Details about Gary Koop

E-mail:
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 2022-03-03. Update your information in the RePEc Author Service.

Short-id: pko8

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Working Papers

2009

Bayesian Multivariate Time Series Methods for Empirical Macroeconomics
Working Paper series, Rimini Centre for Economic Analysis View citations (177)
Also in MPRA Paper, University Library of Munich, Germany (2009) View citations (113)
See also Journal Article in Foundations and Trends(R) in Econometrics (2010)
Modeling the Dynamics of Inflation Compensation
Working Paper series, Rimini Centre for Economic Analysis View citations (15)
See also Journal Article in Journal of Empirical Finance (2010)

2008

Bayesian Forecasting using Stochastic Search Variable Selection in a VAR Subject to Breaks
Working Paper series, Rimini Centre for Economic Analysis View citations (6)
See also Journal Article in International Journal of Forecasting (2010)
Dynamic probabilities of restrictions in state space models: An application to the Phillips curve
Working Paper series, Rimini Centre for Economic Analysis
See also Journal Article in Journal of Business & Economic Statistics (2010)
On the Evolution of Monetary Policy
Working Paper series, Rimini Centre for Economic Analysis
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 View citations (3)
Also in Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics (2007) View citations (19)
See also Journal Article in Journal of Business & Economic Statistics (2009)

2007

A flexible approach to parametric inference in nonlinear time series models
Staff Reports, Federal Reserve Bank of New York
Bayesian Econometric Methods
Staff General Research Papers Archive, Iowa State University, Department of Economics View citations (141)
See also Book (2019)
Bayesian Inference in a Cointegrating Panel Data Model
Working Paper series, Rimini Centre for Economic Analysis
Also in Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester (2006) View citations (2)
Prior Elicitation in Multiple Change-point Models
Working Paper series, Rimini Centre for Economic Analysis
Also in Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester (2004) View citations (6)
Staff Reports, Federal Reserve Bank of New York (2004) View citations (7)
See also Journal Article in International Economic Review (2009)
What is the Environmental Performance of Firms Overseas?: An Empirical Investigation of the Global Gold Mining Industry
Working Paper series, Rimini Centre for Economic Analysis View citations (1)
See also Journal Article in Journal of Productivity Analysis (2008)

2006

Efficient Posterior Simulation for Cointegrated Models with Priors On the Cointegration Space
Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester View citations (6)
See also Journal Article in Econometric Reviews (2010)
Forecasting Substantial Data Revisions in the Presence of Model Uncertainty
Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand View citations (12)
Also in Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics (2006) View citations (11)
See also Journal Article in Economic Journal (2008)
Semiparametric Bayesian Inference in Smooth Coefficient Models
Staff General Research Papers Archive, Iowa State University, Department of Economics View citations (14)
Also in Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester (2003)
See also Journal Article in Journal of Econometrics (2006)

2005

Bayesian approaches to cointegratrion
Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (3)
Also in Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester (2004) View citations (8)
Re-examining the Consumption-Wealth Relationship: The Role of Model Uncertainty
Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester View citations (4)
Also in Staff Reports, Federal Reserve Bank of New York (2005) View citations (3)
See also Journal Article in Journal of Money, Credit and Banking (2008)
Semiparametric Bayesian Inference in Multiple Equation Models
Staff General Research Papers Archive, Iowa State University, Department of Economics View citations (13)
See also Journal Article in Journal of Applied Econometrics (2005)

2004

An Investigation of Thresholds in Air Pollution-Mortality Effects
Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester View citations (2)
Bayesian Analysis of Long Memory and Persistence using ARFIMA Models
Econometrics, University Library of Munich, Germany View citations (4)
Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1995) View citations (2)
Working Papers, University of Toronto, Department of Economics (1995) View citations (1)
LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1997) View citations (8)
See also Journal Article in Journal of Econometrics (1997)
Forecasting and Estimating Multiple Change-point Models with an Unknown Number of Change-points
Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester View citations (10)
Also in Staff Reports, Federal Reserve Bank of New York (2004) View citations (8)
Learning About Heterogeneity in Returns to Schooling
Staff General Research Papers Archive, Iowa State University, Department of Economics View citations (30)

2003

Alternative efficiency measures for multiple-output production
Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh View citations (2)
See also Journal Article in Journal of Econometrics (2005)
Bayesian Semiparametric Inference in Multiple Equation Models
Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester View citations (1)
Forecasting in Large Macroeconomic Panels using Bayesian Model Averaging
Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester View citations (54)
Also in Staff Reports, Federal Reserve Bank of New York (2003) View citations (36)

2002

Multiple-Output Production With Undesirable Outputs: An Application to Nitrogen Surplus in Agriculture
Econometrics, University Library of Munich, Germany View citations (67)
Also in Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh (2002) View citations (68)
See also Journal Article in Journal of the American Statistical Association (2002)
Parametric and Nonparametric Inference in Equilibrium Job Search Models
Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester

2001

Bayesian Variants of Some classical Semiparametric Regression Techniques
Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh 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)
Comparing the Performance of Baseball Players: A Multiple Output Approach
Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh View citations (1)
See also Journal Article in Journal of the American Statistical Association (2002)
Modeling the Evolution of Distributions: An Application to Major League Baseball
Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh View citations (1)
See also Journal Article in Journal of the Royal Statistical Society Series A (2004)

2000

Bayesian Analysis of Endogenous Delay Threshold Models
Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh View citations (1)
See also Journal Article in Journal of Business & Economic Statistics (2003)
The Vector Floor and Ceiling Model
Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester View citations (3)

1999

A Bayesian analysis of multiple-output production frontier
Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh View citations (2)
See also Journal Article in Journal of Econometrics (2000)
Are apparent findings of nonlinearity due to structural instability in economic time series?
Staff Reports, Federal Reserve Bank of New York
See also Journal Article in Econometrics Journal (2001)
Bayesian Analysis of Stochastic Frontier Models
Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh View citations (14)
Bayesian inference in models based on equilibrium search theory
Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh
See also Journal Article in Journal of Econometrics (2001)
Cross-sectoral patterns of efficiency and technical change in manufacturing: A stochastic frontier analysis
Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh
Testing for Integration using Evolving Trend and Seasonals Models: A Bayesian Approach
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (5)
Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (1997) View citations (3)
Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (1999) View citations (8)
See also Journal Article in Journal of Econometrics (2000)

1998

Dynamic asymmetries in US unemployment
Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh View citations (5)
See also Journal Article in Journal of Business & Economic Statistics (1999)
The valuation of IPO, SEO and Post-Chapter 11 firms: A Stochastic Frontier Approach
Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh View citations (1)

1997

A Stochastic Frontier Analysis of Output Level and Growth in Poland and Western Economies
Other publications TiSEM, Tilburg University, School of Economics and Management View citations (1)
Also in Discussion Paper, Tilburg University, Center for Economic Research (1997) View citations (1)
See also Journal Article in Economic Change and Restructuring (2000)
Bayesian efficiency analysis through individual effects: Hospital cost frontiers
LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (49)
Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1995) View citations (1)
See also Journal Article in Journal of Econometrics (1997)

1995

Measuring the Sources of Output Growth in a Panel of Countries
LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (9)
The Components of Output Growth: A Croos-Country Analysis
Working Papers, Tilburg - Center for Economic Research View citations (6)
Also in Other publications TiSEM, Tilburg University, School of Economics and Management (1995) View citations (6)
LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1995) View citations (9)
Discussion Paper, Tilburg University, Center for Economic Research (1995) View citations (8)

1994

Bayesian efficiency analysis with a flexible form: The aim cost function
Discussion Paper, Tilburg University, Center for Economic Research View citations (33)
Also in Other publications TiSEM, Tilburg University, School of Economics and Management (1994) View citations (31)
See also Journal Article in Journal of Business & Economic Statistics (1994)
Hospital efficiency analysis through individual effects: A Bayesian approach
Other publications TiSEM, Tilburg University, School of Economics and Management View citations (2)
Also in Discussion Paper, Tilburg University, Center for Economic Research (1994) View citations (4)
Posterior Analysis of Stochastic Frontier Models using Gibbs Sampling
LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (16)
Also in DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística (1992) View citations (1)

1993

A decision theoretic analysis of the unit root hypothesis using mixtures of elliptical models
DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
Also in Working Papers, Tilburg - Center for Economic Research (1991) View citations (1)
Other publications TiSEM, Tilburg University, School of Economics and Management (1991) View citations (1)
Discussion Paper, Tilburg University, Center for Economic Research (1991) View citations (1)
See also Journal Article in Journal of Business & Economic Statistics (1994)
Bayesian efficiency analysis with a flexible cost function
DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística

1992

Bayesian long-run prediction in time series models
UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (1)
See also Journal Article in Journal of Econometrics (1995)
Posterior inference on long-run impulse responses
UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía
Stochastic frontier models: a bayesian perspective
UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (2)
See also Journal Article in Journal of Econometrics (1994)

Undated

Bayesian modelling of catch in a Northwest Atlantic Fishery (first version)
Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh

Journal Articles

2021

Inducing Sparsity and Shrinkage in Time-Varying Parameter Models
Journal of Business & Economic Statistics, 2021, 39, (3), 669-683 View citations (5)
See also Working Paper (2019)
NOWCASTING ‘TRUE’ MONTHLY U.S. GDP DURING THE PANDEMIC
National Institute Economic Review, 2021, 256, 44-70 View citations (1)
See also Working Paper (2021)

2020

Composite likelihood methods for large Bayesian VARs with stochastic volatility
Journal of Applied Econometrics, 2020, 35, (6), 692-711 View citations (3)
See also Working Paper (2018)
Computationally efficient inference in large Bayesian mixed frequency VARs
Economics Letters, 2020, 191, (C) View citations (5)
See also Working Paper (2020)
Exchange rate predictability and dynamic Bayesian learning
Journal of Applied Econometrics, 2020, 35, (4), 410-421 View citations (8)
See also Working Paper (2018)
Identifying noise shocks
Journal of Economic Dynamics and Control, 2020, 111, (C) View citations (2)
See also Working Paper (2018)
RECONCILED ESTIMATES AND NOWCASTS OF REGIONAL OUTPUT IN THE UK
National Institute Economic Review, 2020, 253, R44-R59 View citations (4)
Regional output growth in the United Kingdom: More timely and higher frequency estimates from 1970
Journal of Applied Econometrics, 2020, 35, (2), 176-197 View citations (17)
UK regional nowcasting using a mixed frequency vector auto‐regressive model with entropic tilting
Journal of the Royal Statistical Society Series A, 2020, 183, (1), 91-119 View citations (10)

2019

An empirical assessment of recent challenges in today's financial markets
Scottish Journal of Political Economy, 2019, 66, (1), 1-4
Bayesian compressed vector autoregressions
Journal of Econometrics, 2019, 210, (1), 135-154 View citations (30)
See also Working Paper (2017)
Forecasting with High‐Dimensional Panel VARs
Oxford Bulletin of Economics and Statistics, 2019, 81, (5), 937-959 View citations (5)
See also Working Paper (2018)
Nowcasting Using Mixed Frequency Methods: An Application to the Scottish Economy
Sankhya B: The Indian Journal of Statistics, 2019, 81, (1), 12-45 View citations (1)

2018

A New Model of Inflation, Trend Inflation, and Long‐Run Inflation Expectations
Journal of Money, Credit and Banking, 2018, 50, (1), 5-53 View citations (36)
See also Working Paper (2015)
One size does not fit all… panel data: Bayesian model averaging and data poolability
Economic Modelling, 2018, 75, (C), 364-376 View citations (15)

2017

Bayesian Methods for Empirical Macroeconomics
Review of Economic Analysis, 2017, 9, (1), 33-56 View citations (15)

2016

A Bounded Model of Time Variation in Trend Inflation, Nairu and the Phillips Curve
Journal of Applied Econometrics, 2016, 31, (3), 551-565 View citations (34)
See also Working Paper (2014)
Domestic Violence and Football in Glasgow: Are Reference Points Relevant?
Oxford Bulletin of Economics and Statistics, 2016, 78, (1), 1-21 View citations (1)
See also Working Paper (2013)
Large Bayesian VARMAs
Journal of Econometrics, 2016, 192, (2), 374-390 View citations (18)
See also Working Paper (2015)
Model uncertainty in Panel Vector Autoregressive models
European Economic Review, 2016, 81, (C), 115-131 View citations (46)
See also Working Paper (2015)
Should we care about the uncertainty around measures of political-economic development?
Journal of Comparative Economics, 2016, 44, (3), 752-763 View citations (8)

2015

Regime-switching cointegration
Studies in Nonlinear Dynamics & Econometrics, 2015, 19, (1), 35-48 View citations (7)
See also Working Paper (2011)
The Contribution of Structural Break Models to Forecasting Macroeconomic Series
Journal of Applied Econometrics, 2015, 30, (4), 596-620 View citations (42)
See also Working Paper (2011)
Working Paper (2015)

2014

A new index of financial conditions
European Economic Review, 2014, 71, (C), 101-116 View citations (161)
See also Working Paper (2013)
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 View citations (4)
Forecasting with dimension switching VARs
International Journal of Forecasting, 2014, 30, (2), 280-290 View citations (15)
Hierarchical Shrinkage in Time‐Varying Parameter Models
Journal of Forecasting, 2014, 33, (1), 80-94 View citations (75)
See also Working Paper (2011)
Modelling breaks and clusters in the steady states of macroeconomic variables
Computational Statistics & Data Analysis, 2014, 76, (C), 186-193 View citations (8)
See also Working Paper (2013)
TIME VARIATION IN THE DYNAMICS OF WORKER FLOWS: EVIDENCE FROM NORTH AMERICA AND EUROPE
Journal of Applied Econometrics, 2014, 29, (2), 265-290 View citations (6)

2013

A New Model of Trend Inflation
Journal of Business & Economic Statistics, 2013, 31, (1), 94-106 View citations (58)
See also Working Paper (2012)
Editorial: The Scottish Journal of Political Economy's 60th Birthday Issue
Scottish Journal of Political Economy, 2013, 60, (5), 461-461
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 View citations (1)
See also Working Paper (2012)
Forecasting the European carbon market
Journal of the Royal Statistical Society Series A, 2013, 176, (3), 723-741 View citations (33)
See also Working Paper (2011)
Forecasting with Medium and Large Bayesian VARS
Journal of Applied Econometrics, 2013, 28, (2), 177-203 View citations (202)
See also Working Paper (2011)
Large time-varying parameter VARs
Journal of Econometrics, 2013, 177, (2), 185-198 View citations (235)
See also Working Paper (2012)
Modeling the relationship between European carbon permits and certified emission reductions
Journal of Empirical Finance, 2013, 24, (C), 166-181 View citations (6)
On Identification of Bayesian DSGE Models
Journal of Business & Economic Statistics, 2013, 31, (3), 300-314 View citations (52)
See also Working Paper (2011)

2012

Bayesian model averaging in the instrumental variable regression model
Journal of Econometrics, 2012, 171, (2), 237-250 View citations (34)
See also Working Paper (2012)
FORECASTING INFLATION USING DYNAMIC MODEL AVERAGING
International Economic Review, 2012, 53, (3), 867-886 View citations (220)
See also Working Paper (2011)
The dynamics of UK and US inflation expectations
Computational Statistics & Data Analysis, 2012, 56, (11), 3120-3133 View citations (13)
See also Working Paper (2012)
Time Varying Dimension Models
Journal of Business & Economic Statistics, 2012, 30, (3), 358-367 View citations (57)
See also Working Paper (2011)
Using VARs and TVP-VARs with Many Macroeconomic Variables
Central European Journal of Economic Modelling and Econometrics, 2012, 4, (3), 143-167 View citations (4)
See also Working Paper (2013)

2011

Bayesian inference in a time varying cointegration model
Journal of Econometrics, 2011, 165, (2), 210-220 View citations (38)
See also Working Paper (2011)
Do environmental regulations affect the location decisions of multinational gold mining firms?
Journal of Economic Geography, 2011, 11, (1), 151-177 View citations (18)
Time varying VARs with inequality restrictions
Journal of Economic Dynamics and Control, 2011, 35, (7), 1126-1138 View citations (58)
UK macroeconomic forecasting with many predictors: Which models forecast best and when do they do so?
Economic Modelling, 2011, 28, (5), 2307-2318 View citations (53)
See also Working Paper (2011)
Understanding liquidity and credit risks in the financial crisis
Journal of Empirical Finance, 2011, 18, (5), 903-914 View citations (31)
See also Working Paper (2011)

2010

A flexible approach to parametric inference in nonlinear and time varying time series models
Journal of Econometrics, 2010, 159, (1), 134-150 View citations (11)
See also Working Paper (2010)
Bayesian Multivariate Time Series Methods for Empirical Macroeconomics
Foundations and Trends(R) in Econometrics, 2010, 3, (4), 267-358 View citations (410)
See also Working Paper (2009)
Bayesian forecasting using stochastic search variable selection in a VAR subject to breaks
International Journal of Forecasting, 2010, 26, (2), 326-347 View citations (37)
See also Working Paper (2008)
Dynamic Probabilities of Restrictions in State Space Models: An Application to the Phillips Curve
Journal of Business & Economic Statistics, 2010, 28, (3), 370-379 View citations (20)
See also Working Paper (2008)
Efficient Posterior Simulation for Cointegrated Models with Priors on the Cointegration Space
Econometric Reviews, 2010, 29, (2), 224-242 View citations (25)
See also Working Paper (2006)
Modeling the dynamics of inflation compensation
Journal of Empirical Finance, 2010, 17, (1), 157-167 View citations (30)
See also Working Paper (2009)

2009

On the evolution of the monetary policy transmission mechanism
Journal of Economic Dynamics and Control, 2009, 33, (4), 997-1017 View citations (170)
PRIOR ELICITATION IN MULTIPLE CHANGE-POINT MODELS
International Economic Review, 2009, 50, (3), 751-772 View citations (11)
See also Working Paper (2007)
Real-Time Prediction With U.K. Monetary Aggregates in the Presence of Model Uncertainty
Journal of Business & Economic Statistics, 2009, 27, (4), 480-491 View citations (54)
See also Working Paper (2008)

2008

Forecasting Substantial Data Revisions in the Presence of Model Uncertainty
Economic Journal, 2008, 118, (530), 1128-1144 View citations (15)
Also in Economic Journal, 2008, 118, (530), 1128-1144 (2008) View citations (20)
See also Working Paper (2006)
Re-Examining the Consumption-Wealth Relationship: The Role of Model Uncertainty
Journal of Money, Credit and Banking, 2008, 40, (2-3), 341-367 View citations (14)
Also in Journal of Money, Credit and Banking, 2008, 40, (2‐3), 341-367 (2008)
See also Working Paper (2005)
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 View citations (8)
See also Working Paper (2007)

2007

Editors' Introduction to the Special Issue of Econometric Reviews on Bayesian Dynamic Econometrics
Econometric Reviews, 2007, 26, (2-4), 107-112
Estimation and Forecasting in Models with Multiple Breaks
Review of Economic Studies, 2007, 74, (3), 763-789 View citations (141)

2006

Semiparametric Bayesian inference in smooth coefficient models
Journal of Econometrics, 2006, 134, (1), 283-315 View citations (13)
See also Working Paper (2006)

2005

Alternative efficiency measures for multiple-output production
Journal of Econometrics, 2005, 126, (2), 411-444 View citations (36)
See also Working Paper (2003)
Current developments in productivity and efficiency measurement
Journal of Econometrics, 2005, 126, (2), 233-240 View citations (14)
Semiparametric Bayesian inference in multiple equation models
Journal of Applied Econometrics, 2005, 20, (6), 723-747 View citations (13)
See also Working Paper (2005)

2004

Bayesian variants of some classical semiparametric regression techniques
Journal of Econometrics, 2004, 123, (2), 259-282 View citations (39)
See also Working Paper (2001)
Forecasting in dynamic factor models using Bayesian model averaging
Econometrics Journal, 2004, 7, (2), 550-565 View citations (107)
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 View citations (27)
Modelling the evolution of distributions: an application to Major League baseball
Journal of the Royal Statistical Society Series A, 2004, 167, (4), 639-655 View citations (3)
See also Working Paper (2001)

2003

A Bayesian analysis of a variance decomposition for stock returns
Journal of Empirical Finance, 2003, 10, (5), 583-601 View citations (8)
Bayesian Analysis of Endogenous Delay Threshold Models
Journal of Business & Economic Statistics, 2003, 21, (1), 93-103 View citations (18)
See also Working Paper (2000)

2002

Comparing the Performance of Baseball Players: A Multiple-Output Approach
Journal of the American Statistical Association, 2002, 97, 710-720 View citations (3)
See also Working Paper (2001)
Modelling Recreation Demand Using Choice Experiments: Climbing in Scotland
Environmental & Resource Economics, 2002, 22, (3), 449-466 View citations (93)
Multiple-Output Production With Undesirable Outputs: An Application to Nitrogen Surplus in Agriculture
Journal of the American Statistical Association, 2002, 97, 432-442 View citations (70)
See also Working Paper (2002)

2001

Are apparent findings of nonlinearity due to structural instability in economic time series?
Econometrics Journal, 2001, 4, (1), 38 View citations (58)
See also Working Paper (1999)
Bayesian inference in models based on equilibrium search theory
Journal of Econometrics, 2001, 102, (2), 311-338 View citations (3)
See also Working Paper (1999)
Cross-Sectoral Patterns of Efficiency and Technical Change in Manufacturing
International Economic Review, 2001, 42, (1), 73-103 View citations (18)
Go climb a mountain: an application of recreation demand modelling to rock climbing in Scotland
Journal of Agricultural Economics, 2001, 52, (1), 36-52 View citations (16)
Testing for optimality in job search models
Econometrics Journal, 2001, 4, (2), 6 View citations (2)
The valuation of IPO and SEO firms
Journal of Empirical Finance, 2001, 8, (4), 375-401 View citations (18)

2000

A Bayesian analysis of multiple-output production frontiers
Journal of Econometrics, 2000, 98, (1), 47-79 View citations (40)
See also Working Paper (1999)
A Stochastic Frontier Analysis of Output Level and Growth in Poland and Western Economies
Economic Change and Restructuring, 2000, 33, (3), 185-202 View citations (25)
See also Working Paper (1997)
Modeling the Sources of Output Growth in a Panel of Countries
Journal of Business & Economic Statistics, 2000, 18, (3), 284-99 View citations (61)
Testing for integration using evolving trend and seasonals models: A Bayesian approach
Journal of Econometrics, 2000, 97, (2), 261-291 View citations (24)
See also Working Paper (1999)

1999

Bayesian Analysis, Computation and Communication Software
Journal of Applied Econometrics, 1999, 14, (6), 677-89 View citations (2)
Dynamic Asymmetries in U.S. Unemployment
Journal of Business & Economic Statistics, 1999, 17, (3), 298-312 View citations (102)
See also Working Paper (1998)
Incomplete models and reweighting
Econometric Reviews, 1999, 18, (1), 97-104
Is there an environmental Kuznets curve for deforestation?
Journal of Development Economics, 1999, 58, (1), 231-244 View citations (134)
The Components of Output Growth: A Stochastic Frontier Analysis
Oxford Bulletin of Economics and Statistics, 1999, 61, (4), 455-487 View citations (59)

1998

Bayes factors and nonlinearity: Evidence from economic time series1
Journal of Econometrics, 1998, 88, (2), 251-281 View citations (43)
Carbon dioxide emissions and economic growth: A structural approach
Journal of Applied Statistics, 1998, 25, (4), 489-515 View citations (27)
On the sensitivity of unit root inference to nonlinear data transformations
Economics Letters, 1998, 59, (1), 7-15 View citations (13)

1997

Bayesian analysis of long memory and persistence using ARFIMA models
Journal of Econometrics, 1997, 76, (1-2), 149-169 View citations (28)
See also Working Paper (2004)
Bayesian efficiency analysis through individual effects: Hospital cost frontiers
Journal of Econometrics, 1997, 76, (1-2), 77-105 View citations (145)
See also Working Paper (1997)
Learning about the across-regime correlation in switching regression models
Journal of Econometrics, 1997, 78, (2), 217-227 View citations (33)
Measuring differential forest outcomes: A tale of two countries
World Development, 1997, 25, (12), 2043-2056 View citations (3)

1996

Correction [Posterior Properties of Long-Run Impulse Responses]
Journal of Business & Economic Statistics, 1996, 14, (2), 257
Impulse response analysis in nonlinear multivariate models
Journal of Econometrics, 1996, 74, (1), 119-147 View citations (2369)
Parameter uncertainty and impulse response analysis
Journal of Econometrics, 1996, 72, (1-2), 135-149 View citations (46)

1995

An Empirical Investigation of Wagner's Hypothesis by Using a Model Occurrence Framework
Journal of the Royal Statistical Society Series A, 1995, 158, (1), 123-141 View citations (5)
Bayesian long-run prediction in time series models
Journal of Econometrics, 1995, 69, (1), 61-80 View citations (10)
See also Working Paper (1992)

1994

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 (1993)
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 View citations (15)
Bayesian Efficiency Analysis with a Flexible Form: The AIM Cost Function
Journal of Business & Economic Statistics, 1994, 12, (3), 339-46 View citations (33)
See also Working Paper (1994)
Bayesian Semi-nonparametric ARCH Models
The Review of Economics and Statistics, 1994, 76, (1), 176-81 View citations (3)
Posterior Properties of Long-Run Impulse Responses
Journal of Business & Economic Statistics, 1994, 12, (4), 489-92 View citations (4)
Rank-Ordered Logit Models: An Empirical Analysis of Ontario Voter Preferences
Journal of Applied Econometrics, 1994, 9, (4), 369-88 View citations (12)
Recent Progress in Applied Bayesian Econometrics
Journal of Economic Surveys, 1994, 8, (1), 1-34 View citations (22)
Stochastic frontier models: A Bayesian perspective
Journal of Econometrics, 1994, 61, (2), 273-303 View citations (182)
See also Working Paper (1992)

1993

Bayesian analysis of logit models using natural conjugate priors
Journal of Econometrics, 1993, 56, (3), 323-340 View citations (20)
Do recessions permanently change output?
Journal of Monetary Economics, 1993, 31, (2), 149-163 View citations (282)
Econometric estimation of proportional hazard models
Journal of Economics and Business, 1993, 45, (5), 421-430 View citations (2)

1992

'Objective' Bayesian Unit Root Tests
Journal of Applied Econometrics, 1992, 7, (1), 65-82 View citations (14)
Aggregate Shocks and Macroeconomic Fluctuations: A Bayesian Approach
Journal of Applied Econometrics, 1992, 7, (4), 395-411 View citations (18)
Review of PCBRAP
Journal of Applied Econometrics, 1992, 7, (1), 105-07

1991

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 View citations (11)
Intertemporal Properties of Real Output: A Bayesian Analysis
Journal of Business & Economic Statistics, 1991, 9, (3), 253-65 View citations (10)
To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends: A Comment
Journal of Applied Econometrics, 1991, 6, (4), 365-70 View citations (7)

Books

2019

Bayesian Econometric Methods
Cambridge Books, Cambridge University Press View citations (7)
See also Working Paper (2007)

Edited books

2013

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

2011

The Oxford Handbook of Bayesian Econometrics
OUP Catalogue, Oxford University Press View citations (94)

Chapters

2019

Macroeconomic Nowcasting Using Google Probabilities
A chapter in Topics in Identification, Limited Dependent Variables, Partial Observability, Experimentation, and Flexible Modeling: Part A, 2019, vol. 40A, pp 17-40 View citations (9)

2014

Model Switching and Model Averaging in Time-Varying Parameter Regression Models
A chapter in Bayesian Model Comparison, 2014, vol. 34, pp 45-69 View citations (7)
See also Working Paper (2013)

Software Items

Editor

Advanced Studies in Theoretical and Applied Econometrics
Springer