Monte Carlo inference in econometric models with symmetric stable disturbances

DOI10.1016/S0304-4076(98)00039-6zbMath0947.62078OpenAlexW2071218928MaRDI QIDQ1305675

Efthymios G. Tsionas

Publication date: 19 October 2000

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(98)00039-6

zbMATH Keywords

Markov chain Monte Carlostable distributionsdifference stationarityexchange rate models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (14)

Posterior analysis, prediction and reliability in three-parameter weibull distributions ⋮ Bayesian Inference Using Artificial Augmenting Regressions ⋮ Bayesian International Evidence on Heavy Tails, Non-Stationarity and Asymmetry over the Business Cycle ⋮ A new robust Bayesian small area estimation via ‐stable model for estimating the proportion of athletic students in California ⋮ Bayesian analysis of multivariate stable distributions using one-dimensional projections ⋮ Bayesian analysis for outliers in survey sampling ⋮ Unnamed Item ⋮ Maximum likelihood estimation of stochastic frontier models by the Fourier transform ⋮ Consistent tests for symmetric stability with finite mean based on the empirical characteristic function ⋮ Well-posed Bayesian inverse problems and heavy-tailed stable quasi-Banach space priors ⋮ Bayesian inference for \(\alpha \)-stable distributions: a random walk MCMC approach ⋮ Efficient posterior integration in stable paretian models ⋮ Modelling with mixture of symmetric stable distributions using Gibbs sampling ⋮ Numerical Bayesian inference with arbitrary prior

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