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DeGroot, M. (1970) Optimal Statistical Decisions McGraw-Hill, chapters 8,9.
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Berger, J.O. (1985) Statistical Decision Theory and Bayesian
Analysis Springer-Verlag, New York.
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Hartigan, J.A. (1983) Bayes Theory Springer-Verlag, New York.
- 4
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D. Lindley (1972) Bayesian Statistics: A Review SIAM
Regional Conference Series in Applied Mathematics.
- 5
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Zellner, A. (1971) An Introduction to Bayesian Inference
in Econometrics Wiley.
- 6
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Leamer, E. (1981) Specification Searches Wiley, chapters 1-4.
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Leamer, E. (1983) ``Let's Take the Con out of Econometrics''
American Economic Review 73, 31-43.
- 8
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Leamer, E. (1992) ``Bayesian Elicitation Diagnostics''
Econometrica 60-4 919-942.
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Geman, S. and D. Geman (1984) ``Stochastic Relaxation, Gibbs
Distributions, and the Bayesian Restoration of Images''
IEEE Transactions on Pattern Analysis and Machine
Intelligence 6-6 721-741.
- 10
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Geweke, J. (1988) ``Antithetic Acceleration of Monte Carlo
Integration in Bayesian Inference'' Journal of Econometrics
38 73-90.
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Geweke, J. (1989) ``Bayesian Inference in Econometric Models
Using Monte Carlo Integration'' Econometrica 57-6
1317-1341.
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Geweke, J. (1992) ``Bayesian Treatment of the Heteroscedastic
and Independent Student-t Linear Models'', manuscript
University of Minnesota.
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Geweke, J. (1996) ``Monte Carlo Simulation and Numerical
Integration'' in Handbook of Computational
Economics H. Amman, D. Kendrick and J. Rust (eds.)
Elsevier, North Holland.
- 14
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McCulloch, R. and P. Rossi (1994) ``An Exact Likelihood Approach
to the Analysis of the MNP Model'' Journal of
Econometrics 64 207-240.
- 15
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Albert, J.H. and S. Chib (1993) ``Bayesian Analysis of Binary
and Polychotomous Response Data'' Journal of the American
Statistical Association 88 669-679.
- 16
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Gelfand, A.E. and A.F.M. Smith (1990) ``Sampling Based
Approaches to Calculating Marginal Densities'' Journal of
the American Statistical Association 85 398-409.
- 17
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Rossi, P. and R. McCulloch (1996) ``The Value of Purchase
History Data in Target Marketing'' forthcoming,
Marketing Science
- 18
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Sims, C.A. (1988) ``Bayesian Skepticism on Unit Root Econometrics''
Journal of Economic Dynamics and Control 12 463-474.
- 19
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DeJong, D.N. and D.H. Whiteman (1991) ``Trends and Random
Walks in Macroeconomic Time Series: A Reconsideration Based on
The Likelihood Principle'' Journal of Monetary Economics
- 20
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Phillips, P.C.B. (1991) ``To Ciriticize the Critics: An Objective
Bayesian Analysis of Stochastic Trends'' Journal of Applied
Econometrics 6 333-364.
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Phillips, P.C.B. ``Bayesian Routes and Unit Roots:
de rebus prioribus semper est disputandum'' Journal
of Applied Econometrics 6 435-474.
- 22
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Freedman, D. (1963) ``On the Asymptotic Behavior of Bayes
Estimates in the Discrete Case I'' Annals of Mathematical
Statistics 34 1386-1403.
- 23
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Diaconis, P. Freedman, D. (1986) ``On the Consistency of
Bayes Estimates'' Annals of Mathematical Statistics 14
1-26.
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Chamberlain, G. and G. Imbens (1995) ``Semiparametric
Applications of Bayesian Inference'' manuscript, Harvard
University.
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Diaconis, P. Freedman, D. (1990) ``On the Uniform Consistency
of Bayes Estimates for Multinomial Probabilities'' Annals
of Statistics 18-3 1317-1327.
- 26
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Johnson, R.A. (1970) ``Asymptotic Expansions Associated with
Posterior Distributions'' Annals of Mathematical Statistics
41-3 851-864.
- 27
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Zellner, A. (1994) ``Bayesian Method of Moments/Instrumental
Variable (BMOM/IV) Analysis of Mean and Regression Models''
manuscript, Graduate School of Business, University of
Chicago.
- 28
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Zellner, A. (1995) ``Past and Recent Results on Maximal
Data Information Priors'' manuscript,
Graduate School of Business, University of
Chicago.
- 29
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Zellner, A. and C. Min (1995) ``Gibbs Sampler Convergence
Criteria'' Journal of American Statistical Association
90-431 921-927.
- 30
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Kadiyala, K. R. and S. Karlsson (1996) ``Numerical Methods for
Estimation and Inference in Bayesian VAR Models'' forthcoming,
Jorunal of Applied Econometrics.
Asymptotic Properties of M-Estimators
John Rust
2001-01-09