Bayesian Econometrics

Bayesian and Likelihood Methods in Statistics and EconometricsStudies in Bayesian Econometrics and StatisticsStudies in Bayesian Econometrics and StatisticsBayesian EconometricsIntroduction to Bayesian EconometricsBayesian Econometric MethodsBayesian Econometrics and how to Get Rid of Those Wrong SignsA History of EconometricsComplete and Incomplete Econometric ModelsBayesian EconometricsApplications of Bayesian Econometrics to Financial EconomicsAn Introduction to Bayesian Inference in EconometricsBayesian Inference in Dynamic Econometric ModelsRise of Bayesian EconometricsIdentifiability and Nonstationarity in Classical and Bayesian EconometricsStudies in Bayesian EconometricsStudies in Bayesian Econometrics and StatisticsStudies in Bayesian Econometrics and StatisticsBayesian EconometricsBayesian EconometricsEssays on Bayesian Econometrics and Asset PricingBayesian EconometricsBayesian econometric methodsBayesian Econometrics and ForecastingBayesian Analysis in Statistics and EconometricsIntroduction to Modern Bayesian EconometricsBayesian Analysis in Statistics and EconometricsHandbook of EconometricsEssays on Bayesian Econometrics and Computational EconomicsBayesian Econometric MethodsStudies in Bayesian econometrics and statistics in honor of Leonard Jimmy SavageEssays on Bayesian EconometricsThe Oxford Handbook of Bayesian EconometricsBayesian Econometrics, Glm and Gpr Models Using MATLABContemporary Bayesian Econometrics and StatisticsStudies in Bayesian econometrics and statisticsBayesian Economics Through Numerical MethodsBayesian Econometrics for Auction ModelsEssays on Bayesian EconometricsFinancial Risk Management with Bayesian Estimation of GARCH Models The Handbook is a definitive reference source and teaching aid for econometricians. It examines models, estimation theory, data analysis and field applications in econometrics. Comprehensive surveys, written by experts, discuss recent developments at a level suitable for professional use by economists, econometricians, statisticians, and in advanced graduate econometrics courses. For more information on the Handbooks in Economics series, please see our home page on http://www.elsevier.nl/locate/hesMy dissertation is composed of three chapters. These three chapters contribute to at least one of two areas, Bayesian Econometrics or Asset Pricing. The first chapter of my dissertation, "Asset Pricing with Adaptive Learning and Internal Habit Persistence," investigates the extent to which the assumption of rational expectations contributes to the failure of production-based asset pricing models with internal habit persistence to match asset pricing facts. The chapter concludes minor deviations from rational expectations are not sufficient to fully match pricing statistics or create predictable returns. However, deviations push the model's statistics closer to matching the data. The work contributes to the existing macroeconomic literature by evaluating the assumption of rational expectations in asset pricing models. The second chapter, "Contribution of a Rational Bubble to Stock Prices," uses a Bayesian perspective to decompose the S&P500 stock price index into a market fundamental and bubble component. Results indicate the contribution and role of the bubble depends on prior specification of market fundamentals. Assuming

[1]  H. Uhlig.  What are the Effects of Monetary Policy on Output? : Results from an Agnostic Identification Procedure , 2005 .

[2]  E. L. Lehmann,et al.  Theory of point estimation , 1950 .

[3]  G. Imbens,et al.  Nonparametric Applications of Bayesian Inference , 1996 .

[4]  Harald Uhlig,et al.  Understanding unit rooters: a helicopter tour , 1991 .

[5]  Nicholas G. Polson,et al.  MCMC Methods for Continuous-Time Financial Econometrics , 2003 .

[6]  P. Laplace.  Théorie analytique des probabilités , 1995 .

[7]  Christian P. Robert,et al.  Monte Carlo Statistical Methods (Springer Texts in Statistics) , 2005 .

[8]  Frank Smets,et al.  An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area , 2002 .

[9]  Peter E. Rossi,et al.  An exact likelihood analysis of the multinomial probit model , 1994 .

[10]  K. Hirano,et al.  Asymptotic Efficiency in Parametric Structural Models with Parameter-Dependent Support , 2002 .

[11]  Tim Hesterberg,et al.  Monte Carlo Strategies in Scientific Computing , 2002, Technometrics.

[12]  V. Chernozhukov,et al.  An MCMC Approach to Classical Estimation , 2002, 2301.07782.

[13]  Gabriele Fiorentini,et al.  Likelihood-based estimation of latent generalised ARCH structures , 2004 .

[14]  D. Politis,et al.  Statistical Estimation , 2022 .

[15]  T. Ferguson.  Prior Distributions on Spaces of Probability Measures , 1974 .

[16]  A. Zellner.  An Introduction to Bayesian Inference in Econometrics , 1971 .

[17]  P. Bickel,et al.  Some contributions to the asymptotic theory of Bayes solutions , 1969 .

[18]  John Geweke,et al.  Statistical inference in the multinomial multiperiod probit model , 1997 .

[19]  Guido W. Imbens,et al.  RANDOM EFFECTS ESTIMATORS WITH MANY INSTRUMENTAL VARIABLES , 2004 .

[20]  Victor Chernozhukov,et al.  Likelihood Estimation and Inference in a Class of Nonregular Econometric Models , 2003 .

[21]  T. Ferguson.  A Bayesian Analysis of Some Nonparametric Problems , 1973 .

[22]  Frank Schorfheide,et al.  Priors from General Equilibrium Models for Vars , 2002 .

[23]  S. Chib,et al.  Bayesian analysis of binary and polychotomous response data , 1993 .

[24]  T. Lancaster.  An Introduction to Modern Bayesian Econometrics , 2004 .