Browsing 14 Economics by Author "Geweke John"

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Browsing 14 Economics by Author "Geweke John"

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  • Alternative Computational Approaches to Statistical Inference In The Multinomial Probit Model 
    Geweke John; Keane Michael; Runkle D (Mit Press, 1994)
    This research compares several approaches to inference in the multinomial probit model, based on two Monte Carlo experiments for a seven choice model. The methods compared are the simulated maximum likelihood estimator ...
  • Antithetic Acceleration of Monte Carlo Integration in Bayesian Inference 
    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 ...
  • The Approximate Slopes of Econometric Tests 
    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 ...
  • Bayesian Cross-Sectional Analysis of the Conditional Distrubution of Earnings of Men in the USA (1967-1996) 
    Keane Michael; Geweke John (Anshan Ltd, 2006)
  • Bayesian Econometrics and Forecasting 
    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 ...
  • Bayesian forecasting 
    Geweke John; Whiteman C. (Elsevier, 2006)
    Bayesian forecasting is a natural product of a Bayesian approach to inference. The Bayesian approach in general requires explicit formulation of a model, and conditioning on known quantities, in order to draw inferences ...
  • Bayesian inference and posterior simulators 
    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 ...
  • Bayesian Inference for Hospital Quality in a Selection Model 
    Geweke John; Gowrisankaran G.; Town R.J. (Blackwell Publishing, 2003)
    This paper develops new econometric methods to infer hospital quality in a model with discrete dependent variables and nonrandom selection. Mortality rates in patient discharge records are widely used to infer hospital ...
  • Bayesian model comparison and validation 
    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 ...
  • Comment 
    Geweke John (Elsevier BV, 2010)
    The article by Zellner and Ando proposes methods for coping with the excess kurtosis that is often observed in disturbances in applications of the seemingly unrelated regressions (SUR) model. This is an important topic ...
  • Commentary: Econometric issues in using the AHEAD Panel 
    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 ...
  • Comments on 'Convergence Properties Likelihood of Computed Dynamic Models' 
    Ackerberg Dan; Geweke John; Hahn Jinyong (Wiley Interscience, 2009)
    We show by counterexample that Proposition 2 in Fernández-Villaverde, Rubio- Ramírez, and Santos (Econometrica (2006), 74, 93¿119) is false. We also show that even if their Proposition 2 were corrected, it would be irrelevant ...
  • Comparing And Evaluating Bayesian Predictive Distributions Of Asset Returns 
    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 ...
  • Complete and Incomplete Econometric Models 
    Geweke John (Princeton University Press, 2010)
    Econometric models are widely used in the creation and evaluation of economic policy in the public and private sectors. But these models are useful only if they adequately account for the phenomena in question, and they ...
  • Econometrics 
    Geweke John; Horowitz Joel; Pesaran Hashem (Palgrave Macmillan, 2008)
    As a unified discipline, econometrics is still relatively young and has been transforming and expanding very rapidly. Major advances have taken place in the analysis of cross-sectional data by means of semiparametric and ...
  • Estimating Regression Models of Finite but Unknown Order 
    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 ...
  • Financial competence and expectations formation: Evidence from Australia 
    Bateman H; Eckert Christine; Geweke John; Louviere Jordan; Satchell Stephen; Thorp Susan (Blackwell Publishing Asia, 2012)
    We study the financial competence of Australian retirement savers using self-assessed and quantified measures. Responses to financial literacy questions show large variation and compare poorly with some international ...
  • A Fine Time for Monetary Policy? 
    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 ...
  • Hierarchical Markov normal mixture models with applications to financial asset returns 
    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 ...
  • Inference and prediction in a multiple-structural-break model 
    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 ...