Monte Carlo simulation and numerical integration, Federal Reserve Bank of Minneapolis (1995) View citations (22) (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 (90)

1980

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

1978

6. The Temporal and Sectoral Aggregation of Seasonally Adjusted Time Series
   A chapter in Seasonal Analysis of Economic Time Series, 1978, pp 411-432 View citations (10)

Editor

1. Journal of Econometrics
   Elsevier