6 datasets found

In Bayesian analysis of vector autoregressive models, and especially in forecasting applications, the Minnesota prior of Litterman is frequently used. In many cases other prior...

In this paper we consider the use of bootstrap methods to compute interval estimates and perform hypothesis tests for decomposable measures of economic inequality. Two...

The generalized method of moments (GMM) estimation technique is discussed for count data models with endogenous regressors. Count data models can be specified with additive or...

We present a general class of nonlinear time-series Markov regime-switching models for seasonal data which may exhibit periodic features in the hidden Markov process as well as...

We investigate the issue of model uncertainty in cross-country growth regressions using Bayesian Model Averaging (BMA). We find that the posterior probability is spread widely...

This paper reviews current density forecast evaluation procedures, and considers a proposal that such procedures be augmented by an assessment of sharpness. This was motivated...