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 2024-09-05. Update your information in the RePEc Author Service.

Short-id: pko8

---

Jump to Journal Articles Books Edited books Chapters Editor

Working Papers

2025

1. Decision synthesis in monetary policy
   Papers, arXiv.org
   Also in Staff Working Papers, Bank of Canada (2024)

2024

2. Bayesian modelling of VAR precision matrices using stochastic block networks
   Papers, arXiv.org

2023

3. Bayesian Forecasting in Economics and Finance: A Modern Review
   Papers, arXiv.org View citations (3)
4. Bayesian Forecasting in the 21st Century: A Modern Review
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
5. Bayesian Modeling of TVP-VARs Using Regression Trees
   Papers, arXiv.org
   Also in Working Papers, University of Strathclyde Business School, Department of Economics (2023)
6. Bayesian Modeling of Time-Varying Parameters Using Regression Trees
   Working Papers, Federal Reserve Bank of Cleveland
7. Dynamic Shrinkage Priors for Large Time-varying Parameter Regressions using Scalable Markov Chain Monte Carlo Methods
   Papers, arXiv.org View citations (2)
   Also in Working Papers, University of Strathclyde Business School, Department of Economics
   See also Journal Article Dynamic Shrinkage Priors for Large Time-Varying Parameter Regressions Using Scalable Markov Chain Monte Carlo Methods, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2024) (2024)
8. Fast and Order-invariant Inference in Bayesian VARs with Non-Parametric Shocks
   Working Papers, University of Strathclyde Business School, Department of Economics
   Also in Papers, arXiv.org (2023)
9. Incorporating Short Data into Large Mixed-Frequency VARs for Regional Nowcasting
   Working Papers, Federal Reserve Bank of Cleveland View citations (2)
   Also in Working Papers, University of Strathclyde Business School, Department of Economics (2023) View citations (1)
10. Predictive Density Combination Using a Tree-Based Synthesis Function
    Staff Working Papers, Bank of Canada
    Also in Working Papers, Federal Reserve Bank of Cleveland (2023)
    Papers, arXiv.org (2023)

2022

11. Approximate Bayesian inference and forecasting in huge-dimensional multi-country VARs
    Papers, arXiv.org View citations (7)
    See also Journal Article APPROXIMATE BAYESIAN INFERENCE AND FORECASTING IN HUGE‐DIMENSIONAL MULTICOUNTRY VARs, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2022) View citations (4) (2022)
12. Fast, Order-Invariant Bayesian Inference in VARs using the Eigendecomposition of the Error Covariance Matrix
    Working Papers, University of Strathclyde Business School, Department of Economics View citations (2)
13. Forecasting US Inflation Using Bayesian Nonparametric Models
    Working Papers, Federal Reserve Bank of Cleveland View citations (6)
    Also in Papers, arXiv.org (2022) View citations (9)
14. Reconciled Estimates of Monthly GDP in the US
    Working Papers, Federal Reserve Bank of Cleveland View citations (5)
    Also in Economic Statistics Centre of Excellence (ESCoE) Discussion Papers, Economic Statistics Centre of Excellence (ESCoE) (2020) View citations (6)
15. Tail Forecasting with Multivariate Bayesian Additive Regression Trees
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    Also in Working Papers, Federal Reserve Bank of Cleveland (2022) View citations (7)
    See also Journal Article TAIL FORECASTING WITH MULTIVARIATE BAYESIAN ADDITIVE REGRESSION TREES, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2023) View citations (13) (2023)
16. Using hierarchical aggregation constraints to nowcast regional economic aggregates
    Economic Statistics Centre of Excellence (ESCoE) Discussion Papers, Economic Statistics Centre of Excellence (ESCoE) View citations (3)
17. Using stochastic hierarchical aggregation constraints to nowcast regional economic aggregates
    Working Papers, Federal Reserve Bank of Cleveland View citations (1)

2021

18. Fast and Flexible Bayesian Inference in Time-varying Parameter Regression Models
    Papers, arXiv.org View citations (9)
    See also Journal Article Fast and Flexible Bayesian Inference in Time-varying Parameter Regression Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2022) View citations (10) (2022)
19. Investigating Growth at Risk Using a Multi-country Non-parametric Quantile Factor Model
    Papers, arXiv.org View citations (8)
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2021) View citations (5)
20. Large Order-Invariant Bayesian VARs with Stochastic Volatility
    Papers, arXiv.org View citations (18)
    See also Journal Article Large Order-Invariant Bayesian VARs with Stochastic Volatility, Journal of Business & Economic Statistics, Taylor & Francis Journals (2024) View citations (7) (2024)
21. Macroeconomic Forecasting with Large Stochastic Volatility in Mean VARs
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School View citations (2)
22. Nowcasting 'true' monthly US GDP during the pandemic
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (2)
    See also Journal Article NOWCASTING ‘TRUE’ MONTHLY U.S. GDP DURING THE PANDEMIC, National Institute Economic Review, National Institute of Economic and Social Research (2021) View citations (2) (2021)
23. Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs
    JRC Working Papers in Economics and Finance, Joint Research Centre, European Commission View citations (1)
    Also in Papers, arXiv.org (2020) View citations (31)
    Working Paper Series, European Central Bank (2021) View citations (6)
    See also Journal Article Nowcasting in a pandemic using non-parametric mixed frequency VARs, Journal of Econometrics, Elsevier (2023) View citations (16) (2023)
24. Subspace Shrinkage in Conjugate Bayesian Vector Autoregressions
    Papers, arXiv.org View citations (2)
    See also Journal Article Subspace shrinkage in conjugate Bayesian vector autoregressions, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2023) (2023)

2020

25. Bayesian Inference in High-Dimensional Time-varying Parameter Models using Integrated Rotated Gaussian Approximations
    Papers, arXiv.org View citations (6)
26. Bayesian dynamic variable selection in high dimensions
    Working Papers, Business School - Economics, University of Glasgow View citations (13)
    Also in Papers, arXiv.org (2020) View citations (14)
    MPRA Paper, University Library of Munich, Germany (2020) View citations (14)
    See also Journal Article BAYESIAN DYNAMIC VARIABLE SELECTION IN HIGH DIMENSIONS, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2023) View citations (5) (2023)
27. Computationally Efficient Inference in Large Bayesian Mixed Frequency VARs
    Economic Statistics Centre of Excellence (ESCoE) Discussion Papers, Economic Statistics Centre of Excellence (ESCoE) View citations (13)
    Also in Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester
    See also Journal Article Computationally efficient inference in large Bayesian mixed frequency VARs, Economics Letters, Elsevier (2020) View citations (13) (2020)

2019

28. Inducing Sparsity and Shrinkage in Time-Varying Parameter Models
    Papers, arXiv.org View citations (20)
    Also in Working Papers in Economics, University of Salzburg (2019) View citations (11)
    Working Paper Series, European Central Bank (2019) View citations (9)
    See also Journal Article Inducing Sparsity and Shrinkage in Time-Varying Parameter Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2021) View citations (22) (2021)
29. Variational Bayesian Inference in Large Vector Autoregressions with Hierarchical Shrinkage
    Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester View citations (13)
    Also in Economic Statistics Centre of Excellence (ESCoE) Discussion Papers, Economic Statistics Centre of Excellence (ESCoE) (2019) View citations (13)
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2019) View citations (13)

2018

30. 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)
31. Exchange rate predictability and dynamic Bayesian learning
    VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy, Verein für Socialpolitik / German Economic Association View citations (3)
    Also in Essex Finance Centre Working Papers, University of Essex, Essex Business School (2017) View citations (2)
    See also Journal Article Exchange rate predictability and dynamic Bayesian learning, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2020) View citations (19) (2020)
32. Forecasting with High-Dimensional Panel VARs
    Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (5)
    Also in Working Papers, Business School - Economics, University of Glasgow (2015) View citations (17)
    MPRA Paper, University Library of Munich, Germany (2018) View citations (5)
    Working Paper series, Rimini Centre for Economic Analysis (2018) View citations (6)
    See also Journal Article Forecasting with High‐Dimensional Panel VARs, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2019) View citations (10) (2019)
33. 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)
34. Regional Output Growth in the United Kingdom: More Timely and Higher Frequency Estimates, 1970-2017
    Economic Statistics Centre of Excellence (ESCoE) Discussion Papers, Economic Statistics Centre of Excellence (ESCoE) View citations (8)
35. UK Regional Nowcasting using a Mixed Frequency Vector Autoregressive Model
    Economic Statistics Centre of Excellence (ESCoE) Discussion Papers, Economic Statistics Centre of Excellence (ESCoE) View citations (3)
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2018) View citations (3)
36. Variational Bayes inference in high-dimensional time-varying parameter models
    Working Paper series, Rimini Centre for Economic Analysis View citations (18)
    Also in Essex Finance Centre Working Papers, University of Essex, Essex Business School (2018) View citations (19)
    MPRA Paper, University Library of Munich, Germany (2018) View citations (22)

2017

37. Bayesian Compressed Vector Autoregressions
    Working Paper series, Rimini Centre for Economic Analysis View citations (4)
    Also in Working Papers, Business School - Economics, University of Glasgow (2016) View citations (16)
    Working Papers, Brandeis University, Department of Economics and International Business School (2016) View citations (23)
    Working Papers, Brandeis University, Department of Economics and International Business School (2016) View citations (20)
    See also Journal Article Bayesian compressed vector autoregressions, Journal of Econometrics, Elsevier (2019) View citations (35) (2019)

2015

38. A New Model of Inflation, Trend Inflation, and Long-Run Inflation Expectations
    Working Papers (Old Series), Federal Reserve Bank of Cleveland View citations (22)
    See also Journal Article A New Model of Inflation, Trend Inflation, and Long‐Run Inflation Expectations, Journal of Money, Credit and Banking, Blackwell Publishing (2018) View citations (50) (2018)
39. 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)
    Working Paper series, Rimini Centre for Economic Analysis (2014) View citations (16)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2014) View citations (8)
    See also Journal Article Large Bayesian VARMAs, Journal of Econometrics, Elsevier (2016) View citations (21) (2016)
40. Model Uncertainty in Panel Vector Autoregressive Models
    Working Paper series, Rimini Centre for Economic Analysis View citations (6)
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2014) View citations (9)
    MPRA Paper, University Library of Munich, Germany (2014) View citations (2)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2014) View citations (2)
    Working Papers, Business School - Economics, University of Glasgow (2014) View citations (2)
    Working Paper series, Rimini Centre for Economic Analysis (2014) View citations (7)
    See also Journal Article Model uncertainty in Panel Vector Autoregressive models, European Economic Review, Elsevier (2016) View citations (60) (2016)
41. The Contribution of Structural Break Models to Forecating Macroeconomic Series
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (25)
    Also in Working Paper series, Rimini Centre for Economic Analysis (2011) View citations (4)
    See also Journal Article The Contribution of Structural Break Models to Forecasting Macroeconomic Series, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2015) View citations (52) (2015)

2014

42. 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 View citations (2)
    Also in ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics (2012) View citations (6)
    See also Journal Article A Bounded Model of Time Variation in Trend Inflation, Nairu and the Phillips Curve, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2016) View citations (49) (2016)
43. Nowcasting Scottish GDP Growth
    Working Paper series, Rimini Centre for Economic Analysis View citations (3)
    Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2014) View citations (3)
    Working Papers, University of Strathclyde Business School, Department of Economics (2014) View citations (2)
44. The Known Unknowns of Governance
    Working Paper series, Rimini Centre for Economic Analysis
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2014)

2013

45. A New Index of Financial Conditions
    MPRA Paper, University Library of Munich, Germany View citations (16)
    Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2013) View citations (24)
    Working Papers, Business School - Economics, University of Glasgow View citations (13)
    Working Papers, University of Strathclyde Business School, Department of Economics (2013) View citations (13)
    See also Journal Article A new index of financial conditions, European Economic Review, Elsevier (2014) View citations (316) (2014)
46. A new look at variation in employment growth in Canada
    Working Papers, Lancaster University Management School, Economics Department
47. Domestic Violence and Football in Glasgow: Are Reference Points Relevant?
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE)
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2013)
    See also Journal Article Domestic Violence and Football in Glasgow: Are Reference Points Relevant?, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2016) View citations (3) (2016)
48. Model Switching and Model Averaging in Time- Varying Parameter Regression Models
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (1)
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2013) View citations (7)
    See also Chapter Model Switching and Model Averaging in Time-Varying Parameter Regression Models, Advances in Econometrics, Emerald Group Publishing Limited (2014) View citations (8) (2014)
49. 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
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2011)
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2012)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2011)
    See also Journal Article Modelling breaks and clusters in the steady states of macroeconomic variables, Computational Statistics & Data Analysis, Elsevier (2014) View citations (9) (2014)
50. Technical appendix to: a new look at variation in employment growth in Canada
    Working Papers, Lancaster University Management School, Economics Department
51. Using VARs and TVP-VARs with Many Macroeconomic Variables
    Working Papers, University of Strathclyde Business School, Department of Economics View citations (1)
    Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2013) View citations (1)
    See also Journal Article Using VARs and TVP-VARs with Many Macroeconomic Variables, Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics (2012) View citations (10) (2012)

2012

52. A New Model Of Trend Inflation
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (1)
    Also in MPRA Paper, University Library of Munich, Germany (2012) View citations (12)
    Working Papers, University of Strathclyde Business School, Department of Economics (2012) View citations (6)
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2012) View citations (1)
    See also Journal Article A New Model of Trend Inflation, Journal of Business & Economic Statistics, Taylor & Francis Journals (2013) View citations (75) (2013)
53. Bayesian Model Averaging in the Instrumental Variable Regression Model
    Working Paper series, Rimini Centre for Economic Analysis View citations (39)
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2011) View citations (5)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2011) View citations (5)
    GRIPS Discussion Papers, National Graduate Institute for Policy Studies (2011) View citations (5)
    See also Journal Article Bayesian model averaging in the instrumental variable regression model, Journal of Econometrics, Elsevier (2012) View citations (39) (2012)
54. Estimating Phillips curves in turbulent times using the ECB's survey of professional forecasters
    Working Paper Series, European Central Bank View citations (19)
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2011) View citations (4)
55. 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)
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2011)
    Working Papers, University of Strathclyde Business School, Department of Economics (2011)
    See also Journal Article 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, Springer (2013) View citations (1) (2013)
56. Large Time-Varying Parameter VARs
    Working Paper series, Rimini Centre for Economic Analysis View citations (18)
    Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2012) View citations (18)
    Working Papers, Business School - Economics, University of Glasgow (2012) View citations (22)
    MPRA Paper, University Library of Munich, Germany (2012) View citations (50)
    See also Journal Article Large time-varying parameter VARs, Journal of Econometrics, Elsevier (2013) View citations (316) (2013)
57. The Dynamics of UK and US Inflation Expectation
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (16)
    Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2011) View citations (2)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2008)
    Working Papers, University of Strathclyde Business School, Department of Economics (2011)
    Working Paper series, Rimini Centre for Economic Analysis (2009) View citations (1)
    See also Journal Article The dynamics of UK and US inflation expectations, Computational Statistics & Data Analysis, Elsevier (2012) View citations (16) (2012)
58. Time Variation in the Dynamics of Worker Flows: Evidence from the US and Canada
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (1)
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2011) View citations (2)

2011

59. A Comparison Of Forecasting Procedures For Macroeconomic Series: The Contribution Of Structural Break Models
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (12)
    Also in CIRANO Working Papers, CIRANO (2011) View citations (11)
    Working Papers, University of Strathclyde Business School, Department of Economics (2011) View citations (11)
    Cahiers de recherche, CIRPEE (2011) View citations (13)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) View citations (11)
    See also Journal Article The Contribution of Structural Break Models to Forecasting Macroeconomic Series, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2015) View citations (52) (2015)
60. 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 View citations (41)
    Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2008) View citations (2)
    GRIPS Discussion Papers, National Graduate Institute for Policy Studies (2008) View citations (3)
    Working Paper series, Rimini Centre for Economic Analysis (2008) View citations (2)
    Working Papers, University of Strathclyde Business School, Department of Economics (2011) View citations (45)
    See also Journal Article Bayesian inference in a time varying cointegration model, Journal of Econometrics, Elsevier (2011) View citations (44) (2011)
61. Estimating Phillips Curves in Turbulent Times using the ECB’s Survey of Professional Forecasters
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (4)
62. Forecasting Inflation Using Dynamic Model Averaging
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (5)
    Also in Working Paper series, Rimini Centre for Economic Analysis (2009) View citations (61)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2010) View citations (10)
    Working Papers, University of Strathclyde Business School, Department of Economics (2011) View citations (6)
    See also Journal Article FORECASTING INFLATION USING DYNAMIC MODEL AVERAGING, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2012) View citations (257) (2012)
63. Forecasting the European Carbon Market
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (1)
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2011) View citations (20)
    See also Journal Article Forecasting the European carbon market, Journal of the Royal Statistical Society Series A, Royal Statistical Society (2013) View citations (43) (2013)
64. Forecasting with Medium and Large Bayesian VARs
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (28)
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2011) View citations (28)
    Working Paper series, Rimini Centre for Economic Analysis (2010) View citations (13)
    See also Journal Article Forecasting with Medium and Large Bayesian VARS, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2013) View citations (250) (2013)
65. Hierarchical Shrinkage in Time-Varying Parameter Models
    Working Paper series, Rimini Centre for Economic Analysis View citations (32)
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2011) View citations (12)
    MPRA Paper, University Library of Munich, Germany (2011) View citations (12)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) View citations (12)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2011) View citations (12)
    See also Journal Article Hierarchical Shrinkage in Time‐Varying Parameter Models, Journal of Forecasting, John Wiley & Sons, Ltd. (2014) View citations (88) (2014)
66. On Identification of Bayesian DSGE Models
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (7)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2011) View citations (8)
    Working Papers, University of Strathclyde Business School, Department of Economics (2011) View citations (8)
    IZA Discussion Papers, Institute of Labor Economics (IZA) (2011) View citations (8)
    CESifo Working Paper Series, CESifo (2011) View citations (8)
    See also Journal Article On Identification of Bayesian DSGE Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2013) View citations (58) (2013)
67. Regime-Switching Cointegration
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (2)
    Also in Working Paper series, Rimini Centre for Economic Analysis (2011) View citations (2)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2011) View citations (2)
    Working Papers, University of Strathclyde Business School, Department of Economics (2011) View citations (13)
    See also Journal Article Regime-switching cointegration, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2015) View citations (11) (2015)
68. Time Varying Dimension Models
    Working Papers, University of Strathclyde Business School, Department of Economics View citations (2)
    Also in ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics (2010) View citations (5)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2010) View citations (3)
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2011) View citations (1)
    Working Paper series, Rimini Centre for Economic Analysis (2010) View citations (5)
    See also Journal Article Time Varying Dimension Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2012) View citations (63) (2012)
69. 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) View citations (62)
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2009) View citations (1)
    Working Papers, University of Strathclyde Business School, Department of Economics (2011) View citations (62)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2009) View citations (1)
    See also Journal Article UK macroeconomic forecasting with many predictors: Which models forecast best and when do they do so?, Economic Modelling, Elsevier (2011) View citations (62) (2011)
70. Understanding Liquidity and Credit Risks in the Financial Crisis
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (36)
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2011) View citations (39)
    Working Paper series, Rimini Centre for Economic Analysis (2010) View citations (6)
    See also Journal Article Understanding liquidity and credit risks in the financial crisis, Journal of Empirical Finance, Elsevier (2011) View citations (34) (2011)

2010

71. A flexible approach to parametric inference in nonlinear and time varying time series models
    Post-Print, HAL View citations (10)
    See also Journal Article A flexible approach to parametric inference in nonlinear and time varying time series models, Journal of Econometrics, Elsevier (2010) View citations (12) (2010)
72. Technical Appendix to: Understanding Liquidity and Credit Risks in the Financial Crisis
    Working Paper series, Rimini Centre for Economic Analysis View citations (2)

2009

73. Bayesian Multivariate Time Series Methods for Empirical Macroeconomics
    MPRA Paper, University Library of Munich, Germany View citations (117)
    Also in Working Paper series, Rimini Centre for Economic Analysis (2009) View citations (185)
    See also Journal Article Bayesian Multivariate Time Series Methods for Empirical Macroeconomics, Foundations and Trends(R) in Econometrics, now publishers (2010) View citations (488) (2010)
74. Modeling the Dynamics of Inflation Compensation
    Working Paper series, Rimini Centre for Economic Analysis View citations (15)
    See also Journal Article Modeling the dynamics of inflation compensation, Journal of Empirical Finance, Elsevier (2010) View citations (38) (2010)
75. Stochastic Search Variable Selection in Vector Error Correction Models with an Application to a Model of the UK Macroeconomy
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE)
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2009) View citations (4)
    Working Paper series, Rimini Centre for Economic Analysis (2009) View citations (4)
    See also Journal Article Stochastic search variable selection in vector error correction models with an application to a model of the UK macroeconomy, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2013) View citations (6) (2013)

2008

76. 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 Bayesian forecasting using stochastic search variable selection in a VAR subject to breaks, International Journal of Forecasting, Elsevier (2010) View citations (40) (2010)
77. 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 Dynamic Probabilities of Restrictions in State Space Models: An Application to the Phillips Curve, Journal of Business & Economic Statistics, American Statistical Association (2010) View citations (23) (2010)
78. On the Evolution of Monetary Policy
    Working Paper series, Rimini Centre for Economic Analysis
79. 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 (20)
    See also Journal Article Real-Time Prediction With U.K. Monetary Aggregates in the Presence of Model Uncertainty, Journal of Business & Economic Statistics, American Statistical Association (2009) View citations (53) (2009)

2007

80. A flexible approach to parametric inference in nonlinear time series models
    Staff Reports, Federal Reserve Bank of New York
81. Bayesian Econometric Methods
    Staff General Research Papers Archive, Iowa State University, Department of Economics View citations (151)
    See also Book Bayesian Econometric Methods, Cambridge Books, Cambridge University Press (2019) View citations (18) (2019)
82. 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 (3)
    See also Chapter Bayesian inference in a cointegrating panel data model, Advances in Econometrics, Emerald Group Publishing Limited (2008) (2008)
83. Prior Elicitation in Multiple Change-point Models
    Working Paper series, Rimini Centre for Economic Analysis
    Also in Staff Reports, Federal Reserve Bank of New York (2004) View citations (7)
    Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester (2004) View citations (6)
    See also Journal Article PRIOR ELICITATION IN MULTIPLE CHANGE-POINT MODELS, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2009) View citations (15) (2009)
84. 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 What is the environmental performance of firms overseas? An empirical investigation of the global gold mining industry, Journal of Productivity Analysis, Springer (2008) View citations (8) (2008)

2006

85. 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 Efficient Posterior Simulation for Cointegrated Models with Priors on the Cointegration Space, Econometric Reviews, Taylor & Francis Journals (2010) View citations (30) (2010)
86. Forecasting Substantial Data Revisions in the Presence of Model Uncertainty
    Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics View citations (11)
    Also in Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand (2006) View citations (12)
    See also Journal Article Forecasting Substantial Data Revisions in the Presence of Model Uncertainty, Economic Journal, Royal Economic Society (2008) View citations (16) (2008)
87. 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 Semiparametric Bayesian inference in smooth coefficient models, Journal of Econometrics, Elsevier (2006) View citations (13) (2006)

2005

88. 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)
89. 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 Re-Examining the Consumption-Wealth Relationship: The Role of Model Uncertainty, Journal of Money, Credit and Banking, Blackwell Publishing (2008) View citations (14) (2008)
90. 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 Semiparametric Bayesian inference in multiple equation models, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2005) View citations (13) (2005)

2004

91. 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)
92. Bayesian Analysis of Long Memory and Persistence using ARFIMA Models
    Econometrics, University Library of Munich, Germany View citations (4)
    Also in LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1997) View citations (14)
    Working Papers, University of Toronto, Department of Economics (1995) View citations (1)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1995) View citations (2)
    See also Journal Article Bayesian analysis of long memory and persistence using ARFIMA models, Journal of Econometrics, Elsevier (1997) View citations (30) (1997)
93. 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)
94. Learning About Heterogeneity in Returns to Schooling
    Staff General Research Papers Archive, Iowa State University, Department of Economics View citations (33)

2003

95. 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 Alternative efficiency measures for multiple-output production, Journal of Econometrics, Elsevier (2005) View citations (41) (2005)
96. Bayesian Semiparametric Inference in Multiple Equation Models
    Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester View citations (1)
97. Forecasting in Large Macroeconomic Panels using Bayesian Model Averaging
    Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester View citations (57)
    Also in Staff Reports, Federal Reserve Bank of New York (2003) View citations (37)

2002

98. Multiple-Output Production With Undesirable Outputs: An Application to Nitrogen Surplus in Agriculture
    Econometrics, University Library of Munich, Germany View citations (76)
    Also in Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh (2002) View citations (74)
    See also Journal Article Multiple-Output Production With Undesirable Outputs: An Application to Nitrogen Surplus in Agriculture, Journal of the American Statistical Association, American Statistical Association (2002) View citations (76) (2002)
99. Parametric and Nonparametric Inference in Equilibrium Job Search Models
    Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester
    See also Chapter Parametric and nonparametric inference in equilibrium job search models, Advances in Econometrics, Emerald Group Publishing Limited (2008) (2008)

2001

100. 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 (2)
     See also Journal Article Bayesian variants of some classical semiparametric regression techniques, Journal of Econometrics, Elsevier (2004) View citations (40) (2004)
101. Bayesian modelling of catch in a Northwest Atlantic Fishery
     Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh
102. 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 Comparing the Performance of Baseball Players: A Multiple-Output Approach, Journal of the American Statistical Association, American Statistical Association (2002) View citations (5) (2002)
103. 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 Modelling the evolution of distributions: an application to Major League baseball, Journal of the Royal Statistical Society Series A, Royal Statistical Society (2004) View citations (3) (2004)

2000

104. The Vector Floor and Ceiling Model
     Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester View citations (3)
     See also Chapter The Vector Floor and Ceiling Model, Contributions to Economic Analysis, Emerald Group Publishing Limited (2006) (2006)

1999

105. 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 A Bayesian analysis of multiple-output production frontiers, Journal of Econometrics, Elsevier (2000) View citations (42) (2000)
106. 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 Are apparent findings of nonlinearity due to structural instability in economic time series?, Econometrics Journal, Royal Economic Society (2001) View citations (61) (2001)
107. 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 Bayesian Analysis of Endogenous Delay Threshold Models, Journal of Business & Economic Statistics, American Statistical Association (2003) View citations (20) (2003)
108. Bayesian Analysis of Stochastic Frontier Models
     Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh View citations (14)
109. 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 Bayesian inference in models based on equilibrium search theory, Journal of Econometrics, Elsevier (2001) View citations (3) (2001)
110. 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
111. 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 Testing for integration using evolving trend and seasonals models: A Bayesian approach, Journal of Econometrics, Elsevier (2000) View citations (26) (2000)

1998

112. 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 Dynamic Asymmetries in U.S. Unemployment, Journal of Business & Economic Statistics, American Statistical Association (1999) View citations (107) (1999)
113. 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

114. 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 A Stochastic Frontier Analysis of Output Level and Growth in Poland and Western Economies, Economic Change and Restructuring, Springer (2000) View citations (25) (2000)
115. 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 (129)
     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 Bayesian efficiency analysis through individual effects: Hospital cost frontiers, Journal of Econometrics, Elsevier (1997) View citations (158) (1997)

1995

116. 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)
117. The Components of Output Growth: A Croos-Country Analysis
     Working Papers, Tilburg - Center for Economic Research View citations (6)
     Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1995) View citations (9)
     Other publications TiSEM, Tilburg University, School of Economics and Management (1995) View citations (6)
     Discussion Paper, Tilburg University, Center for Economic Research (1995) View citations (8)

1994

118. Bayesian efficiency analysis with a flexible form: The aim cost function
     Other publications TiSEM, Tilburg University, School of Economics and Management View citations (32)
     Also in Discussion Paper, Tilburg University, Center for Economic Research (1994) View citations (34)
     See also Journal Article Bayesian Efficiency Analysis with a Flexible Form: The AIM Cost Function, Journal of Business & Economic Statistics, American Statistical Association (1994) View citations (37) (1994)
119. 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)
120. 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

121. 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 Discussion Paper, Tilburg University, Center for Economic Research (1991) View citations (1)
     Other publications TiSEM, Tilburg University, School of Economics and Management (1991) View citations (1)
     Working Papers, Tilburg - Center for Economic Research (1991) View citations (1)
     See also Journal Article A Decision-Theoretic Analysis of the Unit-Root Hypothesis Using Mixtures of Elliptical Models, Journal of Business & Economic Statistics, American Statistical Association (1994) View citations (4) (1994)
122. Bayesian efficiency analysis with a flexible cost function
     DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística

1992

123. 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 Bayesian long-run prediction in time series models, Journal of Econometrics, Elsevier (1995) View citations (11) (1995)
124. Posterior inference on long-run impulse responses
     UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía
125. 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 Stochastic frontier models: A Bayesian perspective, Journal of Econometrics, Elsevier (1994) View citations (201) (1994)

Undated

126. Investigating Economic Uncertainty Using Stochastic Volatility in Mean VARs: The Importance of Model Size, Order-Invariance and Classification
     Working Papers, University of Strathclyde Business School, Department of Economics

Journal Articles

2024

1. Dynamic Shrinkage Priors for Large Time-Varying Parameter Regressions Using Scalable Markov Chain Monte Carlo Methods
   Studies in Nonlinear Dynamics & Econometrics, 2024, 28, (2), 201-225
   See also Working Paper Dynamic Shrinkage Priors for Large Time-varying Parameter Regressions using Scalable Markov Chain Monte Carlo Methods, Papers (2023) View citations (2) (2023)
2. Editorial Introduction of the Special Issue of Studies in Nonlinear Dynamics and Econometrics in Honor of Herman van Dijk
   Studies in Nonlinear Dynamics & Econometrics, 2024, 28, (2), 151-153
3. Large Order-Invariant Bayesian VARs with Stochastic Volatility
   Journal of Business & Economic Statistics, 2024, 42, (2), 825-837 View citations (7)
   See also Working Paper Large Order-Invariant Bayesian VARs with Stochastic Volatility, Papers (2021) View citations (18) (2021)

2023

4. BAYESIAN DYNAMIC VARIABLE SELECTION IN HIGH DIMENSIONS
   International Economic Review, 2023, 64, (3), 1047-1074 View citations (5)
   See also Working Paper Bayesian dynamic variable selection in high dimensions, Working Papers (2020) View citations (13) (2020)
5. Forecasting using variational Bayesian inference in large vector autoregressions with hierarchical shrinkage
   International Journal of Forecasting, 2023, 39, (1), 346-363 View citations (6)
6. Nowcasting in a pandemic using non-parametric mixed frequency VARs
   Journal of Econometrics, 2023, 232, (1), 52-69 View citations (16)
   See also Working Paper Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs, JRC Working Papers in Economics and Finance (2021) View citations (1) (2021)
7. Reconciled Estimates of Monthly GDP in the United States
   Journal of Business & Economic Statistics, 2023, 41, (2), 563-577 View citations (2)
8. Subspace shrinkage in conjugate Bayesian vector autoregressions
   Journal of Applied Econometrics, 2023, 38, (4), 556-576
   See also Working Paper Subspace Shrinkage in Conjugate Bayesian Vector Autoregressions, Papers (2021) View citations (2) (2021)
9. TAIL FORECASTING WITH MULTIVARIATE BAYESIAN ADDITIVE REGRESSION TREES
   International Economic Review, 2023, 64, (3), 979-1022 View citations (13)
   See also Working Paper Tail Forecasting with Multivariate Bayesian Additive Regression Trees, CEPR Discussion Papers (2022) (2022)

2022

10. APPROXIMATE BAYESIAN INFERENCE AND FORECASTING IN HUGE‐DIMENSIONAL MULTICOUNTRY VARs
    International Economic Review, 2022, 63, (4), 1625-1658 View citations (4)
    See also Working Paper Approximate Bayesian inference and forecasting in huge-dimensional multi-country VARs, Papers (2022) View citations (7) (2022)
11. Choosing between identification schemes in noisy-news models
    Studies in Nonlinear Dynamics & Econometrics, 2022, 26, (1), 99-136
12. Fast and Flexible Bayesian Inference in Time-varying Parameter Regression Models
    Journal of Business & Economic Statistics, 2022, 40, (4), 1904-1918 View citations (10)
    See also Working Paper Fast and Flexible Bayesian Inference in Time-varying Parameter Regression Models, Papers (2021) View citations (9) (2021)

2021

13. Inducing Sparsity and Shrinkage in Time-Varying Parameter Models
    Journal of Business & Economic Statistics, 2021, 39, (3), 669-683 View citations (22)
    See also Working Paper Inducing Sparsity and Shrinkage in Time-Varying Parameter Models, Papers (2019) View citations (20) (2019)
14. NOWCASTING ‘TRUE’ MONTHLY U.S. GDP DURING THE PANDEMIC
    National Institute Economic Review, 2021, 256, 44-70 View citations (2)
    See also Working Paper Nowcasting 'true' monthly US GDP during the pandemic, CAMA Working Papers (2021) View citations (2) (2021)

2020

15. 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)
16. Computationally efficient inference in large Bayesian mixed frequency VARs
    Economics Letters, 2020, 191, (C) View citations (13)
    See also Working Paper Computationally Efficient Inference in Large Bayesian Mixed Frequency VARs, Economic Statistics Centre of Excellence (ESCoE) Discussion Papers (2020) View citations (13) (2020)
17. Exchange rate predictability and dynamic Bayesian learning
    Journal of Applied Econometrics, 2020, 35, (4), 410-421 View citations (19)
    See also Working Paper Exchange rate predictability and dynamic Bayesian learning, VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy (2018) View citations (3) (2018)
18. 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)
19. RECONCILED ESTIMATES AND NOWCASTS OF REGIONAL OUTPUT IN THE UK
    National Institute Economic Review, 2020, 253, R44-R59 View citations (13)
20. 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 (39)
21. 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 (14)

2019

22. An empirical assessment of recent challenges in today's financial markets
    Scottish Journal of Political Economy, 2019, 66, (1), 1-4
23. Bayesian compressed vector autoregressions
    Journal of Econometrics, 2019, 210, (1), 135-154 View citations (35)
    See also Working Paper Bayesian Compressed Vector Autoregressions, Working Paper series (2017) View citations (4) (2017)
24. Forecasting with High‐Dimensional Panel VARs
    Oxford Bulletin of Economics and Statistics, 2019, 81, (5), 937-959 View citations (10)
    See also Working Paper Forecasting with High-Dimensional Panel VARs, Essex Finance Centre Working Papers (2018) View citations (5) (2018)
25. 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

26. 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 (50)
    See also Working Paper A New Model of Inflation, Trend Inflation, and Long-Run Inflation Expectations, Working Papers (Old Series) (2015) View citations (22) (2015)
27. One size does not fit all… panel data: Bayesian model averaging and data poolability
    Economic Modelling, 2018, 75, (C), 364-376 View citations (22)

2017

28. Bayesian Methods for Empirical Macroeconomics
    Review of Economic Analysis, 2017, 9, (1), 33-56 View citations (23)

2016

29. 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 (49)
    See also Working Paper A Bounded Model of Time Variation in Trend Inflation, NAIRU and the Phillips Curve, CAMA Working Papers (2014) View citations (2) (2014)
30. Domestic Violence and Football in Glasgow: Are Reference Points Relevant?
    Oxford Bulletin of Economics and Statistics, 2016, 78, (1), 1-21 View citations (3)
    See also Working Paper Domestic Violence and Football in Glasgow: Are Reference Points Relevant?, SIRE Discussion Papers (2013) (2013)
31. 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)
32. Model uncertainty in Panel Vector Autoregressive models
    European Economic Review, 2016, 81, (C), 115-131 View citations (60)
    See also Working Paper Model Uncertainty in Panel Vector Autoregressive Models, Working Paper series (2015) View citations (6) (2015)
33. 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

34. Regime-switching cointegration
    Studies in Nonlinear Dynamics & Econometrics, 2015, 19, (1), 35-48 View citations (11)
    See also Working Paper Regime-Switching Cointegration, SIRE Discussion Papers (2011) View citations (2) (2011)
35. The Contribution of Structural Break Models to Forecasting Macroeconomic Series
    Journal of Applied Econometrics, 2015, 30, (4), 596-620 View citations (52)
    See also Working Paper A Comparison Of Forecasting Procedures For Macroeconomic Series: The Contribution Of Structural Break Models, SIRE Discussion Papers (2011) View citations (12) (2011)
    Working Paper The Contribution of Structural Break Models to Forecating Macroeconomic Series, LIDAM Reprints CORE (2015) View citations (25) (2015)

2014

36. A new index of financial conditions
    European Economic Review, 2014, 71, (C), 101-116 View citations (316)
    See also Working Paper A New Index of Financial Conditions, MPRA Paper (2013) View citations (16) (2013)
37. 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)
38. Forecasting with dimension switching VARs
    International Journal of Forecasting, 2014, 30, (2), 280-290 View citations (15)
39. Hierarchical Shrinkage in Time‐Varying Parameter Models
    Journal of Forecasting, 2014, 33, (1), 80-94 View citations (88)
    See also Working Paper Hierarchical Shrinkage in Time-Varying Parameter Models, Working Paper series (2011) View citations (32) (2011)
40. Modelling breaks and clusters in the steady states of macroeconomic variables
    Computational Statistics & Data Analysis, 2014, 76, (C), 186-193 View citations (9)
    See also Working Paper Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables, ANU Working Papers in Economics and Econometrics (2013) (2013)
41. 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 (7)

2013

42. A New Model of Trend Inflation
    Journal of Business & Economic Statistics, 2013, 31, (1), 94-106 View citations (75)
    See also Working Paper A New Model Of Trend Inflation, SIRE Discussion Papers (2012) View citations (1) (2012)
43. Editorial: The Scottish Journal of Political Economy's 60th Birthday Issue
    Scottish Journal of Political Economy, 2013, 60, (5), 461-461
44. 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 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 (2012) (2012)
45. Forecasting the European carbon market
    Journal of the Royal Statistical Society Series A, 2013, 176, (3), 723-741 View citations (43)
    See also Working Paper Forecasting the European Carbon Market, SIRE Discussion Papers (2011) View citations (1) (2011)
46. Forecasting with Medium and Large Bayesian VARS
    Journal of Applied Econometrics, 2013, 28, (2), 177-203 View citations (250)
    See also Working Paper Forecasting with Medium and Large Bayesian VARs, SIRE Discussion Papers (2011) View citations (28) (2011)
47. Large time-varying parameter VARs
    Journal of Econometrics, 2013, 177, (2), 185-198 View citations (316)
    See also Working Paper Large Time-Varying Parameter VARs, Working Paper series (2012) View citations (18) (2012)
48. Modeling the relationship between European carbon permits and certified emission reductions
    Journal of Empirical Finance, 2013, 24, (C), 166-181 View citations (9)
49. On Identification of Bayesian DSGE Models
    Journal of Business & Economic Statistics, 2013, 31, (3), 300-314 View citations (58)
    See also Working Paper On Identification of Bayesian DSGE Models, SIRE Discussion Papers (2011) View citations (7) (2011)
50. 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 (6)
    See also Working Paper Stochastic Search Variable Selection in Vector Error Correction Models with an Application to a Model of the UK Macroeconomy, SIRE Discussion Papers (2009) (2009)

2012

51. Bayesian model averaging in the instrumental variable regression model
    Journal of Econometrics, 2012, 171, (2), 237-250 View citations (39)
    See also Working Paper Bayesian Model Averaging in the Instrumental Variable Regression Model, Working Paper series (2012) View citations (39) (2012)
52. FORECASTING INFLATION USING DYNAMIC MODEL AVERAGING
    International Economic Review, 2012, 53, (3), 867-886 View citations (257)
    See also Working Paper Forecasting Inflation Using Dynamic Model Averaging, SIRE Discussion Papers (2011) View citations (5) (2011)
53. The dynamics of UK and US inflation expectations
    Computational Statistics & Data Analysis, 2012, 56, (11), 3120-3133 View citations (16)
    See also Working Paper The Dynamics of UK and US Inflation Expectation, SIRE Discussion Papers (2012) View citations (16) (2012)
54. Time Varying Dimension Models
    Journal of Business & Economic Statistics, 2012, 30, (3), 358-367 View citations (63)
    See also Working Paper Time Varying Dimension Models, Working Papers (2011) View citations (2) (2011)
55. Using VARs and TVP-VARs with Many Macroeconomic Variables
    Central European Journal of Economic Modelling and Econometrics, 2012, 4, (3), 143-167 View citations (10)
    See also Working Paper Using VARs and TVP-VARs with Many Macroeconomic Variables, Working Papers (2013) View citations (1) (2013)

2011

56. Bayesian inference in a time varying cointegration model
    Journal of Econometrics, 2011, 165, (2), 210-220 View citations (44)
    See also Working Paper Bayesian Inference in a Time Varying Cointegration Model, CAMA Working Papers (2011) View citations (41) (2011)
57. Do environmental regulations affect the location decisions of multinational gold mining firms?
    Journal of Economic Geography, 2011, 11, (1), 151-177 View citations (22)
58. Time varying VARs with inequality restrictions
    Journal of Economic Dynamics and Control, 2011, 35, (7), 1126-1138 View citations (61)
59. 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 (62)
    See also Working Paper UK Macroeconomic Forecasting with Many Predictors: Which Models Forecast Best and When Do They Do So?, SIRE Discussion Papers (2011) View citations (62) (2011)
60. Understanding liquidity and credit risks in the financial crisis
    Journal of Empirical Finance, 2011, 18, (5), 903-914 View citations (34)
    See also Working Paper Understanding Liquidity and Credit Risks in the Financial Crisis, SIRE Discussion Papers (2011) View citations (36) (2011)

2010

61. A flexible approach to parametric inference in nonlinear and time varying time series models
    Journal of Econometrics, 2010, 159, (1), 134-150 View citations (12)
    See also Working Paper A flexible approach to parametric inference in nonlinear and time varying time series models, Post-Print (2010) View citations (10) (2010)
62. Bayesian Multivariate Time Series Methods for Empirical Macroeconomics
    Foundations and Trends(R) in Econometrics, 2010, 3, (4), 267-358 View citations (488)
    See also Working Paper Bayesian Multivariate Time Series Methods for Empirical Macroeconomics, MPRA Paper (2009) View citations (117) (2009)
63. Bayesian forecasting using stochastic search variable selection in a VAR subject to breaks
    International Journal of Forecasting, 2010, 26, (2), 326-347 View citations (40)
    See also Working Paper Bayesian Forecasting using Stochastic Search Variable Selection in a VAR Subject to Breaks, Working Paper series (2008) View citations (6) (2008)
64. 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 (23)
    See also Working Paper Dynamic probabilities of restrictions in state space models: An application to the Phillips curve, Working Paper series (2008) (2008)
65. Efficient Posterior Simulation for Cointegrated Models with Priors on the Cointegration Space
    Econometric Reviews, 2010, 29, (2), 224-242 View citations (30)
    See also Working Paper Efficient Posterior Simulation for Cointegrated Models with Priors On the Cointegration Space, Discussion Papers in Economics (2006) View citations (6) (2006)
66. Modeling the dynamics of inflation compensation
    Journal of Empirical Finance, 2010, 17, (1), 157-167 View citations (38)
    See also Working Paper Modeling the Dynamics of Inflation Compensation, Working Paper series (2009) View citations (15) (2009)

2009

67. On the evolution of the monetary policy transmission mechanism
    Journal of Economic Dynamics and Control, 2009, 33, (4), 997-1017 View citations (204)
68. PRIOR ELICITATION IN MULTIPLE CHANGE-POINT MODELS
    International Economic Review, 2009, 50, (3), 751-772 View citations (15)
    See also Working Paper Prior Elicitation in Multiple Change-point Models, Working Paper series (2007) (2007)
69. 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 (53)
    See also Working Paper Real-time Prediction with UK Monetary Aggregates in the Presence of Model Uncertainty, Reserve Bank of New Zealand Discussion Paper Series (2008) View citations (3) (2008)

2008

70. Forecasting Substantial Data Revisions in the Presence of Model Uncertainty
    Economic Journal, 2008, 118, (530), 1128-1144 View citations (16)
    Also in Economic Journal, 2008, 118, (530), 1128-1144 (2008) View citations (21)
    See also Working Paper Forecasting Substantial Data Revisions in the Presence of Model Uncertainty, Birkbeck Working Papers in Economics and Finance (2006) View citations (11) (2006)
71. 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 Re-examining the Consumption-Wealth Relationship: The Role of Model Uncertainty, Discussion Papers in Economics (2005) View citations (4) (2005)
72. 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 What is the Environmental Performance of Firms Overseas?: An Empirical Investigation of the Global Gold Mining Industry, Working Paper series (2007) View citations (1) (2007)

2007

73. Editors' Introduction to the Special Issue of Econometric Reviews on Bayesian Dynamic Econometrics
    Econometric Reviews, 2007, 26, (2-4), 107-112
74. Estimation and Forecasting in Models with Multiple Breaks
    The Review of Economic Studies, 2007, 74, (3), 763-789 View citations (161)

2006

75. Semiparametric Bayesian inference in smooth coefficient models
    Journal of Econometrics, 2006, 134, (1), 283-315 View citations (13)
    See also Working Paper Semiparametric Bayesian Inference in Smooth Coefficient Models, Staff General Research Papers Archive (2006) View citations (14) (2006)

2005

76. Alternative efficiency measures for multiple-output production
    Journal of Econometrics, 2005, 126, (2), 411-444 View citations (41)
    See also Working Paper Alternative efficiency measures for multiple-output production, Edinburgh School of Economics Discussion Paper Series (2003) View citations (2) (2003)
77. Current developments in productivity and efficiency measurement
    Journal of Econometrics, 2005, 126, (2), 233-240 View citations (14)
78. Semiparametric Bayesian inference in multiple equation models
    Journal of Applied Econometrics, 2005, 20, (6), 723-747 View citations (13)
    See also Working Paper Semiparametric Bayesian Inference in Multiple Equation Models, Staff General Research Papers Archive (2005) View citations (13) (2005)

2004

79. Bayesian variants of some classical semiparametric regression techniques
    Journal of Econometrics, 2004, 123, (2), 259-282 View citations (40)
    See also Working Paper Bayesian Variants of Some classical Semiparametric Regression Techniques, Edinburgh School of Economics Discussion Paper Series (2001) View citations (21) (2001)
80. Forecasting in dynamic factor models using Bayesian model averaging
    Econometrics Journal, 2004, 7, (2), 550-565 View citations (111)
81. 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)
82. 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 Modeling the Evolution of Distributions: An Application to Major League Baseball, Edinburgh School of Economics Discussion Paper Series (2001) View citations (1) (2001)

2003

83. A Bayesian analysis of a variance decomposition for stock returns
    Journal of Empirical Finance, 2003, 10, (5), 583-601 View citations (8)
84. Bayesian Analysis of Endogenous Delay Threshold Models
    Journal of Business & Economic Statistics, 2003, 21, (1), 93-103 View citations (20)
    See also Working Paper Bayesian Analysis of Endogenous Delay Threshold Models, Edinburgh School of Economics Discussion Paper Series (1999) View citations (1) (1999)

2002

85. Comparing the Performance of Baseball Players: A Multiple-Output Approach
    Journal of the American Statistical Association, 2002, 97, 710-720 View citations (5)
    See also Working Paper Comparing the Performance of Baseball Players: A Multiple Output Approach, Edinburgh School of Economics Discussion Paper Series (2001) View citations (1) (2001)
86. Modelling Recreation Demand Using Choice Experiments: Climbing in Scotland
    Environmental & Resource Economics, 2002, 22, (3), 449-466 View citations (96)
87. 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 (76)
    See also Working Paper Multiple-Output Production With Undesirable Outputs: An Application to Nitrogen Surplus in Agriculture, Econometrics (2002) View citations (76) (2002)

2001

88. Are apparent findings of nonlinearity due to structural instability in economic time series?
    Econometrics Journal, 2001, 4, (1), 38 View citations (61)
    See also Working Paper Are apparent findings of nonlinearity due to structural instability in economic time series?, Staff Reports (1999) (1999)
89. Bayesian inference in models based on equilibrium search theory
    Journal of Econometrics, 2001, 102, (2), 311-338 View citations (3)
    See also Working Paper Bayesian inference in models based on equilibrium search theory, Edinburgh School of Economics Discussion Paper Series (1999) (1999)
90. Cross-Sectoral Patterns of Efficiency and Technical Change in Manufacturing
    International Economic Review, 2001, 42, (1), 73-103 View citations (18)
91. 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 (21)
92. Testing for optimality in job search models
    Econometrics Journal, 2001, 4, (2), 6 View citations (2)
93. The valuation of IPO and SEO firms
    Journal of Empirical Finance, 2001, 8, (4), 375-401 View citations (18)

2000

94. A Bayesian analysis of multiple-output production frontiers
    Journal of Econometrics, 2000, 98, (1), 47-79 View citations (42)
    See also Working Paper A Bayesian analysis of multiple-output production frontier, Edinburgh School of Economics Discussion Paper Series (1999) View citations (2) (1999)
95. 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 A Stochastic Frontier Analysis of Output Level and Growth in Poland and Western Economies, Other publications TiSEM (1997) View citations (1) (1997)
96. Modeling the Sources of Output Growth in a Panel of Countries
    Journal of Business & Economic Statistics, 2000, 18, (3), 284-99 View citations (62)
97. Testing for integration using evolving trend and seasonals models: A Bayesian approach
    Journal of Econometrics, 2000, 97, (2), 261-291 View citations (26)
    See also Working Paper Testing for Integration using Evolving Trend and Seasonals Models: A Bayesian Approach, Tinbergen Institute Discussion Papers (1999) View citations (5) (1999)

1999

98. Bayesian Analysis, Computation and Communication Software
    Journal of Applied Econometrics, 1999, 14, (6), 677-89 View citations (2)
99. Dynamic Asymmetries in U.S. Unemployment
    Journal of Business & Economic Statistics, 1999, 17, (3), 298-312 View citations (107)
    See also Working Paper Dynamic asymmetries in US unemployment, Edinburgh School of Economics Discussion Paper Series (1998) View citations (5) (1998)
100. Incomplete models and reweighting
     Econometric Reviews, 1999, 18, (1), 97-104
101. Is there an environmental Kuznets curve for deforestation?
     Journal of Development Economics, 1999, 58, (1), 231-244 View citations (140)
102. The Components of Output Growth: A Stochastic Frontier Analysis
     Oxford Bulletin of Economics and Statistics, 1999, 61, (4), 455-487 View citations (62)

1998

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

1997

106. Bayesian analysis of long memory and persistence using ARFIMA models
     Journal of Econometrics, 1997, 76, (1-2), 149-169 View citations (30)
     See also Working Paper Bayesian Analysis of Long Memory and Persistence using ARFIMA Models, Econometrics (2004) View citations (4) (2004)
107. Bayesian efficiency analysis through individual effects: Hospital cost frontiers
     Journal of Econometrics, 1997, 76, (1-2), 77-105 View citations (158)
     See also Working Paper Bayesian efficiency analysis through individual effects: Hospital cost frontiers, LIDAM Reprints CORE (1997) View citations (129) (1997)
108. Learning about the across-regime correlation in switching regression models
     Journal of Econometrics, 1997, 78, (2), 217-227 View citations (34)
109. Measuring differential forest outcomes: A tale of two countries
     World Development, 1997, 25, (12), 2043-2056 View citations (3)

1996

110. Correction [Posterior Properties of Long-Run Impulse Responses]
     Journal of Business & Economic Statistics, 1996, 14, (2), 257
111. Impulse response analysis in nonlinear multivariate models
     Journal of Econometrics, 1996, 74, (1), 119-147 View citations (3029)
112. Parameter uncertainty and impulse response analysis
     Journal of Econometrics, 1996, 72, (1-2), 135-149 View citations (53)

1995

113. 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)
114. Bayesian long-run prediction in time series models
     Journal of Econometrics, 1995, 69, (1), 61-80 View citations (11)
     See also Working Paper Bayesian long-run prediction in time series models, UC3M Working papers. Economics (1992) View citations (1) (1992)

1994

115. 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 A decision theoretic analysis of the unit root hypothesis using mixtures of elliptical models, DES - Working Papers. Statistics and Econometrics. WS (1993) (1993)
116. 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 (13)
117. Bayesian Efficiency Analysis with a Flexible Form: The AIM Cost Function
     Journal of Business & Economic Statistics, 1994, 12, (3), 339-46 View citations (37)
     See also Working Paper Bayesian efficiency analysis with a flexible form: The aim cost function, Other publications TiSEM (1994) View citations (32) (1994)
118. Bayesian Semi-nonparametric ARCH Models
     The Review of Economics and Statistics, 1994, 76, (1), 176-81 View citations (3)
119. Posterior Properties of Long-Run Impulse Responses
     Journal of Business & Economic Statistics, 1994, 12, (4), 489-92 View citations (4)
120. Rank-Ordered Logit Models: An Empirical Analysis of Ontario Voter Preferences
     Journal of Applied Econometrics, 1994, 9, (4), 369-88 View citations (13)
121. Recent Progress in Applied Bayesian Econometrics
     Journal of Economic Surveys, 1994, 8, (1), 1-34 View citations (25)
122. Stochastic frontier models: A Bayesian perspective
     Journal of Econometrics, 1994, 61, (2), 273-303 View citations (201)
     See also Working Paper Stochastic frontier models: a bayesian perspective, UC3M Working papers. Economics (1992) View citations (2) (1992)

1993

123. Bayesian analysis of logit models using natural conjugate priors
     Journal of Econometrics, 1993, 56, (3), 323-340 View citations (20)
124. Do recessions permanently change output?
     Journal of Monetary Economics, 1993, 31, (2), 149-163 View citations (292)
125. Econometric estimation of proportional hazard models
     Journal of Economics and Business, 1993, 45, (5), 421-430 View citations (2)

1992

126. 'Objective' Bayesian Unit Root Tests
     Journal of Applied Econometrics, 1992, 7, (1), 65-82 View citations (16)
127. Aggregate Shocks and Macroeconomic Fluctuations: A Bayesian Approach
     Journal of Applied Econometrics, 1992, 7, (4), 395-411 View citations (18)
128. Review of PCBRAP
     Journal of Applied Econometrics, 1992, 7, (1), 105-07

1991

129. 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)
130. Intertemporal Properties of Real Output: A Bayesian Analysis
     Journal of Business & Economic Statistics, 1991, 9, (3), 253-65 View citations (11)
131. 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

1. Bayesian Econometric Methods
   Cambridge Books, Cambridge University Press View citations (18)
   Also in Cambridge Books, Cambridge University Press (2019) View citations (20)
   See also Working Paper Bayesian Econometric Methods, Staff General Research Papers Archive, Iowa State University, Department of Economics (2007) View citations (151) (2007)

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)

Chapters

2019

1. 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 (20)

2014

2. 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 (8)
   See also Working Paper Model Switching and Model Averaging in Time- Varying Parameter Regression Models, Scottish Institute for Research in Economics (SIRE) (2013) View citations (1) (2013)

2008

3. Bayesian inference in a cointegrating panel data model
   A chapter in Bayesian Econometrics, 2008, pp 433-469
   See also Working Paper Bayesian Inference in a Cointegrating Panel Data Model, Rimini Centre for Economic Analysis (2007) (2007)
4. Parametric and nonparametric inference in equilibrium job search models
   A chapter in Bayesian Econometrics, 2008, pp 217-244
   See also Working Paper Parametric and Nonparametric Inference in Equilibrium Job Search Models, Division of Economics, School of Business, University of Leicester (2002) (2002)

2006

5. The Vector Floor and Ceiling Model
   A chapter in Nonlinear Time Series Analysis of Business Cycles, 2006, pp 97-131
   See also Working Paper The Vector Floor and Ceiling Model, Division of Economics, School of Business, University of Leicester (2000) View citations (3) (2000)

Editor

1. Advanced Studies in Theoretical and Applied Econometrics
   Springer