Markov Chain Monte Carlo Simulation Methods in Econometrics We present several Markov chain Monte Carlo simulation methods that have been widely used in recent years in econometrics and statistics. Among these is the Gibbs sampler, which h...
Bayesian Inference in Econometric Models Using Monte Carlo Integration Methods for the systematic application of Monte Carlo integration with importance sampling to Bayesian inference in econometric models are developed. Conditions under w...
Bayesian Estimates of Equation System Parameters_ An Application of Integration by Monte Carlo Monte Carlo (MC) is used to draw parameter values from a distribution defined on the structural parameter space of an equation system. Making us...
A Monte Carlo Study of the Forecasting Performance of Empirical Setar Models SUMMARY In this paper we investigate the multi-period forecast performance of a number of empirical self-exciting threshold autoregressive (SETAR) models that hav...
A Monte Carlo Study of Estimates of Simultaneous Linear Structural Equations 1. INTRODUCTION CONSIDERABTLHEE OIZETIC~Lre search has been carried out by the Cowles Commission [6],[7], on methods of estimating structural parameters in a syst...
A Monte Carlo Study of Alternative Simultaneous Equation Estimators We study the small sample properties of the simultaneous equation estimators by a Monte Carlo approach. The four methods of estimation considered are: least squares, two-s...
A Monte Carlo Study of Alternative Estimates of the Cobb-Douglas Production Function A Monte Carlo experimeilt is carried out to examine the small sample properties of ordinary least squares, indirect least squares, Hoch's, and Klein's est...
Contents List of contributors page ix Acknowledgments xi Introduction xiii Part I The SEMTSA approach 1 Time series analysis and simultaneous equation econometric models (1974) 3 . 2 Statistical analysis of econometric models (1979) 44 Com...
A Monte Carlo Comparison of Semiparametric Tobit Estimators SUMMARY This paper focuses on a performance comparison of semiparametric Tobit estimators. Firstly, a conditional expectation version of Horowitz's distribution-free least-squares...
The Interrelationships between U.S. and Foreign Equity Market Yields Tests of Granger Causality Steven J. Cochran* Villanova University Iqbal MansurX* Widener University Abstract. This study examines the interrelationships between yields o...
