672 lines
18 KiB
BibTeX
672 lines
18 KiB
BibTeX
@BOOK{CasellaRobertBook,
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author = {Casella, George and Robert, Christian},
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title = {Monte {C}arlo {S}tatistical {M}ethods},
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year = 2004,
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publisher = {Springer}
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}
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@BOOK{RobertBook,
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author = {Robert, Christian},
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title = {Le Choix Bayésien},
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year = 2006,
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publisher = {Springer}
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}
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@BOOK{JeffreyBook61,
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author = {Jeffrey, Harold},
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title = {The Theory of Probability},
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year = 1961,
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publisher = {Clarendon Press}
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}
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@BOOK{ZellnerBook,
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author = {Zellner, Arnold},
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title = {An {I}ntroduction to {B}ayesian {I}nference in {E}conometrics},
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year = 1971,
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publisher = {John Wiley \& Sons}
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}
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@BOOK{TheilBook,
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author = {Theil, Henri},
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title = {Principles of {E}conometrics},
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year = 1971,
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publisher = {John Wiley \& Sons}
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}
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@BOOK{JudgeGriffithsHillLutkepohlLeeBook,
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author = {Judge, George G. and Griffiths, W.E. and Hill, R. Carter and Lütkpohl, Helmut and Lee, Tsoung-Chao},
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title = {The {T}heory and {P}ractice of {E}conometrics},
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year = 1985,
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publisher = {John Wiley \& Sons}
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}
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@BOOK{JuddBook,
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author = {Judd, Kenneth L.},
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title = {Numerical {M}ethods in {E}conomics},
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year = 1998,
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publisher = {MIT}
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}
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@BOOK{HarveyBook,
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author = {Harvey, Andrew C.},
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title = {Forecasting, structural time series models and the {K}alman filter},
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year = 1989,
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publisher = {Cambridge University Press}
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}
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@BOOK{GourierouxMonfortStatBook1,
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author = {Gouriéroux, Christian and Monfort, Alain},
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title = {Statistique et {M}od\`{e}les \'{E}conom\'{e}triques},
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volume = {1 - Notions g\'{e}n\'{e}rales, Estimation, Pr\'{e}visions, Algorithmes},
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year = 1989,
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publisher = {Economica}
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}
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@BOOK{GourierouxMonfortStatBook2,
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author = {Gouriéroux, Christian and Monfort, Alain},
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title = {Statistique et {M}od\`{e}les \'{E}conom\'{e}triques},
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volume = {2 - Tests, R\'{e}gions de confiance, Choix de mod\`{e}les, Th\'{e}orie asymptotique},
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year = 1989,
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publisher = {Economica}
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}
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@BOOK{GourierouxMonfortSimulation,
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author = {Gouriéroux, Christian and Monfort, Alain},
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title = {Simulation Based Econometric Methods},
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year = 1996,
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publisher = {Oxford University Press}
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}
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@Article{Tierney1994,
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author = {Tierney, Luke},
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title = {Markov {C}hains for {E}xploring {P}osterior {D}istributions},
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journal = {The Annals of Statistics},
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year = {1994},
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volume = {22},
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number = {4},
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pages = {1701-1762}
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}
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@Article{TierneyKadane1986,
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author = {Tierney, Luke and Kadane, Joseph B.},
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title = {Accurate {A}pproximations for {P}osterior {M}oments and {M}arginal {D}ensity},
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journal = {Journal of the American Statistical Association},
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year = {1986},
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volume = {81},
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number = {393},
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pages = {82-86}
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}
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@Article{Hastings1970,
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author = {Hastings, W.K.},
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title = {Monte {C}arlo {S}ampling {M}ethods {U}sing {M}arkov {C}hains and {T}heir {A}pplications},
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journal = {Biometrika},
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year = {1970},
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volume = {57},
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number = {1},
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pages = {97-109}
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}
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@Article{ChibGreenerg1995,
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author = {Chib, Siddhartha and Greenberg, Edward},
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title = {Understanding the {M}etropolis {H}astings {A}lgorithm},
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journal = {The American Statistician},
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year = {1995},
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volume = {49},
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number = {4},
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pages = {327-335}
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}
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@Article{KadiyalaKarlsson1997,
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author = {Kadiyala, K. Rao and Karlsson, Sune},
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title = {Numerical {M}ethods for {E}stimation and {I}nference in {B}ayesian {VAR}-{M}odels},
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journal = {Journal of Applied Econometrics},
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year = {1997},
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volume = {12},
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number = {2},
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pages = {99-132}
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}
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@Article{Litterman1986,
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author = {Litterman, R. B.},
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title = {Forecasting with {B}ayesian {V}ector {A}utoregressions -- five years of experience},
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journal = {Journal of Business \& Economic Statistics},
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year = {1986},
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volume = {4},
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number = {1},
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pages = {25-38}
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}
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@Article{Phillips1996,
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author = {Phillips, Peter C. B.},
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title = {Econometric {M}odel {D}etermination},
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journal = {Econometrica},
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year = {1996},
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volume = {64},
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number = {4},
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pages = {763-812}
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}
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@TECHREPORT{SmetsWouters2004,
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AUTHOR={Smets, Frank and Wouters, Rafael},
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TITLE={An {E}stimated {S}tochastic {D}ynamic {G}eneral {E}quilibrium {M}odel of the {E}uro {A}rea},
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YEAR={2002},
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MONTH={Ao\^ut},
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INSTITUTION={European Central Bank},
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TYPE={Working Paper Series},
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NUMBER={171}
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}
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@TECHREPORT{VillaverdeRubio,
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AUTHOR={Fernández-Villaverde, Jesus and Rubio-Ramírez, Juan F.},
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TITLE={Comparing {D}ynamic {E}quilibrium {E}conomies to {D}ata},
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YEAR=2001,
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INSTITUTION={Federal Reserve Bank of Atlanta},
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TYPE={Working Paper},
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NUMBER={2001-23}
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}
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@Article{IngramWhiteman1994,
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author = {Ingram, Beth F. and Whiteman, Charles H.},
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title = {Supplanting the {M}innesota {P}rior. {F}orecasting Macroeconomic time series using real business cycle model.},
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journal = {Journal of Monetary Economics},
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year = {1994},
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volume = {34},
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pages = {497-510}
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}
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@Article{Campbell1994,
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author = {Campbell, John Y.},
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title = {Inspecting the {M}echanism: An analytical approach to the stochastic growth model},
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journal = {Journal of Monetary Economics},
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year = 1994,
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volume = 33,
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pages = {463-508}
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}
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@Article{DelNegroSchorfheide2004,
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author = {Del Negro, Marco and Schorfheide, Frank},
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title = {Priors from {G}eneral {E}quilibrium {M}odels for {V}ARs},
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journal = {International Economic Review},
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year = {2004},
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volume = {45},
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number = {2},
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pages = {643-673}
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}
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@ARTICLE{DelNegroSchorfheideSmetsWouters2004,
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AUTHOR={Del Negro, Marco and Schorfheide, Frank and Smets, Frank and Wouters, Raf},
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TITLE={On the {F}it and {F}orecasting {P}erformance of {N}ew {K}eynesian {M}odels},
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JOURNAL = {Journal of Business and Economic Statistics},
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YEAR=2007,
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PAGES={forthcoming}
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}
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@TECHREPORT{AdjemianDarracqPariesTwoCountry,
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AUTHOR = {Adjemian, Stéphane and Darracq-Pariès, Matthieu},
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TITLE = {{A}ssessing the {I}nternational {S}pillovers {B}etween
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the {US} and {E}uro {A}rea: {E}vidence from a two country DSGE-VAR},
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YEAR = 2007,
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INSTITUTION = {CEPREMAP},
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TYPE = {miméo}
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}
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@Article{TheilGoldberger1961,
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author = {Theil, Henri and Golberger, Arthur S.},
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title = {On {P}ure and {M}ixed {S}tatistical {E}stimation in {E}conomics},
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journal = {International Economic Review},
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year = {1961},
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volume = {2},
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number = {1},
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pages = {65-78}
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}
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@Article{Theil1963,
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author = {Theil, Henri},
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title = {On the {U}se of {I}complete {P}rior {I}nformation in {R}egression {A}nalysis},
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journal = {Journal of the American Statistical Association},
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year = {1963},
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pages = {401-414}
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}
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@Article{TiaoZellner1964a,
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author = {Tiao, George C. and Zellner, Arnold},
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title = {Bayes {T}heorem and the {U}se of {P}rior {K}nowledge in {R}egression {A}nalysis},
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journal = {Biometrika},
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year = {1964},
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volume = {51},
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number = {162},
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pages = {219-230}
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}
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@Article{Kim1998,
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author = {Kim, Jae-Young},
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title = {Large {S}ample {P}roperties of {P}osterior {D}ensities, {B}ayesian {I}nformation {C}riterion
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and the {L}ikelihood {P}rinciple in {N}onstationary {T}ime {S}eries {M}odels},
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journal = {Econometrica},
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year = {1998},
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volume = {66},
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number = {2},
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pages = {359-380}
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}
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@Article{RabanalRubioramirez2005,
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author = {Rabanal, Pau and Rubio Ramirez, Juan F.},
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title = {Comparing {N}ew {K}eynesian {M}odels of the {B}usiness {C}ycle: a bayesian approach},
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journal = {Journal of Monetary Economics},
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year = 2005,
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volume = 6,
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pages = {1151-1166}
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}
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@ARTICLE{SimsUhlig91,
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AUTHOR={Sims, Christopher A and Uhlig, Harald},
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TITLE={Understanding {U}nit {R}ooters: a {H}elicopter {T}our},
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JOURNAL={Econometrica},
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YEAR=1991,
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VOLUME={59},
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NUMBER={6},
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PAGES={1591-99},
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}
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@ARTICLE{PhillipsJAE91a,
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AUTHOR={Phillips, Peter C.B.},
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TITLE={To {C}riticize the {C}ritics: An {O}bjective {B}ayesian {A}nalysis of {S}tochastic {T}rends},
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JOURNAL={Journal of Applied Econometrics},
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YEAR=1991,
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VOLUME={6},
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NUMBER={4},
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PAGES={333-64}
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}
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@ARTICLE{PhillipsJAE91b,
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AUTHOR={Phillips, Peter C.B.},
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TITLE={Bayesian {R}outes and {U}nit {R}oots: {D}e rebus prioribus semper est disputandum},
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JOURNAL={Journal of Applied Econometrics},
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YEAR=1991,
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VOLUME=6,
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NUMBER=4,
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PAGES={435-73}
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}
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@ARTICLE{SimsJAE91,
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AUTHOR={Sims, Christopher},
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TITLE={Comment on '{T}o {C}riticize the {C}ritics,' by {P}eter {C}.{B}. {P}hillips},
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JOURNAL = {Journal of Applied Econometrics},
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YEAR=1991,
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VOLUME=6,
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NUMBER=4,
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PAGES={423-34}
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}
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@BOOK{WoodfordBook,
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author = {Woodford, Michael},
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title = {Interest and {P}rices},
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year = 2003,
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publisher = {Princeton university press}
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}
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@ARTICLE{Sims80,
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AUTHOR={Sims, Christopher},
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TITLE={Macroeconomics and {R}eality},
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JOURNAL={Econometrica},
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YEAR=1980,
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VOLUME={48},
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NUMBER={1},
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PAGES={1-48}
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}
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@ARTICLE{Sims86,
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AUTHOR={Sims, Christopher},
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TITLE={Are {F}orecasting {M}odels {U}sable for {P}olicy {A}nalysis},
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JOURNAL={Federal Reserve Bank of Minneapolis Quarterly Review},
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YEAR=1986,
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VOLUME={10},
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NUMBER={1},
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PAGES={2-16}
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}
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@TECHREPORT{Sims2003,
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AUTHOR={Sims, Christopher},
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TITLE={Probability {M}odels for {M}onetary {P}olicy {D}ecisions},
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YEAR=2003,
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MONTH={Septembre},
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INSTITUTION = {Princeton University},
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TYPE={miméo}
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}
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@ARTICLE{Bernanke86,
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AUTHOR={Bernanke, Ben},
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TITLE={Alternative {E}xplanations of the {M}oney-{I}ncome {C}orrelation},
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JOURNAL={Carnegie Rochester Conference Series on Public Policy},
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YEAR=1986,
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VOLUME={25},
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NUMBER={10},
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PAGES={49-99}
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}
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@ARTICLE{BlanchardQuah89,
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AUTHOR={Blanchard, Olivier and Quah, Danny},
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TITLE={The {D}ynamic {E}ffects of {A}ggregate {D}emand and {S}upply {D}isturbances},
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JOURNAL={The American Economic Review},
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YEAR=1986,
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VOLUME={79},
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PAGES={655-673}
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}
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@ARTICLE{RotembergWoodford97,
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AUTHOR={Rotemberg, Julio and Woodford, Michael},
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TITLE={An {O}ptimization-{B}ased {E}conometric {F}ramework for the {E}valuation of {M}onetary {P}olicy},
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JOURNAL={NBER Macroeconomics Annual},
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YEAR=1997,
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VOLUME={12},
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PAGES={297-346}
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}
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|
@ARTICLE{ChristianoEichenbaumEvans03,
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AUTHOR={Christiano, Lawrence and Eichenbaum, Martin and Evans, Charles},
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TITLE={Nominal {R}igidities and the {D}ynamic {E}ffects of a {S}chock to {M}onetary {P}olicy},
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JOURNAL={Journal of Political Economy},
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YEAR=2003,
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VOLUME={113},
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PAGES={1-45}
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}
|
|
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|
@ARTICLE{KydlandPrescott82,
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AUTHOR={Kydland, Finn and Prescott, Edwards},
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TITLE={{T}ime to {B}uild and {A}ggregate {F}luctuations},
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JOURNAL={Econometrica},
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YEAR=1982,
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VOLUME={50},
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PAGES={1345-1370}
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}
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@ARTICLE{Smith93,
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AUTHOR={Smith, Anthony},
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TITLE={Estimating {N}on{L}inear {T}ime-{S}eries {M}odels {U}sing {S}imulated {V}ector {A}utoregressions},
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JOURNAL={Journal of Applied Econometrics},
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YEAR=1993,
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VOLUME={8},
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PAGES={63-84}
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}
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@ARTICLE{Canova94,
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AUTHOR={Canova, Fabio},
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TITLE={{S}tatistical {I}nference in {C}alibrated {M}odels},
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JOURNAL={Journal of Applied Econometrics},
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YEAR=1994,
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VOLUME={9},
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PAGES={123-144}
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}
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@ARTICLE{DejongIngramWhiteman96,
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AUTHOR={Dejong, David and Ingram, Beth F. and Whiteman, Charles H.},
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TITLE={A {B}ayesian {A}pproach to {C}alibration},
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JOURNAL={Journal of Business and Economic Statistics},
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YEAR=1996,
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VOLUME={14},
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NUMBER={1},
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PAGES={1-9}
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}
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@ARTICLE{Geweke99,
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AUTHOR={Geweke, John},
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TITLE={Using {S}imulation {M}ethods for {B}ayesian {E}conometric {M}odels: {I}nference, {D}evelopment and {C}ommunication},
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JOURNAL={Econometric Reviews},
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YEAR=1999,
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VOLUME={18},
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NUMBER={1},
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PAGES={1-126}
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}
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@ARTICLE{DridiGuayRenault07,
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AUTHOR={Dridi, Ramdan and Guay, Alain and Renault, Eric},
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TITLE={Indirect {I}nference and {C}alibration of {D}ynamic {S}tochastic {G}eneral {E}quilibrium {M}odels},
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JOURNAL={Journal of Econometrics},
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YEAR=2007,
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VOLUME={136},
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NUMBER={2},
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PAGES={397-430}
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}
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@ARTICLE{Bierens05,
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AUTHOR={Bierens, Herman J.},
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TITLE={Econometric {A}nalysis of {L}inearized {S}ingular {D}ynamic {S}tochastic {G}eneral {E}quilibrium {M}odels},
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JOURNAL={Journal of Econometrics},
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|
YEAR=2007,
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|
VOLUME={136},
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NUMBER={2},
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PAGES={595-627}
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|
}
|
|
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|
@ARTICLE{AnSchorfheide07,
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AUTHOR={An, Sungbae and Schorfheide, Frank},
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TITLE={Bayesian {A}nalysis of {DSGE} {M}odels},
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JOURNAL={Econometric Reviews},
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|
YEAR=2007,
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|
VOLUME={forthcoming}
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|
}
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|
@ARTICLE{DeJongIngramWhiteman00,
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|
AUTHOR={Dejong, David and Ingram, Beth F. and Whiteman, Charles H.},
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TITLE={A {B}ayesian {A}pproach to {D}ynamic {M}acroeconomics},
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JOURNAL={Journal of Econometrics},
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YEAR=2000,
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VOLUME={98},
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NUMBER={21},
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PAGES={203-223}
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}
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@ARTICLE{GelmanRubin92,
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AUTHOR={Gelman, Andrew and Rubin, Donald B.},
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TITLE={Inference from {I}terative {S}imulations {U}sing {M}ultiple {S}equences},
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JOURNAL={Statistical Science},
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YEAR=1992,
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VOLUME=7,
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NUMBER=4,
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PAGES={457-472}
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}
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@ARTICLE{Geweke92,
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|
AUTHOR={Geweke, John},
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|
TITLE={Evaluating the {A}ccuracy of {S}ampling-based {A}pproaches to the {C}alculation of {P}osterior {M}oments},
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JOURNAL={dans , édité par , Oxford University Press},
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YEAR=1992,
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