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Bibliography

1
DeGroot, M. (1970) Optimal Statistical Decisions McGraw-Hill, chapters 8,9.

2
Berger, J.O. (1985) Statistical Decision Theory and Bayesian Analysis Springer-Verlag, New York.

3
Hartigan, J.A. (1983) Bayes Theory Springer-Verlag, New York.

4
D. Lindley (1972) Bayesian Statistics: A Review SIAM Regional Conference Series in Applied Mathematics.

5
Zellner, A. (1971) An Introduction to Bayesian Inference in Econometrics Wiley.

6
Leamer, E. (1981) Specification Searches Wiley, chapters 1-4.

7
Leamer, E. (1983) ``Let's Take the Con out of Econometrics'' American Economic Review 73, 31-43.

8
Leamer, E. (1992) ``Bayesian Elicitation Diagnostics'' Econometrica 60-4 919-942.

9
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
Geweke, J. (1988) ``Antithetic Acceleration of Monte Carlo Integration in Bayesian Inference'' Journal of Econometrics 38 73-90.

11
Geweke, J. (1989) ``Bayesian Inference in Econometric Models Using Monte Carlo Integration'' Econometrica 57-6 1317-1341.

12
Geweke, J. (1992) ``Bayesian Treatment of the Heteroscedastic and Independent Student-t Linear Models'', manuscript University of Minnesota.

13
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
McCulloch, R. and P. Rossi (1994) ``An Exact Likelihood Approach to the Analysis of the MNP Model'' Journal of Econometrics 64 207-240.

15
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
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
Rossi, P. and R. McCulloch (1996) ``The Value of Purchase History Data in Target Marketing'' forthcoming, Marketing Science

18
Sims, C.A. (1988) ``Bayesian Skepticism on Unit Root Econometrics'' Journal of Economic Dynamics and Control 12 463-474.

19
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
Phillips, P.C.B. (1991) ``To Ciriticize the Critics: An Objective Bayesian Analysis of Stochastic Trends'' Journal of Applied Econometrics 6 333-364.

21
Phillips, P.C.B. ``Bayesian Routes and Unit Roots: de rebus prioribus semper est disputandum'' Journal of Applied Econometrics 6 435-474.

22
Freedman, D. (1963) ``On the Asymptotic Behavior of Bayes Estimates in the Discrete Case I'' Annals of Mathematical Statistics 34 1386-1403.

23
Diaconis, P. Freedman, D. (1986) ``On the Consistency of Bayes Estimates'' Annals of Mathematical Statistics 14 1-26.

24
Chamberlain, G. and G. Imbens (1995) ``Semiparametric Applications of Bayesian Inference'' manuscript, Harvard University.

25
Diaconis, P. Freedman, D. (1990) ``On the Uniform Consistency of Bayes Estimates for Multinomial Probabilities'' Annals of Statistics 18-3 1317-1327.

26
Johnson, R.A. (1970) ``Asymptotic Expansions Associated with Posterior Distributions'' Annals of Mathematical Statistics 41-3 851-864.

27
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
Zellner, A. (1995) ``Past and Recent Results on Maximal Data Information Priors'' manuscript, Graduate School of Business, University of Chicago.

29
Zellner, A. and C. Min (1995) ``Gibbs Sampler Convergence Criteria'' Journal of American Statistical Association 90-431 921-927.

30
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