Details about Mattias Villani

Access statistics for papers by Mattias Villani.

Last updated 2025-03-14. Update your information in the RePEc Author Service.

Short-id: pvi83

Working Papers

2022

1. Bayesian Optimization of Hyperparameters from Noisy Marginal Likelihood Estimates
   Papers, arXiv.org
   See also Journal Article Bayesian optimization of hyperparameters from noisy marginal likelihood estimates, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2023) (2023)

2019

2. Hamiltonian Monte Carlo with Energy Conserving Subsampling
   Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (3)

2017

3. Bayesian optimisation for fast approximate inference in state-space models with intractable likelihoods
   Papers, arXiv.org

2016

4. Block-Wise Pseudo-Marginal Metropolis-Hastings
   Working Papers, University of Sydney Business School, Discipline of Business Analytics View citations (3)
5. Speeding up MCMC by Efficient Data Subsampling
   Working Papers, University of Sydney Business School, Discipline of Business Analytics
   Also in Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) (2015) View citations (2)
   See also Journal Article Speeding Up MCMC by Efficient Data Subsampling, Journal of the American Statistical Association, Taylor & Francis Journals (2019) View citations (14) (2019)

2015

6. SCALABLE MCMC FOR LARGE DATA PROBLEMS USING DATA SUBSAMPLING AND THE DIFFERENCE ESTIMATOR
   Working Paper Series, Sveriges Riksbank (Central Bank of Sweden)

2013

7. Dynamic mixture-of-experts models for longitudinal and discrete-time survival data
   Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (2)

2011

8. Taking the Twists into Account: Predicting Firm Bankruptcy Risk with Splines of Financial Ratios
   Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (13)
   See also Journal Article Taking the Twists into Account: Predicting Firm Bankruptcy Risk with Splines of Financial Ratios, Journal of Financial and Quantitative Analysis, Cambridge University Press (2014) View citations (14) (2014)

2010

9. Bayesian Inference in Structural Second-Price common Value Auctions
   Working Paper Series, Sveriges Riksbank (Central Bank of Sweden)
   See also Journal Article Bayesian Inference in Structural Second-Price Common Value Auctions, Journal of Business & Economic Statistics, Taylor & Francis Journals (2011) (2011)
10. Modeling Conditional Densities Using Finite Smooth Mixtures
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (4)

2009

11. Flexible Modeling of Conditional Distributions Using Smooth Mixtures of Asymmetric Student T Densities
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden)
12. Forecasting Macroeconomic Time Series With Locally Adaptive Signal Extraction
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (1)
    See also Journal Article Forecasting macroeconomic time series with locally adaptive signal extraction, International Journal of Forecasting, Elsevier (2010) View citations (23) (2010)

2007

13. Evaluating An Estimated New Keynesian Small Open Economy Model
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (23)
    Also in Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) (2007) View citations (22)
    See also Journal Article Evaluating an estimated new Keynesian small open economy model, Journal of Economic Dynamics and Control, Elsevier (2008) View citations (260) (2008)
14. Nonparametric Regression Density Estimation Using Smoothly Varying Normal Mixtures
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (3)

2006

15. Forecasting Performance of an Open Economy Dynamic Stochastic General Equilibrium Model
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (14)
    Also in Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group (2005) View citations (11)
16. Modern Forecasting Models in Action: Improving Macroeconomic Analyses at Central Banks
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (25)
    See also Journal Article Modern Forecasting Models in Action: Improving Macroeconomic Analyses at Central Banks, International Journal of Central Banking, International Journal of Central Banking (2007) View citations (106) (2007)

2005

17. Are Constant Interest Rate Forecasts Modest Interventions? Evidence from an Estimated Open Economy DSGE Model of the Euro Area
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (10)
18. Bayesian Estimation of an Open Economy DSGE Model with Incomplete Pass-Through
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (60)
    See also Journal Article Bayesian estimation of an open economy DSGE model with incomplete pass-through, Journal of International Economics, Elsevier (2007) View citations (621) (2007)
19. Bayesian Inference of General Linear Restrictions on the Cointegration Space
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden)
20. 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)
21. Inference in Vector Autoregressive Models with an Informative Prior on the Steady State
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (15)

2004

22. A Bayesian Approach to Modelling Graphical Vector Autoregressions
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden)
    See also Journal Article A Bayesian Approach to Modelling Graphical Vector Autoregressions, Journal of Time Series Analysis, Wiley Blackwell (2006) View citations (13) (2006)
23. The Multivariate Split Normal Distribution and Asymmetric Principal Components Analysis
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (2)

2003

24. Bayes Estimators of the Cointegration Space
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden)
25. Monetary Policy Analysis in a Small Open Economy using Bayesian Cointegrated Structural VARs
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (31)
    Also in Working Paper Series, European Central Bank (2003) View citations (28)

2000

26. Panel Regression with Unobserved Classes
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics

1999

27. Bayesian Prediction with a Cointegrated Vector Autoregression
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (1)
    See also Journal Article Bayesian prediction with cointegrated vector autoregressions, International Journal of Forecasting, Elsevier (2001) View citations (29) (2001)

Journal Articles

2024

1. Spectral Subsampling MCMC for Stationary Multivariate Time Series with Applications to Vector ARTFIMA Processes
   Econometrics and Statistics, 2024, 32, (C), 98-121

2023

2. Bayesian optimization of hyperparameters from noisy marginal likelihood estimates
   Journal of Applied Econometrics, 2023, 38, (4), 577-595
   See also Working Paper Bayesian Optimization of Hyperparameters from Noisy Marginal Likelihood Estimates, Papers (2022) (2022)

2020

3. DOLDA: a regularized supervised topic model for high-dimensional multi-class regression
   Computational Statistics, 2020, 35, (1), 175-201

2019

4. Speeding Up MCMC by Efficient Data Subsampling
   Journal of the American Statistical Association, 2019, 114, (526), 831-843 View citations (14)
   See also Working Paper Speeding up MCMC by Efficient Data Subsampling, Working Papers (2016) (2016)

2018

5. Subsampling MCMC - an Introduction for the Survey Statistician
   Sankhya A: The Indian Journal of Statistics, 2018, 80, (1), 33-69 View citations (2)

2014

6. Taking the Twists into Account: Predicting Firm Bankruptcy Risk with Splines of Financial Ratios
   Journal of Financial and Quantitative Analysis, 2014, 49, (4), 1071-1099 View citations (14)
   See also Working Paper Taking the Twists into Account: Predicting Firm Bankruptcy Risk with Splines of Financial Ratios, Working Paper Series (2011) View citations (13) (2011)

2013

7. Efficient Bayesian Multivariate Surface Regression
   Scandinavian Journal of Statistics, 2013, 40, (4), 706-723 View citations (3)

2012

8. Generalized smooth finite mixtures
   Journal of Econometrics, 2012, 171, (2), 121-133 View citations (13)

2011

9. Bayesian Inference in Structural Second-Price Common Value Auctions
   Journal of Business & Economic Statistics, 2011, 29, (3), 382-396
   Also in Journal of Business & Economic Statistics, 2011, 29, (3), 382-396 (2011)
   See also Working Paper Bayesian Inference in Structural Second-Price common Value Auctions, Working Paper Series (2010) (2010)

2010

10. Forecasting macroeconomic time series with locally adaptive signal extraction
    International Journal of Forecasting, 2010, 26, (2), 312-325 View citations (23)
    See also Working Paper Forecasting Macroeconomic Time Series With Locally Adaptive Signal Extraction, Working Paper Series (2009) View citations (1) (2009)

2009

11. Regression density estimation using smooth adaptive Gaussian mixtures
    Journal of Econometrics, 2009, 153, (2), 155-173 View citations (31)
12. Steady-state priors for vector autoregressions
    Journal of Applied Econometrics, 2009, 24, (4), 630-650 View citations (161)

2008

13. EMPIRICAL PROPERTIES OF CLOSED- AND OPEN-ECONOMY DSGE MODELS OF THE EURO AREA
    Macroeconomic Dynamics, 2008, 12, (S1), 2-19 View citations (30)
14. Evaluating an estimated new Keynesian small open economy model
    Journal of Economic Dynamics and Control, 2008, 32, (8), 2690-2721 View citations (260)
    See also Working Paper Evaluating An Estimated New Keynesian Small Open Economy Model, CEPR Discussion Papers (2007) View citations (23) (2007)

2007

15. Bayesian Analysis of DSGE Models—Some Comments
    Econometric Reviews, 2007, 26, (2-4), 173-185 View citations (2)
16. Bayesian estimation of an open economy DSGE model with incomplete pass-through
    Journal of International Economics, 2007, 72, (2), 481-511 View citations (621)
    See also Working Paper Bayesian Estimation of an Open Economy DSGE Model with Incomplete Pass-Through, Working Paper Series (2005) View citations (60) (2005)
17. Forecasting Performance of an Open Economy DSGE Model
    Econometric Reviews, 2007, 26, (2-4), 289-328 View citations (123)
18. Modern Forecasting Models in Action: Improving Macroeconomic Analyses at Central Banks
    International Journal of Central Banking, 2007, 3, (4), 111-144 View citations (106)
    See also Working Paper Modern Forecasting Models in Action: Improving Macroeconomic Analyses at Central Banks, Working Paper Series (2006) View citations (25) (2006)

2006

19. A Bayesian Approach to Modelling Graphical Vector Autoregressions
    Journal of Time Series Analysis, 2006, 27, (1), 141-156 View citations (13)
    See also Working Paper A Bayesian Approach to Modelling Graphical Vector Autoregressions, Working Paper Series (2004) (2004)
20. Bayesian point estimation of the cointegration space
    Journal of Econometrics, 2006, 134, (2), 645-664 View citations (14)

2005

21. An estimated New Keynesian small open economy model
    Proceedings, 2005 View citations (24)
22. Are Constant Interest Rate Forecasts Modest Policy Interventions? Evidence from a Dynamic Open‐Economy Model
    International Finance, 2005, 8, (3), 509-544 View citations (21)
23. BAYESIAN REFERENCE ANALYSIS OF COINTEGRATION
    Econometric Theory, 2005, 21, (2), 326-357 View citations (34)
24. The Role of Sticky Prices in an Open Economy DSGE Model: A Bayesian Investigation
    Journal of the European Economic Association, 2005, 3, (2-3), 444-457 View citations (47)

2004

25. Bayesian assessment of dimensionality in reduced rank regression
    Statistica Neerlandica, 2004, 58, (3), 255-270 View citations (6)

2001

26. A distance measure between cointegration spaces
    Economics Letters, 2001, 70, (1), 21-27 View citations (6)
27. Bayesian prediction with cointegrated vector autoregressions
    International Journal of Forecasting, 2001, 17, (4), 585-605 View citations (29)
    See also Working Paper Bayesian Prediction with a Cointegrated Vector Autoregression, Working Paper Series (1999) View citations (1) (1999)
28. Fractional Bayesian Lag Length Inference in Multivariate Autoregressive Processes
    Journal of Time Series Analysis, 2001, 22, (1), 67-86 View citations (3)