H. K. van Dijk

Econometric Institute

professor

P.O. Box 1738

3000 DR Rotterdam

Netherlands

Tinbergen Institute

Professor

Gustav Mahlerplein 117

Burg. Oudlaan 50

Amsterdam/Rotterdam, 1082 MS

Netherlands

http://people.few.eur.nl/hkvandijk/

SCHOLARLY PAPERS

44

DOWNLOADS
Rank 9,236

SSRN RANKINGS

Top 9,236

in Total Papers Downloads

4,027

CITATIONS
Rank 7,604

SSRN RANKINGS

Top 7,604

in Total Papers Citations

62

Scholarly Papers (44)

Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox

Tinbergen Institute Discussion Paper 13-055/III
Number of pages: 28 Posted: 04 May 2015
University Ca' Foscari of Venice - Department of Economics, University of Aarhus - CREATES, Free University of Bolzano and Tinbergen Institute
Downloads 395 (58,626)

Abstract:

Density Forecast Combination, Sequential Monte Carlo, Parallel Computing, GPU, Matlab

Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox

Norges Bank Working Paper 11 | 2014
Number of pages: 27 Posted: 04 May 2015
University Ca' Foscari of Venice - Department of Economics, University of Kent, Canterbury, Free University of Bolzano and Tinbergen Institute
Downloads 23 (436,263)

Abstract:

Density forecast combination, sequential Monte Carlo, parallel computing, GPU, MATLAB

Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 08/WP/2013
Number of pages: 30 Posted: 27 Apr 2013
University Ca' Foscari of Venice - Department of Economics, University of Aarhus - CREATES, Free University of Bolzano and Tinbergen Institute
Downloads 22 (441,925)

Abstract:

Density Forecast Combination, Sequential Monte Carlo, Parallel Computing, GPU, Matlab

2.

Robust Optimization of the Equity Momentum Strategy

Tinbergen Institute Discussion Paper No. 09-011/4
Number of pages: 17 Posted: 14 Feb 2009
Arco van Oord, Martin Martens and H. K. van Dijk
Erasmus University Rotterdam (EUR) - Department of Econometrics, Erasmus University Rotterdam (EUR) and Tinbergen Institute
Downloads 348 (65,234)

Abstract:

quadratic optimization, momentum strategy, robust optimization

3.

Predictive Gains from Forecast Combinations Using Time Varying Model Weights

Number of pages: 41 Posted: 11 Sep 2007
Francesco Ravazzolo, Marno Verbeek and H. K. van Dijk
Free University of Bolzano, Erasmus University - Rotterdam School of Management and Tinbergen Institute
Downloads 258 (92,166)
Citation 4

Abstract:

Stock return predictability, time varying weight combination, forecast combination, Bayesian model averaging

4.

Bayesian Forecasting of Value at Risk and Expected Shortfall Using Adaptive Importance Sampling

Tinbergen Institute Discussion Paper No. TI 2008-092/4
Number of pages: 38 Posted: 03 Oct 2008
Lennart F. Hoogerheide and H. K. van Dijk
Vrije Universiteit Amsterdam - Dept. of Econometrics and Tinbergen Institute
Downloads 215 (106,277)
Citation 9

Abstract:

Value at Risk, Expected Shortfall, numerical accuracy, numerical standard error, importance sampling, mixture of Student-t distributions, variance reduction technique

5.

Simulation Based Bayesian Econometric Inference: Principles and Some Recent Computational Advances

CORE Discussion Paper No. 2007/15
Number of pages: 61 Posted: 25 Jun 2007
Vrije Universiteit Amsterdam - Dept. of Econometrics, Tinbergen Institute and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 184 (129,972)
Citation 5

Abstract:

6.

On the Practice of Bayesian Inference in Basic Economic Time Series Models using Gibbs Sampling

Tinbergen Institute Discussion Papers No. 2006-076/4
Number of pages: 48 Posted: 10 Sep 2006
Michiel De Pooter, Rene Segers and H. K. van Dijk
Board of Governors of the Federal Reserve System, Erasmus University Rotterdam (EUR) and Tinbergen Institute
Downloads 161 (149,346)
Citation 2

Abstract:

Gibbs sampler, MCMC, serial correlation, non-stationarity, reduced rank models, state-space models, random effects panel data models

7.

Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices

Tinbergen Institute Discussion Paper 14-039/III
Number of pages: 34 Posted: 26 Mar 2014 Last Revised: 29 Oct 2014
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Vrije Universiteit Amsterdam - Dept. of Econometrics and Tinbergen Institute
Downloads 141 (119,961)

Abstract:

Bayesian analysis; cointegration; linear normalization; orthogonal normalization; pairs trading; statistical arbitrage

Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-Switching VAR Model

Tinbergen Institute Discussion Paper 13-142/III
Number of pages: 61 Posted: 16 Sep 2013 Last Revised: 07 Nov 2014
Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bolzano and Tinbergen Institute
Downloads 72 (271,225)

Abstract:

Bayesian Modelling, Panel VAR, Markov-switching, International Business Cycles, Interaction Mechanism

Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-Switching VAR Model

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 17/WP/2013
Number of pages: 50 Posted: 05 Sep 2013
Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bolzano and Tinbergen Institute
Downloads 34 (383,182)

Abstract:

Bayesian Model, Panel VAR, Markov-switching, International Business Cycles, Interaction mechanisms

Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-Switching VAR Model

Norges Bank Working Paper 20
Number of pages: 49 Posted: 12 Nov 2013
Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bolzano and Tinbergen Institute
Downloads 27 (414,699)

Abstract:

Bayesian Model, Panel VAR, Markov-switching, International Business Cycles, Interaction mechanisms

9.

Forecast Accuracy and Economic Gains from Bayesian Model Averaging Using Time Varying Weights

Tinbergen Institute Discussion Paper 09-061/4
Number of pages: 28 Posted: 17 Jul 2009
Vrije Universiteit Amsterdam - Dept. of Econometrics, affiliation not provided to SSRN, Free University of Bolzano, Tinbergen Institute and Erasmus University - Rotterdam School of Management
Downloads 131 (174,784)
Citation 6

Abstract:

forecast combination, Bayesian model averaging, time varying model weights, portfolio optimization, business cycle

Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance

Tinbergen Institute Discussion Paper 15-084/III
Number of pages: 73 Posted: 21 Jul 2015 Last Revised: 06 Mar 2017
University Ca' Foscari of Venice - Department of Economics, University of Kent, Canterbury, Free University of Bolzano and Tinbergen Institute
Downloads 111 (203,982)

Abstract:

Density Combination, Large Set of Predictive Densities, Compositional Factor Models, Nonlinear State Space, Bayesian Inference, GPU Computing

Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance

Norges Bank Working Paper No. 12/2015
Number of pages: 58 Posted: 08 Aug 2015
University Ca' Foscari of Venice - Department of Economics, University of Kent, Canterbury, Free University of Bolzano and Tinbergen Institute
Downloads 15 (482,181)

Abstract:

Density Combination, Large Set of Predictive Densities, Compositional Factor Models, Nonlinear State Space, Bayesian Inference, GPU Computing

11.

Adaptive Mixture of Student-t Distributions as a Flexible Candidate Distribution for Efficient Simulation: The R Package AdMit

Journal of Statistical Software, Vol. 29, No. 3, pp.1-32, Jan 2009
Posted: 23 Jun 2008 Last Revised: 14 Dec 2015
David Ardia, Lennart F. Hoogerheide and H. K. van Dijk
University of Neuchatel - Institute of Financial Analysis, Vrije Universiteit Amsterdam - Dept. of Econometrics and Tinbergen Institute

Abstract:

adaptive mixture, Student-t distributions, importance sampling, independence chain Metropolis-Hasting algorithm, Bayesian, R software

12.

Time-Varying Combinations of Predictive Densities Using Nonlinear Filtering

Tinbergen Institute Discussion Paper 12-118/III
Number of pages: 54 Posted: 08 Nov 2012
Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bolzano and Tinbergen Institute
Downloads 108 (171,765)
Citation 2

Abstract:

Density Forecast Combination, Survey Forecast, Bayesian Filtering, Sequential Monte Carlo

Combination Schemes for Turning Point Predictions

Tinbergen Institute Discussion Paper No. 11-123/4
Number of pages: 23 Posted: 22 Aug 2011
Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bolzano and Tinbergen Institute
Downloads 47 (337,065)

Abstract:

turning points, Markov-switching, forecast combination, Bayesian model averaging

Combination Schemes for Turning Point Predictions

Norges Bank Working Paper 2012/04
Number of pages: 32 Posted: 07 May 2013
Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bolzano and Tinbergen Institute
Downloads 23 (436,263)

Abstract:

Turning Points, Markov-switching, Forecast Combination, Bayesian Model Averaging

Combination Schemes for Turning Point Predictions

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 15/WP/2012
Number of pages: 31 Posted: 28 Jul 2012
Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bolzano and Tinbergen Institute
Downloads 21 (447,648)

Abstract:

C11, C15, C53, E37

14.

Backtesting Value-at-Risk Using Forecasts for Multiple Horizons, a Comment on the Forecast Rationality Tests of A.J. Patton and A. Timmermann

Tinbergen Institute Discussion Paper 11-131/4
Number of pages: 17 Posted: 20 Sep 2011
Vrije Universiteit Amsterdam - Dept. of Econometrics, Free University of Bolzano and Tinbergen Institute
Downloads 88 (221,703)
Citation 1

Abstract:

value-at-Risk, backtest, optimal revision, forecast rationality

15.

Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index

Tinbergen Institute Discussion Paper No. 2011-082/4
Number of pages: 18 Posted: 24 May 2011
Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bolzano and Tinbergen Institute
Downloads 87 (214,230)

Abstract:

Density forecast combination, stock data

16.

Censored Posterior and Predictive Likelihood in Bayesian Left-Tail Prediction for Accurate Value at Risk Estimation

Tinbergen Institute Discussion Paper 13-060/III
Number of pages: 37 Posted: 17 Apr 2013 Last Revised: 10 Mar 2014
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Vrije Universiteit Amsterdam - Dept. of Econometrics, Delft University of Technology and Tinbergen Institute
Downloads 81 (236,214)

Abstract:

censored likelihood, censored posterior, censored predictive likelihood, Bayesian Model Averaging, Value at Risk, Metropolis-Hastings algorithm

17.

To Bridge, to Warp or to Wrap? A Comperative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihood

Computational Statistics & Data Analysis, Vol. 56, No. 11, pp. 3398-3414, 2012, TI Discussion Paper No. 09-017/4
Number of pages: 44 Posted: 26 Feb 2009 Last Revised: 13 May 2015
David Ardia, Lennart F. Hoogerheide and H. K. van Dijk
University of Neuchatel - Institute of Financial Analysis, Vrije Universiteit Amsterdam - Dept. of Econometrics and Tinbergen Institute
Downloads 81 (241,330)
Citation 1

Abstract:

marginal likelihood, Bayes factor, importance sampling, Markov chain Monte Carlo, bridge sampling, adaptive mixture of Student-t distributions

18.

Combining Predictive Densities Using Bayesian Filtering with Applications to US Economics Data

Norges Bank Working Paper No. 2010/29
Number of pages: 41 Posted: 09 Jan 2011
Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bolzano and Tinbergen Institute
Downloads 67 (270,514)
Citation 1

Abstract:

Density Forecast Combination, Survey Forecast, Bayesian Filtering, Sequential Monte Carlo

19.

Combining Predictive Densities Using Bayesian Filtering with Applications to US Economic Data

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 16/WP/2012
Number of pages: 40 Posted: 28 Jul 2012 Last Revised: 03 Oct 2012
Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bolzano and Tinbergen Institute
Downloads 62 (279,291)

Abstract:

Density Forecast Combination, Survey Forecast, Bayesian Filtering, Sequential Monte Carlo

20.

The R Package Mitlsem: Mixture of Student-T Distributions Using Importance Sampling Weighted Expectation Maximization for Efficient and Robust Simulation

Tinbergen Institute Discussion Paper TI 12-096/III
Number of pages: 32 Posted: 22 Sep 2012
Maastricht University - Department of Quantitative Economics, Vrije Universiteit Amsterdam - Dept. of Econometrics, Vrije Universiteit Amsterdam and Tinbergen Institute
Downloads 60 (241,330)

Abstract:

finite mixtures, Student-t distributions, Importance Sampling, MCMC, Metropolis-Hastings algorithm, Expectation Maximization, Bayesian inference, R software

21.

A Class of Adaptive EM-Based Importance Sampling Algorithms for Efficient and Robust Posterior and Predictive Simulation

Tinbergen Institute Discussion Paper No. 2011-004/4
Number of pages: 53 Posted: 10 Jan 2011
Vrije Universiteit Amsterdam - Dept. of Econometrics, Vrije Universiteit Amsterdam and Tinbergen Institute
Downloads 56 (293,237)
Citation 3

Abstract:

Mixture of Student-T Distributions, Importance Sampling, Kullback-Leibler Divergence, Expectation Maximization, Metropolis-Hastings Algorithm, Predictive Likelihoods, Mixture GARCH Models, Value at Risk

22.

Historical Developments in Bayesian Econometrics after Cowles Foundation Monographs 10, 14

Tinbergen Institute Discussion Paper 13-191/III
Number of pages: 49 Posted: 06 Dec 2013
Nalan Basturk, Cem Cakmakli, Pinar Ceyhan and H. K. van Dijk
Maastricht University - Department of Quantitative Economics, affiliation not provided to SSRN, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Tinbergen Institute
Downloads 51 (300,660)

Abstract:

History, Bayesian Econometrics

23.

A Class of Adaptive Importance Sampling Weighted EM Algorithms for Efficient and Robust Posterior and Predictive Simulation

Tinbergen Institute Discussion Paper No. 12-026/4
Number of pages: 37 Posted: 25 Mar 2012
Vrije Universiteit Amsterdam - Dept. of Econometrics, Vrije Universiteit Amsterdam and Tinbergen Institute
Downloads 50 (300,660)
Citation 2

Abstract:

mixture of Student-t distributions, importance sampling, Kullback-Leibler divergence, Expectation Maximization, Metropolis-Hastings algorithm, predictive likelihood, DCC GARCH, mixture GARCH, instrumental variables

24.

On the Shape of Posterior Densities and Credible Sets in Instrumental Variable Regression Models with Reduced Rank: An Application of Flexible Sampling Methods using Neural Networks

CORE Discussion Paper No. 2005/29
Number of pages: 35 Posted: 27 Jan 2006
Vrije Universiteit Amsterdam - Dept. of Econometrics, Erasmus University Rotterdam (EUR) and Tinbergen Institute
Downloads 50 (319,564)
Citation 15

Abstract:

instrumental variables, reduced rank, importance sampling, Markov chain Monte Carlo, neural networks, Bayesian inference, credible sets

25.

Possibly Ill-Behaved Posteriors in Econometric Models

Tinbergen Institute Discussion Paper No. 08-036/4
Number of pages: 44 Posted: 08 Apr 2008
Lennart F. Hoogerheide and H. K. van Dijk
Vrije Universiteit Amsterdam - Dept. of Econometrics and Tinbergen Institute
Downloads 47 (328,432)
Citation 4

Abstract:

instrumental variables, vector error correction model, mixture model, importance sampling, Markov chain Monte Carlo, neural network

26.

AdMit: Adaptive Mixtures of Student-t Distributions

The R Journal, Vol. 1, No. 1, pp. 25-30, May 2009
Number of pages: 6 Posted: 16 Jun 2010 Last Revised: 08 Apr 2011
David Ardia, Lennart F. Hoogerheide and H. K. van Dijk
University of Neuchatel - Institute of Financial Analysis, Vrije Universiteit Amsterdam - Dept. of Econometrics and Tinbergen Institute
Downloads 45 (316,778)
Citation 3

Abstract:

adaptive mixture, Student-t distributions, importance sampling, independence chain Metropolis-Hasting algorithm, Bayesian, R software

27.

Bayesian Analysis of Instrumental Variable Models: Acceptance-Rejection within Direct Monte Carlo

Tinbergen Institute Discussion Paper 12-098/III
Number of pages: 35 Posted: 27 Sep 2012
University of Chicago, Booth School of Business (Deceased), Melbourne Business School, Maastricht University - Department of Quantitative Economics, Vrije Universiteit Amsterdam - Dept. of Econometrics and Tinbergen Institute
Downloads 44 (300,660)
Citation 2

Abstract:

Instrumental variables, Bayesian inference, Direct Monte Carlo, Acceptance-Rejection, numerical standard errors

28.

Bayesian Averaging over Many Dynamic Model Structures with Evidence on the Great Ratios and Liquidity Trap Risk

Tinbergen Institute Discussion Paper No. 08-096/4
Number of pages: 52 Posted: 19 Oct 2008
Rodney W. Strachan and H. K. van Dijk
University of Queensland - School of Economics and Tinbergen Institute
Downloads 42 (343,635)
Citation 1

Abstract:

Posterior probability, Grassman manifold, Orthogonal group, Cointegration, Model averaging, Stochastic trend, Impulse response, Vector autoregressive model, Great Ratios, Liquidity trap

29.

On the Rise of Bayesian Econometrics after Cowles Foundation Monographs 10, 14

Tinbergen Institute Discussion Paper 14-085/III
Number of pages: 63 Posted: 09 Jul 2014
Nalan Basturk, Cem Cakmakli, Pinar Ceyhan and H. K. van Dijk
Maastricht University - Department of Quantitative Economics, Koc University, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Tinbergen Institute
Downloads 41 (298,148)

Abstract:

History, Bayesian Econometrics

30.

Combining Predictive Densities Using Nonlinear Filtering with Applications to US Economics Data

Tinbergen Institute Discussion Paper No. 11-172/4
Number of pages: 55 Posted: 05 Dec 2011
Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bolzano and Tinbergen Institute
Downloads 35 (367,181)

Abstract:

density forecast combination, survey forecast, nonlinear filtering, sequential Monte Carlo

31.

Posterior-Predictive Evidence on US Inflation Using Phillips Curve Models with Non-Filtered Time Series

Tinbergen Institute Discussion Paper 13-011/III
Number of pages: 33 Posted: 11 Jan 2013
Nalan Basturk, Cem Cakmakli, Pinar Ceyhan and H. K. van Dijk
Maastricht University - Department of Quantitative Economics, affiliation not provided to SSRN, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Tinbergen Institute
Downloads 29 (374,507)

Abstract:

New Keynesian Phillips curve, unobserved components, level shifts, inflation expectations

32.

Divergent Priors and Well Behaved Bayes Factors

Tinbergen Institute Discussion Paper 11-006/4
Number of pages: 42 Posted: 15 Jan 2011
Rodney W. Strachan and H. K. van Dijk
University of Queensland - School of Economics and Tinbergen Institute
Downloads 21 (417,971)
Citation 1

Abstract:

Improper Prior, Bayes Factor, Marginal Likelihood, Shrinkage Prior, Measure

Combined Density Nowcasting in an Uncertain Economic Environment

Tinbergen Institute Discussion Paper 14-152/III
Number of pages: 38 Posted: 12 Dec 2014
Norges Bank, Free University of Bolzano and Tinbergen Institute
Downloads 10 (510,768)

Abstract:

Density forecast combination; Survey forecast; Bayesian Filtering; Sequential Monte Carlo Nowcasting, Real-time Data

Combined Density Nowcasting in an Uncertain Economic Environment

Norges Bank Working Paper 17 | 2014
Number of pages: 38 Posted: 04 May 2015
Norges Bank, Free University of Bolzano and Tinbergen Institute
Downloads 10 (510,768)

Abstract:

Density forecast combination; Survey forecast; Bayesian filtering; Sequential Monte Carlo Nowcasting; Real-time data

34.

Evidence on a DSGE Business Cycle Model Subject to Neutral and Investment-Specific Technology Shocks Using Bayesian Model Averaging

CAMA Working Paper No. 3/2012
Number of pages: 41 Posted: 13 Feb 2012
Rodney W. Strachan and H. K. van Dijk
University of Queensland - School of Economics and Tinbergen Institute
Downloads 19 (438,424)

Abstract:

Posterior probability, Real business cycle model, Cointegration, Model averaging, Stochastic trend, Impulsive response, Vector autoregressive model

35.

Bayesian Forecasting of US Growth using Basic Time Varying Parameter Models and Expectations Data

Tinbergen Institute Discussion Paper 14-119/III
Number of pages: 37 Posted: 03 Sep 2014
Nalan Basturk, Pinar Ceyhan and H. K. van Dijk
Maastricht University - Department of Quantitative Economics, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Tinbergen Institute
Downloads 18 (408,304)

Abstract:

Growth, Time varying parameters, Expectations data.

36.

Evidence on a Real Business Cycle Model with Neutral and Investment-Specific Technology Shocks Using Bayesian Model Averaging

Tinbergen Institute Discussion Paper 10-050/4
Number of pages: 54 Posted: 31 May 2010
Rodney W. Strachan and H. K. van Dijk
University of Queensland - School of Economics and Tinbergen Institute
Downloads 18 (433,240)

Abstract:

Posterior probability, Real business cycle model, Cointegration, Model averaging, Stochastic trend, Impulse response, Vector autoregressive model

37.

The R Package MitISEM: Efficient and Robust Simulation Procedures for Bayesian Inference

Tinbergen Institute Discussion Paper 15-042/III
Number of pages: 42 Posted: 31 Mar 2015
Maastricht University - Department of Quantitative Economics, University of Kent, Canterbury, Vrije Universiteit Amsterdam - Dept. of Econometrics, Vrije Universiteit Amsterdam and Tinbergen Institute
Downloads 17 (356,725)

Abstract:

finite mixtures, Student-t densities, importance sampling, MCMC, Metropolis-Hastings algorithm, expectation maximization, Bayesian inference, R-software

Evidence on Features of a DSGE Business Cycle Model from Bayesian Model Averaging

Tinbergen Institute Discussion Paper No. 12-025/4
Number of pages: 50 Posted: 21 Mar 2012
Rodney W. Strachan and H. K. van Dijk
University of Queensland - School of Economics and Tinbergen Institute
Downloads 15 (482,181)

Abstract:

Posterior probability, Dynamic stochastic general equilibrium model, Cointegration, Model averaging, Stochastic trend, Impulse response, Vector autoregressive model

Evidence on Features of a DSGE Business Cycle Model from Bayesian Model Averaging

International Economic Review, Vol. 54, Issue 1, pp. 385-402, 2013
Number of pages: 18 Posted: 24 Jan 2013
Rodney W. Strachan and H. K. van Dijk
University of Queensland - School of Economics and Tinbergen Institute
Downloads 1 (564,477)

Abstract:

39.

Posterior-Predictive Evidence on US Inflation Using Extended New Keynesian Phillips Curve Models with Non-Filtered Data

Tinbergen Institute 13-090/III
Number of pages: 71 Posted: 18 Jul 2013 Last Revised: 03 Apr 2014
Nalan Basturk, Cem Cakmakli, Pinar Ceyhan and H. K. van Dijk
Maastricht University - Department of Quantitative Economics, affiliation not provided to SSRN, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Tinbergen Institute
Downloads 15 (433,240)

Abstract:

New Keynesian Phillips curve, unobserved components, time varying parameters, level shifts, inflation expectations, survey data

40.

Interconnections between Eurozone and US Booms and Busts Using a Bayesian Panel Markov-Switching VAR Mode

Tinbergen Institute Discussion Paper 15-111/III
Number of pages: 63 Posted: 15 Sep 2015 Last Revised: 23 Sep 2015
Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bolzano and Tinbergen Institute
Downloads 1 (399,032)

Abstract:

Bayesian Modelling, Panel VAR, Markov-switching, International Business Cycles, Interaction mechanisms

41.

Time-Varying Combinations of Bayesian Dynamic Models and Equity Momentum Strategies

Tinbergen Institute Discussion Paper 16-099/III
Number of pages: 44 Posted: 22 Nov 2016
Maastricht University - Department of Quantitative Economics, University of Kent, Canterbury, Vrije Universiteit Amsterdam - Dept. of Econometrics and Tinbergen Institute
Downloads 0 (156,705)

Abstract:

nonlinear, non-gaussian state space, filters, density combinations, bayesian modeling, equity momentum

42.

Parallelization Experience with Four Canonical Econometric Models Using ParMitISEM

Tinbergen Institute Discussion Paper 16-005/III
Number of pages: 26 Posted: 25 Jan 2016
Maastricht University - Department of Quantitative Economics, University of Kent, Canterbury, Vrije Universiteit Amsterdam - Dept. of Econometrics and Tinbergen Institute
Downloads 0 (484,652)

Abstract:

finite mixtures, Student-t distributions, Importance Sampling, MCMC, Metropolis-Hastings algorithm, Expectation Maximization, Bayesian inference

43.

Adaptive Radial-Based Direction Sampling: Some Flexible and Robust Monte Carlo Integration Methods

Journal of Econometrics, Vol. 123, No. 3, pp. 201-225
Posted: 14 Apr 2005
Université catholique de Louvain, VU University Amsterdam, Tinbergen Institute and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

Abstract:

Markov chain Monte Carlo, importance sampling, radial coordinates

44.

Bayesian Analysis of Stochastic Trends in Structural Time Series Models

A1.89 WP 9663/A
Posted: 25 Feb 1998
Gary Koop and H. K. van Dijk
University of Leicester - Department of Economics and Tinbergen Institute

Abstract: