Browsing Closed by Author "Geweke, John"

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Browsing Closed by Author "Geweke, John"

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  • Geweke, John (Elsevier Science Publishers B.V., 1988)
    It is proposed to sample antithetically rather than randomly from the posterior density in Bayesian inference using Monte Carlo integration. Conditions are established under which the number of replications required with ...
  • Geweke, John (Wiley-Blackwell, 1981)
    Abstract: In this paper the concept of approximate slope, introduced by R. R. Bahadur, is used to make asymptotic global power comparisons of econometric tests. The approximate slope of a test is the rate at which the ...
  • Geweke, John (Elsevier Science Publishers B.V., 2001)
    Abstract: Contemporary Bayesian forecasting methods draw on foundations in subjective probability and preferences laid down in the mid-twentieth century, and utilize numerical methods developed since that time in their ...
  • Geweke, John (Blackwell Publishing, 2001)
    Abstract: Recent advances in simulation methods have made possible the systematic application of Bayesian methods to support decision making with econometric models. This paper outlines the key elements of Bayesian ...
  • Geweke, John (American Economic Association, 2007)
    Bayesian econometrics provides a tidy theory and practical methods of comparing and combining several alternative, completely specified models for a common data set. It is always possible that none of the specified models ...
  • Geweke, John (Elsevier Science Publishers B.V., 2002)
    This study provides an illuminating perspective on the relation between health and socio-economic status. It is notable in meeting, head on, various technical but critical issues that arise in using the AHEAD panel to ...
  • Geweke, John; Amisano, Gianni (Elsevier Science Bv, 2010)
    Bayesian inference in a time series model provides exact out-of-sample predictive distributions that fully and coherently incorporate parameter uncertainty. This study compares and evaluates Bayesian predictive distributions ...
  • Geweke, John; Meese, R. (Blackwell Publishing Limited, 1981)
    Examines problems associated with the estimation of the normal linear regression model of finite but unknown sequence of nested alternatives. Estimation criteria for the model selection; Derivation of the numerical bounds ...
  • Geweke, John; Runkle, D (Federal Reserve Bank of Minneapolis, 1995)
    Almost everyone would agree--even we in the Federal Reserve System--that monetary policy can be improved. But improving it requires accurate empirical descriptions of the current policy and the relationship between that ...
  • Geweke, John; Amisano, Gianni (John Wiley and Sons, 2011)
    Abstract: Motivated by the common problem of constructing predictive distributions for daily asset returns over horizons of one to several trading days, this article introduces a new model for time series. This model is ...
  • Geweke, John; Jiang, Yunfei (Elsevier Science Sa, 2011)
    This paper develops a new Bayesian approach to structural break modeling. The focuses of the approach are the modeling of in-sample structural breaks and forecasting time series allowing out-of-sample breaks. The model has ...
  • Geweke, John; Singleton, K. (Elsevier Science Publishers B.V., 1981)
    Abstract: The theory of estimation and inference in a very general class of latent variable models for time series is developed by showing that the distribution theory for the finite Fourier transform of the observable ...
  • Geweke, John; Singleton, K. (Blackwell Publishing Limited, 1981)
    Explains the theory of identification, estimation and inference in the dynamic confirmatory factor model for the economic time series. Derivation of the frequency domain representation of the model; Illustration of the ...
  • Geweke, John; Zhou, G. (Oxford University Press, 1996)
    Abstract: This article provides an exact Bayesian framework for analyzing the arbitrage pricing theory (APT). Based on the Gibbs sampler, we show how to obtain the exact posterior distributions for functions of interest ...
  • Geweke, John (Elsevier Science Publishers B.V., 2012)
    Discrete choice experiments are widely used to learn about the distribution of individual preferences for product attributes. Such experiments are often designed and conducted deliberately for the purpose of designing new ...
  • Geweke, John (Taylor and Francis Group, 2001)
    Abstract: In a standard environment for choice under uncertainty with constant relative risk aversion (CRRA), the existence of expected utility is fragile with respect to changes in the distributions of random variables, ...
  • Geweke, John; Amisano, Gianni (Elsevier Science Sa, 2011)
    We consider the properties of weighted linear combinations of prediction models, or linear pools, evaluated using the log predictive scoring rule. Although exactly one model has limiting posterior probability, an optimal ...
  • Geweke, John; Amisano, Gianni (Amer Economic Assoc, 2012)
    Many decision-makers in the public and private sectors routinely consult the im- plications of formal economic and statistical models in their work. Especially in large organizations and for important decisions, there ...
  • Geweke, John; Keane, Michael (Elsevier Science Publishers B.V., 2007)
    This paper extends the conventional Bayesian mixture of normals model by permitting state probabilities to depend on observed covariates. The dependence is captured by a simple multinomial probit model. A conventional and ...
  • Geweke, John (The Econometric Society, 1978)
    Abstract: The regression relation between regularly sampled Y(t) and X"1(t),..., X"N(t) implied by an underlying model in which time enters more generally is studied. The underlying model includes continuous distributed ...