This paper explains how the Gibbs sampler can be used to perform Bayesian inference on GARCH models. Although is usually based analytical knowledge of full conditional posterior densities, such not available in regression models with errors. We show that combined a unidimensional deterministic integration rule applied each coordinate density. The densities are evaluated and inverted numerically obtain random draws joint posterior. method shown feasible competitive compared importance...

Journal Article Ranking Economics Departments in Europe: A Statistical Approach Get access Michel Lubrano, Lubrano 1GREQAM-CNRS Search for other works by this author on: Oxford Academic Google Scholar Luc Bauwens, Bauwens 2CORE and Université Catholique de Louvain Alan Kirman, Kirman 3GREQAM-EHESS Camelia Protopopescu 4GREQAM of the European Economic Association, Volume 1, Issue 6, 1 December 2003, Pages 1367–1401, https://doi.org/10.1162/154247603322752575 Published: 01 2003

The paper analyses an M3 demand for money equation the United Kingdom. Attention is paid to policy change that occurred in 1971 with introduction of measure known as Competition and Credit Control. Classical Bayesian single instrumental variables procedures are developed investigate exogeneity short-term interest rate constancy parameters underlying relationships. have changed well status variable but long-term appear be less affected by change.

Abstract Two main nonpharmaceutical policy strategies have been used in Europe response to the COVID‐19 epidemic: one aimed at natural herd immunity and other avoiding saturation of hospital capacity by crushing curve. The two lead different results terms number lives saved on hand production loss hand. Using a susceptible–infected–recovered–dead model, we investigate compare these strategies. As are sensitive initial reproduction number, estimate latter for 10 European countries each wave...

We propose a new approach for modeling nonlinear multivariate interest rate processes based on time-varying copulas and reducible stochastic differential equations (SDEs). In the of marginal processes, we consider class SDEs that are to Ornstein–Uhlenbeck (OU) process or Cox, Ingersoll, Ross (1985) (CIR) process. The reducibility is achieved via transformation function. main advantage this these can account features, observed in short-term series, while at same time leading exact...

Abstract We develop Bayesian inference for an unconditional quantile regression model. Our approach provides better estimates in the upper tail of wage distribution as well valid small sample confidence intervals Oaxaca–Blinder decomposition. analyze recent changes US structure using data from CPS Outgoing Rotation Group 1992 to 2009. find that largest part is explained mainly by differences returns education while decline unionization rate has a impact, and earnings inequality rising more...

Summary This paper proposes a new kind of asymmetric GARCH where the conditional variance obeys two different regimes with smooth transition function. In one formulation, reacts differently to negative and positive shocks while in second small big have separate effects. The introduction threshold allows for mixed effect. A Bayesian strategy, based on comparison between posterior predictive residuals, is built detecting presence shape non-linearities. method applied Brussels Tokyo stock...

Abstract We propose a Bayesian approach for inference in dynamic disequilibrium model. To circumvent the difficulties raised by Maddala and Nelson (Citation1974) specification case, we analyze extended version of model Ginsburgh et al. (Citation1980). develop Gibbs sampler based on simulation missing observations. The feasibility is illustrated an empirical analysis Polish credit market, which conduct search using posterior deviance criterion Spiegelhalter (Citation2002). Keywords:...

The theory of human capital, even if it reckons the importance time in science, is too short for explaining existing diversity scientific output. paper introduces social capital as a necessary complement to explain creation capital. It connects these two concepts by means hierarchical econometric model. Bibliographical databases contain much information which exploited figure out collaboration, mobility, publishing habits and institutional characteristics. level model estimated on 14...