EconPapers    
Economics at your fingertips  
 

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 2023-03-10. Update your information in the RePEc Author Service.

Short-id: pko8


Jump to Journal Articles Books Edited books Chapters Editor

Working Papers

2023

  1. Bayesian Forecasting in Economics and Finance: A Modern Review
    Papers, arXiv.org Downloads
  2. Bayesian Modeling of TVP-VARs Using Regression Trees
    Papers, arXiv.org Downloads
  3. Bayesian Modeling of Time-Varying Parameters Using Regression Trees
    Working Papers, Federal Reserve Bank of Cleveland Downloads
  4. Dynamic Shrinkage Priors for Large Time-varying Parameter Regressions using Scalable Markov Chain Monte Carlo Methods
    Papers, arXiv.org Downloads View citations (2)
  5. Incorporating Short Data into Large Mixed-Frequency VARs for Regional Nowcasting
    Working Papers, Federal Reserve Bank of Cleveland Downloads View citations (2)
  6. Predictive Density Combination Using a Tree-Based Synthesis Function
    Working Papers, Federal Reserve Bank of Cleveland Downloads
    Also in Staff Working Papers, Bank of Canada (2023) Downloads

2022

  1. Approximate Bayesian inference and forecasting in huge-dimensional multi-country VARs
    Papers, arXiv.org Downloads View citations (5)
    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) Downloads View citations (4) (2022)
  2. Forecasting US Inflation Using Bayesian Nonparametric Models
    Working Papers, Federal Reserve Bank of Cleveland Downloads View citations (6)
    Also in Papers, arXiv.org (2022) Downloads View citations (6)
  3. Reconciled Estimates of Monthly GDP in the US
    Working Papers, Federal Reserve Bank of Cleveland Downloads View citations (3)
    Also in Economic Statistics Centre of Excellence (ESCoE) Discussion Papers, Economic Statistics Centre of Excellence (ESCoE) (2020) Downloads View citations (2)
    EMF Research Papers, Economic Modelling and Forecasting Group (2020) Downloads View citations (2)
  4. Tail Forecasting with Multivariate Bayesian Additive Regression Trees
    Working Papers, Federal Reserve Bank of Cleveland Downloads View citations (6)
  5. Using hierarchical aggregation constraints to nowcast regional economic aggregates
    Economic Statistics Centre of Excellence (ESCoE) Discussion Papers, Economic Statistics Centre of Excellence (ESCoE) Downloads View citations (2)
  6. Using stochastic hierarchical aggregation constraints to nowcast regional economic aggregates
    Working Papers, Federal Reserve Bank of Cleveland Downloads View citations (1)

2021

  1. Fast and Flexible Bayesian Inference in Time-varying Parameter Regression Models
    Papers, arXiv.org Downloads 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) Downloads View citations (5) (2022)
  2. Investigating Growth at Risk Using a Multi-country Non-parametric Quantile Factor Model
    Papers, arXiv.org Downloads View citations (7)
  3. Large Order-Invariant Bayesian VARs with Stochastic Volatility
    Papers, arXiv.org Downloads View citations (15)
  4. Macroeconomic Forecasting with Large Stochastic Volatility in Mean VARs
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School Downloads View citations (2)
  5. 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 Downloads 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) Downloads View citations (2) (2021)
  6. Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs
    Working Papers, Joint Research Centre, European Commission Downloads View citations (1)
    Also in Papers, arXiv.org (2020) Downloads View citations (29)
    Working Paper Series, European Central Bank (2021) Downloads View citations (6)

    See also Journal Article Nowcasting in a pandemic using non-parametric mixed frequency VARs, Journal of Econometrics, Elsevier (2023) Downloads View citations (10) (2023)
  7. Subspace Shrinkage in Conjugate Bayesian Vector Autoregressions
    Papers, arXiv.org Downloads View citations (2)

2020

  1. Bayesian Inference in High-Dimensional Time-varying Parameter Models using Integrated Rotated Gaussian Approximations
    Papers, arXiv.org Downloads View citations (6)
  2. Bayesian dynamic variable selection in high dimensions
    Papers, arXiv.org Downloads View citations (13)
    Also in Working Papers, Business School - Economics, University of Glasgow (2020) Downloads View citations (13)
    MPRA Paper, University Library of Munich, Germany (2020) Downloads View citations (13)
  3. Computationally Efficient Inference in Large Bayesian Mixed Frequency VARs
    Economic Statistics Centre of Excellence (ESCoE) Discussion Papers, Economic Statistics Centre of Excellence (ESCoE) Downloads View citations (9)
    Also in Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester Downloads

    See also Journal Article Computationally efficient inference in large Bayesian mixed frequency VARs, Economics Letters, Elsevier (2020) Downloads View citations (10) (2020)
  4. Forecasting Low Frequency Macroeconomic Events with High Frequency Data
    EMF Research Papers, Economic Modelling and Forecasting Group Downloads View citations (1)

2019

  1. Inducing Sparsity and Shrinkage in Time-Varying Parameter Models
    Working Papers in Economics, University of Salzburg Downloads View citations (11)
    Also in Papers, arXiv.org (2019) Downloads View citations (20)
    Working Paper Series, European Central Bank (2019) Downloads 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) Downloads View citations (16) (2021)
  2. Regional Output Growth in the United Kingdom: More Timely and Higher Frequency Estimates, 1970-2017
    EMF Research Papers, Economic Modelling and Forecasting Group Downloads View citations (4)
    Also in Economic Statistics Centre of Excellence (ESCoE) Discussion Papers, Economic Statistics Centre of Excellence (ESCoE) (2018) Downloads View citations (9)
  3. Variational Bayesian Inference in Large Vector Autoregressions with Hierarchical Shrinkage
    Economic Statistics Centre of Excellence (ESCoE) Discussion Papers, Economic Statistics Centre of Excellence (ESCoE) Downloads View citations (13)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2019) Downloads View citations (13)
    Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester (2019) Downloads View citations (13)

2018

  1. Composite Likelihood Methods for Large Bayesian VARs with Stochastic Volatility
    Working Paper Series, Economics Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (7)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2018) Downloads 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) Downloads View citations (8) (2020)
  2. Exchange rate predictability and dynamic Bayesian learning
    VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy, Verein für Socialpolitik / German Economic Association Downloads View citations (3)
    Also in Essex Finance Centre Working Papers, University of Essex, Essex Business School (2017) Downloads View citations (2)

    See also Journal Article Exchange rate predictability and dynamic Bayesian learning, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2020) Downloads View citations (16) (2020)
  3. Forecasting with High-Dimensional Panel VARs
    MPRA Paper, University Library of Munich, Germany Downloads View citations (5)
    Also in Essex Finance Centre Working Papers, University of Essex, Essex Business School (2018) Downloads View citations (5)
    Working Paper series, Rimini Centre for Economic Analysis (2018) Downloads View citations (6)
    Working Papers, Business School - Economics, University of Glasgow (2015) Downloads View citations (17)

    See also Journal Article Forecasting with High‐Dimensional Panel VARs, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2019) Downloads View citations (9) (2019)
  4. Identifying Noise Shocks
    Working Paper Series, Economics Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (1)
    See also Journal Article Identifying noise shocks, Journal of Economic Dynamics and Control, Elsevier (2020) Downloads View citations (3) (2020)
  5. UK Regional Nowcasting using a Mixed Frequency Vector Autoregressive Model
    Economic Statistics Centre of Excellence (ESCoE) Discussion Papers, Economic Statistics Centre of Excellence (ESCoE) Downloads View citations (4)
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2018) Downloads View citations (4)
  6. Variational Bayes inference in high-dimensional time-varying parameter models
    Essex Finance Centre Working Papers, University of Essex, Essex Business School Downloads View citations (18)
    Also in MPRA Paper, University Library of Munich, Germany (2018) Downloads View citations (21)
    Working Paper series, Rimini Centre for Economic Analysis (2018) Downloads View citations (17)

2017

  1. Bayesian Compressed Vector Autoregressions
    Working Paper series, Rimini Centre for Economic Analysis Downloads View citations (4)
    Also in Working Papers, Business School - Economics, University of Glasgow (2016) Downloads View citations (16)
    Working Papers, Brandeis University, Department of Economics and International Business School (2016) Downloads View citations (23)
    Working Papers, Brandeis University, Department of Economics and International Business School (2016) Downloads View citations (20)

    See also Journal Article Bayesian compressed vector autoregressions, Journal of Econometrics, Elsevier (2019) Downloads View citations (33) (2019)

2015

  1. A New Model of Inflation, Trend Inflation, and Long-Run Inflation Expectations
    Working Papers (Old Series), Federal Reserve Bank of Cleveland Downloads 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) Downloads View citations (50) (2018)
  2. Large Bayesian VARMAs
    Working Paper series, Rimini Centre for Economic Analysis Downloads View citations (2)
    Also in Working Paper series, Rimini Centre for Economic Analysis (2014) Downloads View citations (16)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2014) Downloads View citations (8)
    Working Papers, University of Strathclyde Business School, Department of Economics (2014) Downloads View citations (8)

    See also Journal Article Large Bayesian VARMAs, Journal of Econometrics, Elsevier (2016) Downloads View citations (20) (2016)
  3. Model Uncertainty in Panel Vector Autoregressive Models
    Working Paper series, Rimini Centre for Economic Analysis Downloads View citations (6)
    Also in MPRA Paper, University Library of Munich, Germany (2014) Downloads View citations (2)
    Working Papers, Business School - Economics, University of Glasgow (2014) Downloads View citations (2)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2014) Downloads View citations (2)
    Working Papers, University of Strathclyde Business School, Department of Economics (2014) Downloads View citations (9)
    Working Paper series, Rimini Centre for Economic Analysis (2014) Downloads View citations (7)

    See also Journal Article Model uncertainty in Panel Vector Autoregressive models, European Economic Review, Elsevier (2016) Downloads View citations (58) (2016)
  4. 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 (23)
    Also in Working Paper series, Rimini Centre for Economic Analysis (2011) Downloads 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) Downloads View citations (50) (2015)

2014

  1. A Bounded Model of Time Variation in Trend Inflation, NAIRU and the Phillips Curve
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (2)
    Also in ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics (2012) Downloads 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) Downloads View citations (46) (2016)
  2. Nowcasting Scottish GDP Growth
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads View citations (3)
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2014) Downloads View citations (2)
    Working Paper series, Rimini Centre for Economic Analysis (2014) Downloads View citations (3)
  3. The Known Unknowns of Governance
    Working Paper series, Rimini Centre for Economic Analysis Downloads
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2014) Downloads

2013

  1. A New Index of Financial Conditions
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads View citations (24)
    Also in MPRA Paper, University Library of Munich, Germany (2013) Downloads View citations (16)
    Working Papers, Business School - Economics, University of Glasgow Downloads View citations (13)
    Working Papers, University of Strathclyde Business School, Department of Economics (2013) Downloads View citations (13)

    See also Journal Article A new index of financial conditions, European Economic Review, Elsevier (2014) Downloads View citations (261) (2014)
  2. A new look at variation in employment growth in Canada
    Working Papers, Lancaster University Management School, Economics Department Downloads
  3. Domestic Violence and Football in Glasgow: Are Reference Points Relevant?
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2013) Downloads

    See also Journal Article Domestic Violence and Football in Glasgow: Are Reference Points Relevant?, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2016) Downloads View citations (3) (2016)
  4. Model Switching and Model Averaging in Time- Varying Parameter Regression Models
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads View citations (1)
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2013) Downloads 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) Downloads View citations (8) (2014)
  5. Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables
    ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics Downloads
    Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2011) Downloads
    Working Papers, University of Strathclyde Business School, Department of Economics (2011) Downloads
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2012) Downloads

    See also Journal Article Modelling breaks and clusters in the steady states of macroeconomic variables, Computational Statistics & Data Analysis, Elsevier (2014) Downloads View citations (9) (2014)
  6. Technical appendix to: a new look at variation in employment growth in Canada
    Working Papers, Lancaster University Management School, Economics Department Downloads
  7. Using VARs and TVP-VARs with Many Macroeconomic Variables
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads View citations (1)
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2013) Downloads 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) Downloads View citations (10) (2012)

2012

  1. A New Model Of Trend Inflation
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads View citations (1)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2012) Downloads View citations (1)
    Working Papers, University of Strathclyde Business School, Department of Economics (2012) Downloads View citations (6)
    MPRA Paper, University Library of Munich, Germany (2012) Downloads View citations (12)

    See also Journal Article A New Model of Trend Inflation, Journal of Business & Economic Statistics, Taylor & Francis Journals (2013) Downloads View citations (73) (2013)
  2. Bayesian Model Averaging in the Instrumental Variable Regression Model
    Working Paper series, Rimini Centre for Economic Analysis Downloads View citations (37)
    Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2011) Downloads View citations (5)
    GRIPS Discussion Papers, National Graduate Institute for Policy Studies (2011) Downloads View citations (5)
    Working Papers, University of Strathclyde Business School, Department of Economics (2011) Downloads View citations (5)

    See also Journal Article Bayesian model averaging in the instrumental variable regression model, Journal of Econometrics, Elsevier (2012) Downloads View citations (37) (2012)
  3. Estimating Phillips curves in turbulent times using the ECB's survey of professional forecasters
    Working Paper Series, European Central Bank Downloads View citations (19)
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2011) Downloads View citations (4)
  4. Estimating the Impact on Efficiency of the Adoption of a Voluntary Environmental Standard: An Empirical Study of the Global Copper Mining Industry
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2011) Downloads
    Working Papers, University of Strathclyde Business School, Department of Economics (2011) Downloads

    See also Journal Article 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) Downloads View citations (1) (2013)
  5. Large Time-Varying Parameter VARs
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads View citations (18)
    Also in Working Papers, Business School - Economics, University of Glasgow (2012) Downloads View citations (22)
    MPRA Paper, University Library of Munich, Germany (2012) Downloads View citations (50)
    Working Paper series, Rimini Centre for Economic Analysis (2012) Downloads View citations (18)

    See also Journal Article Large time-varying parameter VARs, Journal of Econometrics, Elsevier (2013) Downloads View citations (288) (2013)
  6. The Dynamics of UK and US Inflation Expectation
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads View citations (14)
    Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2011) Downloads View citations (2)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2008) Downloads
    Working Paper series, Rimini Centre for Economic Analysis (2009) Downloads View citations (1)
    Working Papers, University of Strathclyde Business School, Department of Economics (2011) Downloads

    See also Journal Article The dynamics of UK and US inflation expectations, Computational Statistics & Data Analysis, Elsevier (2012) Downloads View citations (14) (2012)
  7. Time Variation in the Dynamics of Worker Flows: Evidence from the US and Canada
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads View citations (1)
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2011) Downloads View citations (2)

2011

  1. A Comparison Of Forecasting Procedures For Macroeconomic Series: The Contribution Of Structural Break Models
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads View citations (12)
    Also in CIRANO Working Papers, CIRANO (2011) Downloads View citations (11)
    Working Papers, University of Strathclyde Business School, Department of Economics (2011) Downloads View citations (11)
    Cahiers de recherche, CIRPEE (2011) Downloads View citations (13)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) Downloads 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) Downloads View citations (50) (2015)
  2. Bayesian Inference in a Time Varying Cointegration Model
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (41)
    Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2008) Downloads View citations (2)
    Working Papers, University of Strathclyde Business School, Department of Economics (2011) Downloads View citations (43)
    GRIPS Discussion Papers, National Graduate Institute for Policy Studies (2008) Downloads View citations (3)
    Working Paper series, Rimini Centre for Economic Analysis (2008) Downloads View citations (2)

    See also Journal Article Bayesian inference in a time varying cointegration model, Journal of Econometrics, Elsevier (2011) Downloads View citations (42) (2011)
  3. Estimating Phillips Curves in Turbulent Times using the ECB’s Survey of Professional Forecasters
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads View citations (4)
  4. Forecasting Inflation Using Dynamic Model Averaging
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads View citations (5)
    Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2010) Downloads View citations (10)
    Working Papers, University of Strathclyde Business School, Department of Economics (2011) Downloads View citations (6)
    Working Paper series, Rimini Centre for Economic Analysis (2009) Downloads View citations (61)

    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) Downloads View citations (247) (2012)
  5. Forecasting the European Carbon Market
    Working Papers, University of Strathclyde Business School, Department of Economics Downloads View citations (20)
    Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2011) Downloads View citations (1)

    See also Journal Article Forecasting the European carbon market, Journal of the Royal Statistical Society Series A, Royal Statistical Society (2013) Downloads View citations (39) (2013)
  6. Forecasting with Medium and Large Bayesian VARs
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads View citations (28)
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2011) Downloads View citations (28)
    Working Paper series, Rimini Centre for Economic Analysis (2010) Downloads 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 (238) (2013)
  7. Hierarchical Shrinkage in Time-Varying Parameter Models
    Working Paper series, Rimini Centre for Economic Analysis Downloads View citations (32)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) Downloads View citations (12)
    MPRA Paper, University Library of Munich, Germany (2011) Downloads View citations (12)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2011) Downloads View citations (12)
    Working Papers, University of Strathclyde Business School, Department of Economics (2011) Downloads View citations (12)

    See also Journal Article Hierarchical Shrinkage in Time‐Varying Parameter Models, Journal of Forecasting, John Wiley & Sons, Ltd. (2014) Downloads View citations (87) (2014)
  8. On Identification of Bayesian DSGE Models
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads View citations (7)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2011) Downloads View citations (8)
    IZA Discussion Papers, Institute of Labor Economics (IZA) (2011) Downloads View citations (8)
    Working Papers, University of Strathclyde Business School, Department of Economics (2011) Downloads View citations (8)
    CESifo Working Paper Series, CESifo (2011) Downloads View citations (8)

    See also Journal Article On Identification of Bayesian DSGE Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2013) Downloads View citations (58) (2013)
  9. Regime-Switching Cointegration
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads View citations (2)
    Also in Working Paper series, Rimini Centre for Economic Analysis (2011) Downloads View citations (2)
    Working Papers, University of Strathclyde Business School, Department of Economics (2011) Downloads View citations (13)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2011) Downloads View citations (2)

    See also Journal Article Regime-switching cointegration, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2015) Downloads View citations (8) (2015)
  10. Time Varying Dimension Models
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (1)
    Also in Working Paper series, Rimini Centre for Economic Analysis (2010) Downloads View citations (5)
    ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics (2010) Downloads View citations (5)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2010) Downloads View citations (3)
    Working Papers, University of Strathclyde Business School, Department of Economics (2011) Downloads View citations (2)

    See also Journal Article Time Varying Dimension Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2012) Downloads View citations (62) (2012)
  11. UK Macroeconomic Forecasting with Many Predictors: Which Models Forecast Best and When Do They Do So?
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads View citations (61)
    Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2009) Downloads View citations (1)
    Working Papers, University of Strathclyde Business School, Department of Economics (2011) Downloads View citations (61)
    Working Papers, University of Strathclyde Business School, Department of Economics (2009) Downloads 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) Downloads View citations (61) (2011)
  12. Understanding Liquidity and Credit Risks in the Financial Crisis
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads View citations (32)
    Also in Working Paper series, Rimini Centre for Economic Analysis (2010) Downloads View citations (6)
    Working Papers, University of Strathclyde Business School, Department of Economics (2011) Downloads View citations (35)

    See also Journal Article Understanding liquidity and credit risks in the financial crisis, Journal of Empirical Finance, Elsevier (2011) Downloads View citations (32) (2011)

2010

  1. A flexible approach to parametric inference in nonlinear and time varying time series models
    Post-Print, HAL Downloads 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) Downloads View citations (12) (2010)
  2. Technical Appendix to: Understanding Liquidity and Credit Risks in the Financial Crisis
    Working Paper series, Rimini Centre for Economic Analysis Downloads View citations (2)

2009

  1. Bayesian Multivariate Time Series Methods for Empirical Macroeconomics
    MPRA Paper, University Library of Munich, Germany Downloads View citations (118)
    Also in Working Paper series, Rimini Centre for Economic Analysis (2009) Downloads View citations (186)

    See also Journal Article Bayesian Multivariate Time Series Methods for Empirical Macroeconomics, Foundations and Trends(R) in Econometrics, now publishers (2010) Downloads View citations (468) (2010)
  2. Modeling the Dynamics of Inflation Compensation
    Working Paper series, Rimini Centre for Economic Analysis Downloads View citations (15)
    See also Journal Article Modeling the dynamics of inflation compensation, Journal of Empirical Finance, Elsevier (2010) Downloads View citations (34) (2010)
  3. 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) Downloads
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2009) Downloads View citations (4)
    Working Paper series, Rimini Centre for Economic Analysis (2009) Downloads 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

  1. Bayesian Forecasting using Stochastic Search Variable Selection in a VAR Subject to Breaks
    Working Paper series, Rimini Centre for Economic Analysis Downloads 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) Downloads View citations (39) (2010)
  2. Dynamic probabilities of restrictions in state space models: An application to the Phillips curve
    Working Paper series, Rimini Centre for Economic Analysis Downloads
    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) Downloads View citations (23) (2010)
  3. On the Evolution of Monetary Policy
    Working Paper series, Rimini Centre for Economic Analysis Downloads
  4. Real-time Prediction with UK Monetary Aggregates in the Presence of Model Uncertainty
    Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand Downloads View citations (3)
    Also in Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics (2007) Downloads 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) Downloads View citations (55) (2009)

2007

  1. A flexible approach to parametric inference in nonlinear time series models
    Staff Reports, Federal Reserve Bank of New York Downloads
  2. Bayesian Econometric Methods
    Staff General Research Papers Archive, Iowa State University, Department of Economics View citations (147)
    See also Book Bayesian Econometric Methods, Cambridge Books, Cambridge University Press (2019) View citations (17) (2019)
  3. Bayesian Inference in a Cointegrating Panel Data Model
    Working Paper series, Rimini Centre for Economic Analysis Downloads
    Also in Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester (2006) Downloads View citations (3)
  4. Prior Elicitation in Multiple Change-point Models
    Working Paper series, Rimini Centre for Economic Analysis Downloads
    Also in Staff Reports, Federal Reserve Bank of New York (2004) Downloads View citations (7)
    Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester (2004) Downloads 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 (12) (2009)
  5. 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 Downloads 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) Downloads View citations (8) (2008)

2006

  1. 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 Downloads 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) Downloads View citations (27) (2010)
  2. Forecasting Substantial Data Revisions in the Presence of Model Uncertainty
    Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand Downloads View citations (12)
    Also in Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics (2006) Downloads View citations (11)

    See also Journal Article Forecasting Substantial Data Revisions in the Presence of Model Uncertainty, Economic Journal, Royal Economic Society (2008) Downloads View citations (16) (2008)
  3. 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) Downloads

    See also Journal Article Semiparametric Bayesian inference in smooth coefficient models, Journal of Econometrics, Elsevier (2006) Downloads View citations (13) (2006)

2005

  1. Bayesian approaches to cointegratrion
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (3)
    Also in Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester (2004) Downloads View citations (8)
  2. Re-examining the Consumption-Wealth Relationship: The Role of Model Uncertainty
    Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester Downloads View citations (4)
    Also in Staff Reports, Federal Reserve Bank of New York (2005) Downloads View citations (3)

    See also Journal Article Re-Examining the Consumption-Wealth Relationship: The Role of Model Uncertainty, Journal of Money, Credit and Banking, Blackwell Publishing (2008) View citations (14) (2008)
  3. 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) Downloads View citations (13) (2005)

2004

  1. An Investigation of Thresholds in Air Pollution-Mortality Effects
    Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester Downloads View citations (2)
  2. Bayesian Analysis of Long Memory and Persistence using ARFIMA Models
    Econometrics, University Library of Munich, Germany Downloads View citations (4)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1995) Downloads View citations (2)
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1997) Downloads View citations (12)
    Working Papers, University of Toronto, Department of Economics (1995) Downloads View citations (1)

    See also Journal Article Bayesian analysis of long memory and persistence using ARFIMA models, Journal of Econometrics, Elsevier (1997) Downloads View citations (29) (1997)
  3. 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 Downloads View citations (10)
    Also in Staff Reports, Federal Reserve Bank of New York (2004) Downloads View citations (8)
  4. Learning About Heterogeneity in Returns to Schooling
    Staff General Research Papers Archive, Iowa State University, Department of Economics View citations (32)

2003

  1. Alternative efficiency measures for multiple-output production
    Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh Downloads View citations (2)
    See also Journal Article Alternative efficiency measures for multiple-output production, Journal of Econometrics, Elsevier (2005) Downloads View citations (38) (2005)
  2. Bayesian Semiparametric Inference in Multiple Equation Models
    Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester Downloads View citations (1)
  3. Forecasting in Large Macroeconomic Panels using Bayesian Model Averaging
    Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester Downloads View citations (57)
    Also in Staff Reports, Federal Reserve Bank of New York (2003) Downloads View citations (37)

2002

  1. Multiple-Output Production With Undesirable Outputs: An Application to Nitrogen Surplus in Agriculture
    Econometrics, University Library of Munich, Germany Downloads View citations (72)
    Also in Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh (2002) Downloads View citations (70)

    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) Downloads View citations (71) (2002)
  2. Parametric and Nonparametric Inference in Equilibrium Job Search Models
    Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester Downloads

2001

  1. Bayesian Variants of Some classical Semiparametric Regression Techniques
    Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh Downloads 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) Downloads View citations (39) (2004)
  2. Comparing the Performance of Baseball Players: A Multiple Output Approach
    Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh Downloads 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) Downloads View citations (5) (2002)
  3. 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 Downloads 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) Downloads View citations (3) (2004)

2000

  1. Bayesian Analysis of Endogenous Delay Threshold Models
    Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh Downloads 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 (19) (2003)
  2. The Vector Floor and Ceiling Model
    Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester Downloads View citations (3)

1999

  1. A Bayesian analysis of multiple-output production frontier
    Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh Downloads View citations (2)
    See also Journal Article A Bayesian analysis of multiple-output production frontiers, Journal of Econometrics, Elsevier (2000) Downloads View citations (41) (2000)
  2. Are apparent findings of nonlinearity due to structural instability in economic time series?
    Staff Reports, Federal Reserve Bank of New York Downloads
    See also Journal Article Are apparent findings of nonlinearity due to structural instability in economic time series?, Econometrics Journal, Royal Economic Society (2001) View citations (61) (2001)
  3. Bayesian Analysis of Stochastic Frontier Models
    Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh Downloads View citations (14)
  4. Bayesian inference in models based on equilibrium search theory
    Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh Downloads
    See also Journal Article Bayesian inference in models based on equilibrium search theory, Journal of Econometrics, Elsevier (2001) Downloads View citations (3) (2001)
  5. 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
  6. Testing for Integration using Evolving Trend and Seasonals Models: A Bayesian Approach
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (5)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (1997) Downloads View citations (3)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (1999) Downloads View citations (8)

    See also Journal Article Testing for integration using evolving trend and seasonals models: A Bayesian approach, Journal of Econometrics, Elsevier (2000) Downloads View citations (26) (2000)

1998

  1. Dynamic asymmetries in US unemployment
    Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh Downloads 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)
  2. 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 Downloads View citations (1)

1997

  1. A Stochastic Frontier Analysis of Output Level and Growth in Poland and Western Economies
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (1)
    Also in Other publications TiSEM, Tilburg University, School of Economics and Management (1997) Downloads 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) Downloads View citations (25) (2000)
  2. Bayesian efficiency analysis through individual effects: Hospital cost frontiers
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (126)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1995) Downloads View citations (1)

    See also Journal Article Bayesian efficiency analysis through individual effects: Hospital cost frontiers, Journal of Econometrics, Elsevier (1997) Downloads View citations (151) (1997)

1995

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

1994

  1. Bayesian efficiency analysis with a flexible form: The aim cost function
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (33)
    Also in Other publications TiSEM, Tilburg University, School of Economics and Management (1994) Downloads View citations (31)

    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 (36) (1994)
  2. Hospital efficiency analysis through individual effects: A Bayesian approach
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (4)
    Also in Other publications TiSEM, Tilburg University, School of Economics and Management (1994) Downloads View citations (2)
  3. Posterior Analysis of Stochastic Frontier Models using Gibbs Sampling
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (16)
    Also in DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística (1992) Downloads View citations (1)

1993

  1. 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 Downloads
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1991) Downloads View citations (1)
    Working Papers, Tilburg - Center for Economic Research (1991) View citations (1)
    Other publications TiSEM, Tilburg University, School of Economics and Management (1991) Downloads 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)
  2. Bayesian efficiency analysis with a flexible cost function
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads

1992

  1. Bayesian long-run prediction in time series models
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads View citations (1)
    See also Journal Article Bayesian long-run prediction in time series models, Journal of Econometrics, Elsevier (1995) Downloads View citations (10) (1995)
  2. Posterior inference on long-run impulse responses
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads
  3. Stochastic frontier models: a bayesian perspective
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads View citations (2)
    See also Journal Article Stochastic frontier models: A Bayesian perspective, Journal of Econometrics, Elsevier (1994) Downloads View citations (193) (1994)

Undated

  1. 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

2023

  1. Forecasting using variational Bayesian inference in large vector autoregressions with hierarchical shrinkage
    International Journal of Forecasting, 2023, 39, (1), 346-363 Downloads View citations (5)
  2. Nowcasting in a pandemic using non-parametric mixed frequency VARs
    Journal of Econometrics, 2023, 232, (1), 52-69 Downloads View citations (10)
    See also Working Paper Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs, Working Papers (2021) Downloads View citations (1) (2021)

2022

  1. APPROXIMATE BAYESIAN INFERENCE AND FORECASTING IN HUGE‐DIMENSIONAL MULTICOUNTRY VARs
    International Economic Review, 2022, 63, (4), 1625-1658 Downloads View citations (4)
    See also Working Paper Approximate Bayesian inference and forecasting in huge-dimensional multi-country VARs, Papers (2022) Downloads View citations (5) (2022)
  2. Choosing between identification schemes in noisy-news models
    Studies in Nonlinear Dynamics & Econometrics, 2022, 26, (1), 99-136 Downloads
  3. Fast and Flexible Bayesian Inference in Time-varying Parameter Regression Models
    Journal of Business & Economic Statistics, 2022, 40, (4), 1904-1918 Downloads View citations (5)
    See also Working Paper Fast and Flexible Bayesian Inference in Time-varying Parameter Regression Models, Papers (2021) Downloads View citations (9) (2021)

2021

  1. Inducing Sparsity and Shrinkage in Time-Varying Parameter Models
    Journal of Business & Economic Statistics, 2021, 39, (3), 669-683 Downloads View citations (16)
    See also Working Paper Inducing Sparsity and Shrinkage in Time-Varying Parameter Models, Working Papers in Economics (2019) Downloads View citations (11) (2019)
  2. NOWCASTING ‘TRUE’ MONTHLY U.S. GDP DURING THE PANDEMIC
    National Institute Economic Review, 2021, 256, 44-70 Downloads View citations (2)
    See also Working Paper Nowcasting 'true' monthly US GDP during the pandemic, CAMA Working Papers (2021) Downloads View citations (2) (2021)

2020

  1. Composite likelihood methods for large Bayesian VARs with stochastic volatility
    Journal of Applied Econometrics, 2020, 35, (6), 692-711 Downloads View citations (8)
    See also Working Paper Composite Likelihood Methods for Large Bayesian VARs with Stochastic Volatility, Working Paper Series (2018) Downloads View citations (7) (2018)
  2. Computationally efficient inference in large Bayesian mixed frequency VARs
    Economics Letters, 2020, 191, (C) Downloads View citations (10)
    See also Working Paper Computationally Efficient Inference in Large Bayesian Mixed Frequency VARs, Economic Statistics Centre of Excellence (ESCoE) Discussion Papers (2020) Downloads View citations (9) (2020)
  3. Exchange rate predictability and dynamic Bayesian learning
    Journal of Applied Econometrics, 2020, 35, (4), 410-421 Downloads View citations (16)
    See also Working Paper Exchange rate predictability and dynamic Bayesian learning, VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy (2018) Downloads View citations (3) (2018)
  4. Identifying noise shocks
    Journal of Economic Dynamics and Control, 2020, 111, (C) Downloads View citations (3)
    See also Working Paper Identifying Noise Shocks, Working Paper Series (2018) Downloads View citations (1) (2018)
  5. RECONCILED ESTIMATES AND NOWCASTS OF REGIONAL OUTPUT IN THE UK
    National Institute Economic Review, 2020, 253, R44-R59 Downloads View citations (11)
  6. Regional output growth in the United Kingdom: More timely and higher frequency estimates from 1970
    Journal of Applied Econometrics, 2020, 35, (2), 176-197 Downloads View citations (37)
  7. 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 Downloads View citations (12)

2019

  1. An empirical assessment of recent challenges in today's financial markets
    Scottish Journal of Political Economy, 2019, 66, (1), 1-4 Downloads
  2. Bayesian compressed vector autoregressions
    Journal of Econometrics, 2019, 210, (1), 135-154 Downloads View citations (33)
    See also Working Paper Bayesian Compressed Vector Autoregressions, Working Paper series (2017) Downloads View citations (4) (2017)
  3. Forecasting with High‐Dimensional Panel VARs
    Oxford Bulletin of Economics and Statistics, 2019, 81, (5), 937-959 Downloads View citations (9)
    See also Working Paper Forecasting with High-Dimensional Panel VARs, MPRA Paper (2018) Downloads View citations (5) (2018)
  4. Nowcasting Using Mixed Frequency Methods: An Application to the Scottish Economy
    Sankhya B: The Indian Journal of Statistics, 2019, 81, (1), 12-45 Downloads View citations (1)

2018

  1. A New Model of Inflation, Trend Inflation, and Long‐Run Inflation Expectations
    Journal of Money, Credit and Banking, 2018, 50, (1), 5-53 Downloads View citations (50)
    See also Working Paper A New Model of Inflation, Trend Inflation, and Long-Run Inflation Expectations, Working Papers (Old Series) (2015) Downloads View citations (22) (2015)
  2. One size does not fit all… panel data: Bayesian model averaging and data poolability
    Economic Modelling, 2018, 75, (C), 364-376 Downloads View citations (21)

2017

  1. Bayesian Methods for Empirical Macroeconomics
    Review of Economic Analysis, 2017, 9, (1), 33-56 Downloads View citations (21)

2016

  1. A Bounded Model of Time Variation in Trend Inflation, Nairu and the Phillips Curve
    Journal of Applied Econometrics, 2016, 31, (3), 551-565 Downloads View citations (46)
    See also Working Paper A Bounded Model of Time Variation in Trend Inflation, NAIRU and the Phillips Curve, CAMA Working Papers (2014) Downloads View citations (2) (2014)
  2. Domestic Violence and Football in Glasgow: Are Reference Points Relevant?
    Oxford Bulletin of Economics and Statistics, 2016, 78, (1), 1-21 Downloads View citations (3)
    See also Working Paper Domestic Violence and Football in Glasgow: Are Reference Points Relevant?, SIRE Discussion Papers (2013) Downloads (2013)
  3. Large Bayesian VARMAs
    Journal of Econometrics, 2016, 192, (2), 374-390 Downloads View citations (20)
    See also Working Paper Large Bayesian VARMAs, Working Paper series (2015) Downloads View citations (2) (2015)
  4. Model uncertainty in Panel Vector Autoregressive models
    European Economic Review, 2016, 81, (C), 115-131 Downloads View citations (58)
    See also Working Paper Model Uncertainty in Panel Vector Autoregressive Models, Working Paper series (2015) Downloads View citations (6) (2015)
  5. Should we care about the uncertainty around measures of political-economic development?
    Journal of Comparative Economics, 2016, 44, (3), 752-763 Downloads View citations (8)

2015

  1. Regime-switching cointegration
    Studies in Nonlinear Dynamics & Econometrics, 2015, 19, (1), 35-48 Downloads View citations (8)
    See also Working Paper Regime-Switching Cointegration, SIRE Discussion Papers (2011) Downloads View citations (2) (2011)
  2. The Contribution of Structural Break Models to Forecasting Macroeconomic Series
    Journal of Applied Econometrics, 2015, 30, (4), 596-620 Downloads View citations (50)
    See also Working Paper A Comparison Of Forecasting Procedures For Macroeconomic Series: The Contribution Of Structural Break Models, SIRE Discussion Papers (2011) Downloads View citations (12) (2011)
    Working Paper The Contribution of Structural Break Models to Forecating Macroeconomic Series, LIDAM Reprints CORE (2015) View citations (23) (2015)

2014

  1. A new index of financial conditions
    European Economic Review, 2014, 71, (C), 101-116 Downloads View citations (261)
    See also Working Paper A New Index of Financial Conditions, SIRE Discussion Papers (2013) Downloads View citations (24) (2013)
  2. A new look at variation in employment growth in Canada: The role of industry, provincial, national and external factors
    Journal of Economic Dynamics and Control, 2014, 41, (C), 257-275 Downloads View citations (4)
  3. Forecasting with dimension switching VARs
    International Journal of Forecasting, 2014, 30, (2), 280-290 Downloads View citations (15)
  4. Hierarchical Shrinkage in Time‐Varying Parameter Models
    Journal of Forecasting, 2014, 33, (1), 80-94 Downloads View citations (87)
    See also Working Paper Hierarchical Shrinkage in Time-Varying Parameter Models, Working Paper series (2011) Downloads View citations (32) (2011)
  5. Modelling breaks and clusters in the steady states of macroeconomic variables
    Computational Statistics & Data Analysis, 2014, 76, (C), 186-193 Downloads View citations (9)
    See also Working Paper Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables, ANU Working Papers in Economics and Econometrics (2013) Downloads (2013)
  6. TIME VARIATION IN THE DYNAMICS OF WORKER FLOWS: EVIDENCE FROM NORTH AMERICA AND EUROPE
    Journal of Applied Econometrics, 2014, 29, (2), 265-290 Downloads View citations (6)

2013

  1. A New Model of Trend Inflation
    Journal of Business & Economic Statistics, 2013, 31, (1), 94-106 Downloads View citations (73)
    See also Working Paper A New Model Of Trend Inflation, SIRE Discussion Papers (2012) Downloads View citations (1) (2012)
  2. Editorial: The Scottish Journal of Political Economy's 60th Birthday Issue
    Scottish Journal of Political Economy, 2013, 60, (5), 461-461 Downloads
  3. Estimating the impact on efficiency of the adoption of a voluntary environmental standard: an empirical study of the global copper mining industry
    Journal of Productivity Analysis, 2013, 39, (1), 35-45 Downloads 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) Downloads (2012)
  4. Forecasting the European carbon market
    Journal of the Royal Statistical Society Series A, 2013, 176, (3), 723-741 Downloads View citations (39)
    See also Working Paper Forecasting the European Carbon Market, Working Papers (2011) Downloads View citations (20) (2011)
  5. Forecasting with Medium and Large Bayesian VARS
    Journal of Applied Econometrics, 2013, 28, (2), 177-203 View citations (238)
    See also Working Paper Forecasting with Medium and Large Bayesian VARs, SIRE Discussion Papers (2011) Downloads View citations (28) (2011)
  6. Large time-varying parameter VARs
    Journal of Econometrics, 2013, 177, (2), 185-198 Downloads View citations (288)
    See also Working Paper Large Time-Varying Parameter VARs, SIRE Discussion Papers (2012) Downloads View citations (18) (2012)
  7. Modeling the relationship between European carbon permits and certified emission reductions
    Journal of Empirical Finance, 2013, 24, (C), 166-181 Downloads View citations (9)
  8. On Identification of Bayesian DSGE Models
    Journal of Business & Economic Statistics, 2013, 31, (3), 300-314 Downloads View citations (58)
    See also Working Paper On Identification of Bayesian DSGE Models, SIRE Discussion Papers (2011) Downloads View citations (7) (2011)
  9. Stochastic search variable selection in vector error correction models with an application to a model of the UK macroeconomy
    Journal of Applied Econometrics, 2013, 28, (1), 62-81 View citations (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) Downloads (2009)

2012

  1. Bayesian model averaging in the instrumental variable regression model
    Journal of Econometrics, 2012, 171, (2), 237-250 Downloads View citations (37)
    See also Working Paper Bayesian Model Averaging in the Instrumental Variable Regression Model, Working Paper series (2012) Downloads View citations (37) (2012)
  2. FORECASTING INFLATION USING DYNAMIC MODEL AVERAGING
    International Economic Review, 2012, 53, (3), 867-886 Downloads View citations (247)
    See also Working Paper Forecasting Inflation Using Dynamic Model Averaging, SIRE Discussion Papers (2011) Downloads View citations (5) (2011)
  3. The dynamics of UK and US inflation expectations
    Computational Statistics & Data Analysis, 2012, 56, (11), 3120-3133 Downloads View citations (14)
    See also Working Paper The Dynamics of UK and US Inflation Expectation, SIRE Discussion Papers (2012) Downloads View citations (14) (2012)
  4. Time Varying Dimension Models
    Journal of Business & Economic Statistics, 2012, 30, (3), 358-367 Downloads View citations (62)
    See also Working Paper Time Varying Dimension Models, CAMA Working Papers (2011) Downloads View citations (1) (2011)
  5. Using VARs and TVP-VARs with Many Macroeconomic Variables
    Central European Journal of Economic Modelling and Econometrics, 2012, 4, (3), 143-167 Downloads View citations (10)
    See also Working Paper Using VARs and TVP-VARs with Many Macroeconomic Variables, SIRE Discussion Papers (2013) Downloads View citations (1) (2013)

2011

  1. Bayesian inference in a time varying cointegration model
    Journal of Econometrics, 2011, 165, (2), 210-220 Downloads View citations (42)
    See also Working Paper Bayesian Inference in a Time Varying Cointegration Model, CAMA Working Papers (2011) Downloads View citations (41) (2011)
  2. Do environmental regulations affect the location decisions of multinational gold mining firms?
    Journal of Economic Geography, 2011, 11, (1), 151-177 Downloads View citations (20)
  3. Time varying VARs with inequality restrictions
    Journal of Economic Dynamics and Control, 2011, 35, (7), 1126-1138 Downloads View citations (61)
  4. UK macroeconomic forecasting with many predictors: Which models forecast best and when do they do so?
    Economic Modelling, 2011, 28, (5), 2307-2318 Downloads View citations (61)
    See also Working Paper UK Macroeconomic Forecasting with Many Predictors: Which Models Forecast Best and When Do They Do So?, SIRE Discussion Papers (2011) Downloads View citations (61) (2011)
  5. Understanding liquidity and credit risks in the financial crisis
    Journal of Empirical Finance, 2011, 18, (5), 903-914 Downloads View citations (32)
    See also Working Paper Understanding Liquidity and Credit Risks in the Financial Crisis, SIRE Discussion Papers (2011) Downloads View citations (32) (2011)

2010

  1. A flexible approach to parametric inference in nonlinear and time varying time series models
    Journal of Econometrics, 2010, 159, (1), 134-150 Downloads View citations (12)
    See also Working Paper A flexible approach to parametric inference in nonlinear and time varying time series models, Post-Print (2010) Downloads View citations (10) (2010)
  2. Bayesian Multivariate Time Series Methods for Empirical Macroeconomics
    Foundations and Trends(R) in Econometrics, 2010, 3, (4), 267-358 Downloads View citations (468)
    See also Working Paper Bayesian Multivariate Time Series Methods for Empirical Macroeconomics, MPRA Paper (2009) Downloads View citations (118) (2009)
  3. Bayesian forecasting using stochastic search variable selection in a VAR subject to breaks
    International Journal of Forecasting, 2010, 26, (2), 326-347 Downloads View citations (39)
    See also Working Paper Bayesian Forecasting using Stochastic Search Variable Selection in a VAR Subject to Breaks, Working Paper series (2008) Downloads View citations (6) (2008)
  4. Dynamic Probabilities of Restrictions in State Space Models: An Application to the Phillips Curve
    Journal of Business & Economic Statistics, 2010, 28, (3), 370-379 Downloads View citations (23)
    See also Working Paper Dynamic probabilities of restrictions in state space models: An application to the Phillips curve, Working Paper series (2008) Downloads (2008)
  5. Efficient Posterior Simulation for Cointegrated Models with Priors on the Cointegration Space
    Econometric Reviews, 2010, 29, (2), 224-242 Downloads View citations (27)
    See also Working Paper Efficient Posterior Simulation for Cointegrated Models with Priors On the Cointegration Space, Discussion Papers in Economics (2006) Downloads View citations (6) (2006)
  6. Modeling the dynamics of inflation compensation
    Journal of Empirical Finance, 2010, 17, (1), 157-167 Downloads View citations (34)
    See also Working Paper Modeling the Dynamics of Inflation Compensation, Working Paper series (2009) Downloads View citations (15) (2009)

2009

  1. On the evolution of the monetary policy transmission mechanism
    Journal of Economic Dynamics and Control, 2009, 33, (4), 997-1017 Downloads View citations (196)
  2. PRIOR ELICITATION IN MULTIPLE CHANGE-POINT MODELS
    International Economic Review, 2009, 50, (3), 751-772 View citations (12)
    See also Working Paper Prior Elicitation in Multiple Change-point Models, Working Paper series (2007) Downloads (2007)
  3. Real-Time Prediction With U.K. Monetary Aggregates in the Presence of Model Uncertainty
    Journal of Business & Economic Statistics, 2009, 27, (4), 480-491 Downloads View citations (55)
    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) Downloads View citations (3) (2008)

2008

  1. Forecasting Substantial Data Revisions in the Presence of Model Uncertainty
    Economic Journal, 2008, 118, (530), 1128-1144 Downloads 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, Reserve Bank of New Zealand Discussion Paper Series (2006) Downloads View citations (12) (2006)
  2. Re-Examining the Consumption-Wealth Relationship: The Role of Model Uncertainty
    Journal of Money, Credit and Banking, 2008, 40, (2-3), 341-367 View citations (14)
    Also in Journal of Money, Credit and Banking, 2008, 40, (2‐3), 341-367 (2008) Downloads

    See also Working Paper Re-examining the Consumption-Wealth Relationship: The Role of Model Uncertainty, Discussion Papers in Economics (2005) Downloads View citations (4) (2005)
  3. What is the environmental performance of firms overseas? An empirical investigation of the global gold mining industry
    Journal of Productivity Analysis, 2008, 30, (2), 129-143 Downloads View citations (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) Downloads View citations (1) (2007)

2007

  1. Editors' Introduction to the Special Issue of Econometric Reviews on Bayesian Dynamic Econometrics
    Econometric Reviews, 2007, 26, (2-4), 107-112 Downloads
  2. Estimation and Forecasting in Models with Multiple Breaks
    The Review of Economic Studies, 2007, 74, (3), 763-789 Downloads View citations (153)

2006

  1. Semiparametric Bayesian inference in smooth coefficient models
    Journal of Econometrics, 2006, 134, (1), 283-315 Downloads 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

  1. Alternative efficiency measures for multiple-output production
    Journal of Econometrics, 2005, 126, (2), 411-444 Downloads View citations (38)
    See also Working Paper Alternative efficiency measures for multiple-output production, Edinburgh School of Economics Discussion Paper Series (2003) Downloads View citations (2) (2003)
  2. Current developments in productivity and efficiency measurement
    Journal of Econometrics, 2005, 126, (2), 233-240 Downloads View citations (14)
  3. Semiparametric Bayesian inference in multiple equation models
    Journal of Applied Econometrics, 2005, 20, (6), 723-747 Downloads 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

  1. Bayesian variants of some classical semiparametric regression techniques
    Journal of Econometrics, 2004, 123, (2), 259-282 Downloads View citations (39)
    See also Working Paper Bayesian Variants of Some classical Semiparametric Regression Techniques, Edinburgh School of Economics Discussion Paper Series (2001) Downloads View citations (21) (2001)
  2. Forecasting in dynamic factor models using Bayesian model averaging
    Econometrics Journal, 2004, 7, (2), 550-565 View citations (110)
  3. Measuring the health effects of air pollution: to what extent can we really say that people are dying from bad air?
    Journal of Environmental Economics and Management, 2004, 47, (1), 30-54 Downloads View citations (27)
  4. Modelling the evolution of distributions: an application to Major League baseball
    Journal of the Royal Statistical Society Series A, 2004, 167, (4), 639-655 Downloads 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) Downloads View citations (1) (2001)

2003

  1. A Bayesian analysis of a variance decomposition for stock returns
    Journal of Empirical Finance, 2003, 10, (5), 583-601 Downloads View citations (8)
  2. Bayesian Analysis of Endogenous Delay Threshold Models
    Journal of Business & Economic Statistics, 2003, 21, (1), 93-103 View citations (19)
    See also Working Paper Bayesian Analysis of Endogenous Delay Threshold Models, Edinburgh School of Economics Discussion Paper Series (2000) Downloads View citations (1) (2000)

2002

  1. Comparing the Performance of Baseball Players: A Multiple-Output Approach
    Journal of the American Statistical Association, 2002, 97, 710-720 Downloads View citations (5)
    See also Working Paper Comparing the Performance of Baseball Players: A Multiple Output Approach, Edinburgh School of Economics Discussion Paper Series (2001) Downloads View citations (1) (2001)
  2. Modelling Recreation Demand Using Choice Experiments: Climbing in Scotland
    Environmental & Resource Economics, 2002, 22, (3), 449-466 Downloads View citations (96)
  3. Multiple-Output Production With Undesirable Outputs: An Application to Nitrogen Surplus in Agriculture
    Journal of the American Statistical Association, 2002, 97, 432-442 Downloads View citations (71)
    See also Working Paper Multiple-Output Production With Undesirable Outputs: An Application to Nitrogen Surplus in Agriculture, Econometrics (2002) Downloads View citations (72) (2002)

2001

  1. 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) Downloads (1999)
  2. Bayesian inference in models based on equilibrium search theory
    Journal of Econometrics, 2001, 102, (2), 311-338 Downloads View citations (3)
    See also Working Paper Bayesian inference in models based on equilibrium search theory, Edinburgh School of Economics Discussion Paper Series (1999) Downloads (1999)
  3. Cross-Sectoral Patterns of Efficiency and Technical Change in Manufacturing
    International Economic Review, 2001, 42, (1), 73-103 View citations (18)
  4. Go climb a mountain: an application of recreation demand modelling to rock climbing in Scotland
    Journal of Agricultural Economics, 2001, 52, (1), 36-52 Downloads View citations (21)
  5. Testing for optimality in job search models
    Econometrics Journal, 2001, 4, (2), 6 View citations (2)
  6. The valuation of IPO and SEO firms
    Journal of Empirical Finance, 2001, 8, (4), 375-401 Downloads View citations (18)

2000

  1. A Bayesian analysis of multiple-output production frontiers
    Journal of Econometrics, 2000, 98, (1), 47-79 Downloads View citations (41)
    See also Working Paper A Bayesian analysis of multiple-output production frontier, Edinburgh School of Economics Discussion Paper Series (1999) Downloads View citations (2) (1999)
  2. A Stochastic Frontier Analysis of Output Level and Growth in Poland and Western Economies
    Economic Change and Restructuring, 2000, 33, (3), 185-202 Downloads View citations (25)
    See also Working Paper A Stochastic Frontier Analysis of Output Level and Growth in Poland and Western Economies, Discussion Paper (1997) Downloads View citations (1) (1997)
  3. Modeling the Sources of Output Growth in a Panel of Countries
    Journal of Business & Economic Statistics, 2000, 18, (3), 284-99 View citations (61)
  4. Testing for integration using evolving trend and seasonals models: A Bayesian approach
    Journal of Econometrics, 2000, 97, (2), 261-291 Downloads View citations (26)
    See also Working Paper Testing for Integration using Evolving Trend and Seasonals Models: A Bayesian Approach, Tinbergen Institute Discussion Papers (1999) Downloads View citations (5) (1999)

1999

  1. Bayesian Analysis, Computation and Communication Software
    Journal of Applied Econometrics, 1999, 14, (6), 677-89 Downloads View citations (2)
  2. Dynamic Asymmetries in U.S. Unemployment
    Journal of Business & Economic Statistics, 1999, 17, (3), 298-312 View citations (107)
    See also Working Paper Dynamic asymmetries in US unemployment, Edinburgh School of Economics Discussion Paper Series (1998) Downloads View citations (5) (1998)
  3. Incomplete models and reweighting
    Econometric Reviews, 1999, 18, (1), 97-104 Downloads
  4. Is there an environmental Kuznets curve for deforestation?
    Journal of Development Economics, 1999, 58, (1), 231-244 Downloads View citations (138)
  5. The Components of Output Growth: A Stochastic Frontier Analysis
    Oxford Bulletin of Economics and Statistics, 1999, 61, (4), 455-487 Downloads View citations (61)

1998

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

1997

  1. Bayesian analysis of long memory and persistence using ARFIMA models
    Journal of Econometrics, 1997, 76, (1-2), 149-169 Downloads View citations (29)
    See also Working Paper Bayesian Analysis of Long Memory and Persistence using ARFIMA Models, Econometrics (2004) Downloads View citations (4) (2004)
  2. Bayesian efficiency analysis through individual effects: Hospital cost frontiers
    Journal of Econometrics, 1997, 76, (1-2), 77-105 Downloads View citations (151)
    See also Working Paper Bayesian efficiency analysis through individual effects: Hospital cost frontiers, LIDAM Reprints CORE (1997) Downloads View citations (126) (1997)
  3. Learning about the across-regime correlation in switching regression models
    Journal of Econometrics, 1997, 78, (2), 217-227 Downloads View citations (34)
  4. Measuring differential forest outcomes: A tale of two countries
    World Development, 1997, 25, (12), 2043-2056 Downloads View citations (3)

1996

  1. Correction [Posterior Properties of Long-Run Impulse Responses]
    Journal of Business & Economic Statistics, 1996, 14, (2), 257
  2. Impulse response analysis in nonlinear multivariate models
    Journal of Econometrics, 1996, 74, (1), 119-147 Downloads View citations (2781)
  3. Parameter uncertainty and impulse response analysis
    Journal of Econometrics, 1996, 72, (1-2), 135-149 Downloads View citations (52)

1995

  1. 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 Downloads View citations (5)
  2. Bayesian long-run prediction in time series models
    Journal of Econometrics, 1995, 69, (1), 61-80 Downloads View citations (10)
    See also Working Paper Bayesian long-run prediction in time series models, UC3M Working papers. Economics (1992) Downloads View citations (1) (1992)

1994

  1. A Decision-Theoretic Analysis of the Unit-Root Hypothesis Using Mixtures of Elliptical Models
    Journal of Business & Economic Statistics, 1994, 12, (1), 95-107 View citations (4)
    See also Working Paper A decision theoretic analysis of the unit root hypothesis using mixtures of elliptical models, DES - Working Papers. Statistics and Econometrics. WS (1993) Downloads (1993)
  2. An objective Bayesian analysis of common stochastic trends in international stock prices and exchange rates
    Journal of Empirical Finance, 1994, 1, (3-4), 343-364 Downloads View citations (15)
  3. Bayesian Efficiency Analysis with a Flexible Form: The AIM Cost Function
    Journal of Business & Economic Statistics, 1994, 12, (3), 339-46 View citations (36)
    See also Working Paper Bayesian efficiency analysis with a flexible form: The aim cost function, Discussion Paper (1994) Downloads View citations (33) (1994)
  4. Bayesian Semi-nonparametric ARCH Models
    The Review of Economics and Statistics, 1994, 76, (1), 176-81 Downloads View citations (3)
  5. Posterior Properties of Long-Run Impulse Responses
    Journal of Business & Economic Statistics, 1994, 12, (4), 489-92 View citations (4)
  6. Rank-Ordered Logit Models: An Empirical Analysis of Ontario Voter Preferences
    Journal of Applied Econometrics, 1994, 9, (4), 369-88 Downloads View citations (12)
  7. Recent Progress in Applied Bayesian Econometrics
    Journal of Economic Surveys, 1994, 8, (1), 1-34 View citations (24)
  8. Stochastic frontier models: A Bayesian perspective
    Journal of Econometrics, 1994, 61, (2), 273-303 Downloads View citations (193)
    See also Working Paper Stochastic frontier models: a bayesian perspective, UC3M Working papers. Economics (1992) Downloads View citations (2) (1992)

1993

  1. Bayesian analysis of logit models using natural conjugate priors
    Journal of Econometrics, 1993, 56, (3), 323-340 Downloads View citations (20)
  2. Do recessions permanently change output?
    Journal of Monetary Economics, 1993, 31, (2), 149-163 Downloads View citations (289)
  3. Econometric estimation of proportional hazard models
    Journal of Economics and Business, 1993, 45, (5), 421-430 Downloads View citations (2)

1992

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

1991

  1. Cointegration tests in present value relationships: A Bayesian look at the bivariate properties of stock prices and dividends
    Journal of Econometrics, 1991, 49, (1-2), 105-139 Downloads View citations (11)
  2. Intertemporal Properties of Real Output: A Bayesian Analysis
    Journal of Business & Economic Statistics, 1991, 9, (3), 253-65 View citations (10)
  3. To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends: A Comment
    Journal of Applied Econometrics, 1991, 6, (4), 365-70 Downloads View citations (7)

Books

2019

  1. Bayesian Econometric Methods
    Cambridge Books, Cambridge University Press View citations (17)
    Also in Cambridge Books, Cambridge University Press (2019) View citations (14)

    See also Working Paper Bayesian Econometric Methods, Staff General Research Papers Archive, Iowa State University, Department of Economics (2007) View citations (147) (2007)

Edited books

2013

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

2011

  1. 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 Downloads View citations (20)

2014

  1. Model Switching and Model Averaging in Time-Varying Parameter Regression Models
    A chapter in Bayesian Model Comparison, 2014, vol. 34, pp 45-69 Downloads 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) Downloads View citations (1) (2013)

Editor

  1. Advanced Studies in Theoretical and Applied Econometrics
    Springer
 
Page updated 2024-05-25