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Details about Mattias Villani

Homepage:http://mattiasvillani.com
Workplace:Statistiska institutionen, Stockholms universitet
Institutionen för datavetenskap

Access statistics for papers by Mattias Villani.

Last updated 2020-01-05. Update your information in the RePEc Author Service.

Short-id: pvi83


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Working Papers

2017

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

2016

  1. Block-Wise Pseudo-Marginal Metropolis-Hastings
    Working Papers, University of Sydney Business School, Discipline of Business Analytics Downloads View citations (2)
  2. Speeding up MCMC by Efficient Data Subsampling
    Working Papers, University of Sydney Business School, Discipline of Business Analytics Downloads
    Also in Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) (2015) Downloads View citations (2)

2015

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

2013

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

2011

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

2010

  1. Bayesian Inference in Structural Second-Price common Value Auctions
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) Downloads
    See also Journal Article in Journal of Business & Economic Statistics (2011)
  2. Modeling Conditional Densities Using Finite Smooth Mixtures
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) Downloads

2009

  1. Flexible Modeling of Conditional Distributions Using Smooth Mixtures of Asymmetric Student T Densities
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) Downloads
  2. Forecasting Macroeconomic Time Series With Locally Adaptive Signal Extraction
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) Downloads View citations (1)
    See also Journal Article in International Journal of Forecasting (2010)

2007

  1. Evaluating An Estimated New Keynesian Small Open Economy Model
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) Downloads View citations (21)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2007) Downloads View citations (22)

    See also Journal Article in Journal of Economic Dynamics and Control (2008)
  2. Nonparametric Regression Density Estimation Using Smoothly Varying Normal Mixtures
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) Downloads View citations (2)

2006

  1. Forecasting Performance of an Open Economy Dynamic Stochastic General Equilibrium Model
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) Downloads View citations (13)
    Also in Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group (2005) Downloads View citations (10)
  2. Modern Forecasting Models in Action: Improving Macroeconomic Analyses at Central Banks
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) Downloads View citations (25)
    See also Journal Article in International Journal of Central Banking (2007)

2005

  1. 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) Downloads View citations (9)
  2. Bayesian Estimation of an Open Economy DSGE Model with Incomplete Pass-Through
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) Downloads View citations (56)
    See also Journal Article in Journal of International Economics (2007)
  3. Bayesian Inference of General Linear Restrictions on the Cointegration Space
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) Downloads
  4. Bayesian approaches to cointegratrion
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (2)
    Also in Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester (2004) Downloads View citations (6)
  5. Inference in Vector Autoregressive Models with an Informative Prior on the Steady State
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) Downloads View citations (9)

2004

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

2003

  1. Bayes Estimators of the Cointegration Space
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) Downloads
  2. Monetary Policy Analysis in a Small Open Economy using Bayesian Cointegrated Structural VARs
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) Downloads View citations (18)
    Also in Working Paper Series, European Central Bank (2003) Downloads View citations (20)

2000

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

1999

  1. Bayesian Prediction with a Cointegrated Vector Autoregression
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) Downloads View citations (1)
    See also Journal Article in International Journal of Forecasting (2001)

Journal Articles

2018

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

2014

  1. 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 Downloads View citations (10)
    See also Working Paper (2011)

2013

  1. Efficient Bayesian Multivariate Surface Regression
    Scandinavian Journal of Statistics, 2013, 40, (4), 706-723 Downloads View citations (2)

2012

  1. Generalized smooth finite mixtures
    Journal of Econometrics, 2012, 171, (2), 121-133 Downloads View citations (10)

2011

  1. Bayesian Inference in Structural Second-Price Common Value Auctions
    Journal of Business & Economic Statistics, 2011, 29, (3), 382-396 Downloads
    Also in Journal of Business & Economic Statistics, 2011, 29, (3), 382-396 (2011) Downloads

    See also Working Paper (2010)

2010

  1. Forecasting macroeconomic time series with locally adaptive signal extraction
    International Journal of Forecasting, 2010, 26, (2), 312-325 Downloads View citations (18)
    See also Working Paper (2009)

2009

  1. Regression density estimation using smooth adaptive Gaussian mixtures
    Journal of Econometrics, 2009, 153, (2), 155-173 Downloads View citations (19)
  2. Steady-state priors for vector autoregressions
    Journal of Applied Econometrics, 2009, 24, (4), 630-650 Downloads View citations (109)

2008

  1. EMPIRICAL PROPERTIES OF CLOSED- AND OPEN-ECONOMY DSGE MODELS OF THE EURO AREA
    Macroeconomic Dynamics, 2008, 12, (S1), 2-19 Downloads View citations (26)
  2. Evaluating an estimated new Keynesian small open economy model
    Journal of Economic Dynamics and Control, 2008, 32, (8), 2690-2721 Downloads View citations (210)
    See also Working Paper (2007)

2007

  1. Bayesian Analysis of DSGE Models—Some Comments
    Econometric Reviews, 2007, 26, (2-4), 173-185 Downloads View citations (1)
  2. Bayesian estimation of an open economy DSGE model with incomplete pass-through
    Journal of International Economics, 2007, 72, (2), 481-511 Downloads View citations (512)
    See also Working Paper (2005)
  3. Forecasting Performance of an Open Economy DSGE Model
    Econometric Reviews, 2007, 26, (2-4), 289-328 Downloads View citations (101)
  4. Modern Forecasting Models in Action: Improving Macroeconomic Analyses at Central Banks
    International Journal of Central Banking, 2007, 3, (4), 111-144 Downloads View citations (86)
    See also Working Paper (2006)

2006

  1. A Bayesian Approach to Modelling Graphical Vector Autoregressions
    Journal of Time Series Analysis, 2006, 27, (1), 141-156 Downloads View citations (11)
    See also Working Paper (2004)
  2. Bayesian point estimation of the cointegration space
    Journal of Econometrics, 2006, 134, (2), 645-664 Downloads View citations (12)

2005

  1. An estimated New Keynesian small open economy model
    Proceedings, 2005 Downloads View citations (26)
  2. Are Constant Interest Rate Forecasts Modest Policy Interventions? Evidence from a Dynamic Open‐Economy Model
    International Finance, 2005, 8, (3), 509-544 Downloads View citations (19)
  3. BAYESIAN REFERENCE ANALYSIS OF COINTEGRATION
    Econometric Theory, 2005, 21, (2), 326-357 Downloads View citations (27)
  4. 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 Downloads View citations (38)

2004

  1. Bayesian assessment of dimensionality in reduced rank regression
    Statistica Neerlandica, 2004, 58, (3), 255-270 Downloads View citations (4)

2001

  1. A distance measure between cointegration spaces
    Economics Letters, 2001, 70, (1), 21-27 Downloads View citations (4)
  2. Bayesian prediction with cointegrated vector autoregressions
    International Journal of Forecasting, 2001, 17, (4), 585-605 Downloads View citations (17)
    See also Working Paper (1999)
  3. Fractional Bayesian Lag Length Inference in Multivariate Autoregressive Processes
    Journal of Time Series Analysis, 2001, 22, (1), 67-86 Downloads View citations (2)
 
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