Gary Koop : Citation Profile


Are you Gary Koop?

University of Strathclyde

40

H index

101

i10 index

8694

Citations

RESEARCH PRODUCTION:

127

Articles

250

Papers

2

Books

2

Chapters

EDITOR:

2

Books edited

1

Series edited

RESEARCH ACTIVITY:

   32 years (1991 - 2023). See details.
   Cites by year: 271
   Journals where Gary Koop has often published
   Relations with other researchers
   Recent citing documents: 452.    Total self citations: 173 (1.95 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pko8
   Updated: 2024-01-16    RAS profile: 2023-03-10    
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Relations with other researchers


Works with:

Huber, Florian (23)

Poon, Aubrey (15)

Mitchell, James (13)

McIntyre, Stuart (11)

onorante, luca (10)

Pfarrhofer, Michael (9)

Korobilis, Dimitris (6)

Gefang, Deborah (6)

Marcellino, Massimiliano (4)

Clark, Todd (4)

Hauzenberger, Niko (4)

Chan, Joshua (4)

Eisenstat, Eric (3)

Beckmann, Joscha (2)

Feldkircher, Martin (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Gary Koop.

Is cited by:

Chan, Joshua (201)

GUPTA, RANGAN (187)

Huber, Florian (162)

Korobilis, Dimitris (155)

Gabauer, David (105)

Tsionas, Mike (91)

Pesaran, Mohammad (82)

Strachan, Rodney (77)

Balcilar, Mehmet (76)

Clark, Todd (72)

Marcellino, Massimiliano (69)

Cites to:

Korobilis, Dimitris (124)

Giannone, Domenico (109)

Steel, Mark (91)

Reichlin, Lucrezia (76)

Clark, Todd (73)

Marcellino, Massimiliano (72)

Chan, Joshua (62)

Potter, Simon (55)

Primiceri, Giorgio (54)

Sargent, Thomas (53)

Watson, Mark (53)

Main data


Where Gary Koop has published?


Journals with more than one article published# docs
Journal of Econometrics24
Journal of Business & Economic Statistics10
Journal of Applied Econometrics9
Journal of Applied Econometrics7
Journal of Empirical Finance6
Journal of Business & Economic Statistics5
Journal of the Royal Statistical Society Series A4
Journal of Economic Dynamics and Control4
International Journal of Forecasting3
Econometrics Journal3
Oxford Bulletin of Economics and Statistics3
Econometric Reviews3
Journal of Money, Credit and Banking2
National Institute Economic Review2
Journal of Productivity Analysis2
Economic Modelling2
International Economic Review2
International Economic Review2
Computational Statistics & Data Analysis2
Scottish Journal of Political Economy2
Studies in Nonlinear Dynamics & Econometrics2
European Economic Review2
Economics Letters2
Journal of the American Statistical Association2

Working Papers Series with more than one paper published# docs
SIRE Discussion Papers / Scottish Institute for Research in Economics (SIRE)32
Working Paper series / Rimini Centre for Economic Analysis31
Working Papers / University of Strathclyde Business School, Department of Economics30
Papers / arXiv.org13
Edinburgh School of Economics Discussion Paper Series / Edinburgh School of Economics, University of Edinburgh13
MPRA Paper / University Library of Munich, Germany9
Working Papers / Federal Reserve Bank of Cleveland7
Economic Statistics Centre of Excellence (ESCoE) Discussion Papers / Economic Statistics Centre of Excellence (ESCoE)6
Working Papers / Business School - Economics, University of Glasgow6
Staff Reports / Federal Reserve Bank of New York6
Staff General Research Papers Archive / Iowa State University, Department of Economics4
DES - Working Papers. Statistics and Econometrics. WS / Universidad Carlos III de Madrid. Departamento de Estadística3
Working Paper Series / European Central Bank3
EMF Research Papers / Economic Modelling and Forecasting Group3
UC3M Working papers. Economics / Universidad Carlos III de Madrid. Departamento de Economía3
Essex Finance Centre Working Papers / University of Essex, Essex Business School3
GRIPS Discussion Papers / National Graduate Institute for Policy Studies2
Working Papers / Lancaster University Management School, Economics Department2
Working Papers / Brandeis University, Department of Economics and International Business School2
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute2
Tinbergen Institute Discussion Papers / Tinbergen Institute2
Working Paper Series / Economics Discipline Group, UTS Business School, University of Technology, Sydney2
Econometrics / University Library of Munich, Germany2

Recent works citing Gary Koop (2024 and 2023)


YearTitle of citing document
2023Dynamic Relationship Between Rupee-Dollar Exchange Rate and Major Economic Indicators. (2023). Kanthila, Sanath Kumar ; Vishwanath, Deepak Kallige ; Kulal, Abhinandan. In: American Journal of Economics and Business Administration. RePEc:abk:jajeba:ajebasp.2023.18.30.

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2023.

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2023The connectedness of Energy Transition Metals. (2023). Galeotti, Marzio ; Casoli, Chiara ; Bastianin, Andrea. In: FEEM Working Papers. RePEc:ags:feemwp:336984.

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2023Is the Price Cap for Gas Useful? Evidence from European Countries. (2023). Rossini, Luca ; Ravazzolo, Francesco. In: FEEM Working Papers. RePEc:ags:feemwp:338790.

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2023Analysis of Dynamic Connectedness among Sovereign CDS Premia. (2023). Ceylan, Ozcan. In: World Journal of Applied Economics. RePEc:ana:journl:v:9:y:2023:i:1:p:33-47.

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2023.

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2023Time-Varying Parameters as Ridge Regressions. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2009.00401.

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2023Sparse time-varying parameter VECMs with an application to modeling electricity prices. (2020). Pfarrhofer, Michael ; Hauzenberger, Niko ; Rossini, Luca. In: Papers. RePEc:arx:papers:2011.04577.

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2023Testing the effectiveness of unconventional monetary policy in Japan and the United States. (2020). Zanetti, Francesco ; Mavroeidis, Sophocles ; Ikeda, Daisuke ; Li, Shangshang. In: Papers. RePEc:arx:papers:2012.15158.

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2023Inferring Economic Condition Uncertainty from Electricity Big Data. (2021). Qian, Haoqi ; Tian, Yingjie ; Wu, Libo ; Shi, Zhengyu. In: Papers. RePEc:arx:papers:2107.11593.

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2023On Parameter Estimation in Unobserved Components Models subject to Linear Inequality Constraints. (2021). , Joshua ; Umrawal, Abhishek K. In: Papers. RePEc:arx:papers:2110.12149.

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2023Sparse multivariate modeling for stock returns predictability. (2022). Bernardi, Mauro ; Bianco, Nicolas ; Bianchi, Daniele. In: Papers. RePEc:arx:papers:2202.12644.

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2023Fast Two-Stage Variational Bayesian Approach to Estimating Panel Spatial Autoregressive Models with Unrestricted Spatial Weights Matrices. (2022). Tavlas, George S ; Hall, Stephen G ; Gefang, Deborah. In: Papers. RePEc:arx:papers:2205.15420.

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2023Forecasting macroeconomic data with Bayesian VARs: Sparse or dense? It depends!. (2022). Kastner, Gregor ; Gruber, Luis. In: Papers. RePEc:arx:papers:2206.04902.

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2023Local Projection Inference in High Dimensions. (2022). Wilms, Ines ; Smeekes, Stephan ; Adamek, Robert. In: Papers. RePEc:arx:papers:2209.03218.

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2023Efficient variational approximations for state space models. (2022). Nibbering, Didier ; Loaiza-Maya, Rub'En. In: Papers. RePEc:arx:papers:2210.11010.

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2023Reservoir Computing for Macroeconomic Forecasting with Mixed Frequency Data. (2022). Ortega, Juan-Pablo ; van Huellen, Sophie ; Hirt, Marcel ; Grigoryeva, Lyudmila ; Dellaportas, Petros ; Ballarin, Giovanni. In: Papers. RePEc:arx:papers:2211.00363.

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2023On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness. (2022). Yilmaz, Kamil ; Diebold, Francis X. In: Papers. RePEc:arx:papers:2211.04184.

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2023Enhanced Bayesian Neural Networks for Macroeconomics and Finance. (2022). Marcellino, Massimiliano ; Klieber, Karin ; Huber, Florian ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2211.04752.

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2023Score-based calibration testing for multivariate forecast distributions. (2022). Pohle, Marc-Oliver ; Kruger, Fabian ; Knuppel, Malte. In: Papers. RePEc:arx:papers:2211.16362.

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2023Nonlinearities in Macroeconomic Tail Risk through the Lens of Big Data Quantile Regressions. (2023). Huber, Florian ; Pruser, Jan. In: Papers. RePEc:arx:papers:2301.13604.

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2023High-Dimensional Conditionally Gaussian State Space Models with Missing Data. (2023). Zhu, Dan ; Poon, Aubrey. In: Papers. RePEc:arx:papers:2302.03172.

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2023A Look at Financial Dependencies by Means of Econophysics and Financial Economics. (2023). di Matteo, T ; Raddant, M. In: Papers. RePEc:arx:papers:2302.08208.

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2023A tale of two tails: 130 years of growth-at-risk. (2023). Huber, Florian ; Hasler, Elias ; Gachter, Martin. In: Papers. RePEc:arx:papers:2302.08920.

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2023Simple Analytics of the Government Investment Multiplier. (2023). Roulleau-Pasdeloup, Jordan ; Cai, Chunbing. In: Papers. RePEc:arx:papers:2302.11212.

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2023Constructing High Frequency Economic Indicators by Imputation. (2023). Scanlan, Susannah ; Ng, Serena. In: Papers. RePEc:arx:papers:2303.01863.

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2023Fast Forecasting of Unstable Data Streams for On-Demand Service Platforms. (2023). Wilms, Ines ; Rombouts, Jeroen ; Hu, Yu Jeffrey. In: Papers. RePEc:arx:papers:2303.01887.

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2023Coarsened Bayesian VARs -- Correcting BVARs for Incorrect Specification. (2023). Marcellino, Massimiliano ; Huber, Florian. In: Papers. RePEc:arx:papers:2304.07856.

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2023Monitoring multicountry macroeconomic risk. (2023). Korobilis, Dimitris ; Schroder, Maximilian. In: Papers. RePEc:arx:papers:2305.09563.

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2023Fast and Order-invariant Inference in Bayesian VARs with Non-Parametric Shocks. (2023). Huber, Florian ; Koop, Gary. In: Papers. RePEc:arx:papers:2305.16827.

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2023Generalized Autoregressive Score Trees and Forests. (2023). Simsek, Yasin ; Patton, Andrew J. In: Papers. RePEc:arx:papers:2305.18991.

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2023Impulse Response Analysis for Structural Nonlinear Time Series Models. (2023). Ballarin, Giovanni. In: Papers. RePEc:arx:papers:2305.19089.

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2023Testing for Threshold Effects in Presence of Heteroskedasticity and Measurement Error with an application to Italian Strikes. (2023). Angelini, Francesco ; Goracci, Greta ; Giannerini, Simone ; Castellani, Massimiliano. In: Papers. RePEc:arx:papers:2308.00444.

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2023The Bayesian Context Trees State Space Model for time series modelling and forecasting. (2023). Kontoyiannis, Ioannis ; Papageorgiou, Ioannis. In: Papers. RePEc:arx:papers:2308.00913.

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2023Identifying spatial interdependence in panel data with large N and small T. (2023). Gefang, Deborah ; Tavlas, George S ; Hall, Stephen G. In: Papers. RePEc:arx:papers:2309.03740.

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2023Non-linear dimension reduction in factor-augmented vector autoregressions. (2023). Klieber, Karin. In: Papers. RePEc:arx:papers:2309.04821.

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2023Non-linear approximations of DSGE models with neural-networks and hard-constraints. (2023). Hall-Hoffarth, Emmet. In: Papers. RePEc:arx:papers:2310.13436.

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2023BVARs and Stochastic Volatility. (2023). Chan, Joshua. In: Papers. RePEc:arx:papers:2310.14438.

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2023Time-Varying Identification of Monetary Policy Shocks. (2023). Wo, Tomasz ; Camehl, Annika. In: Papers. RePEc:arx:papers:2311.05883.

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2023Predictive Density Combination Using a Tree-Based Synthesis Function. (2023). Huber, Florian ; Mitchell, James ; Koop, Gary ; Hauzenberger, Niko ; Chernis, Tony. In: Papers. RePEc:arx:papers:2311.12671.

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2023From Reactive to Proactive Volatility Modeling with Hemisphere Neural Networks. (2023). Klieber, Karin ; Frenette, Mikael ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2311.16333.

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2023Stochastic volatility models with skewness selection. (2023). Lopes, Hedibert Freitas ; Batista, Igor Ferreira. In: Papers. RePEc:arx:papers:2312.00282.

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2023Forecasting skill of a crowd-prediction platform: A comparison of exchange rate forecasts. (2023). Lehmann, Niklas Valentin. In: Papers. RePEc:arx:papers:2312.09081.

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2023.

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2023Bayesian Local Projections. (2023). Ricco, Giovanni ; Ferreira, Leonardo ; Miranda-Agrippino, Silvia. In: Working Papers Series. RePEc:bcb:wpaper:581.

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2023.

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2023Underlying inflation and asymetric risks. (2023). Leiva-Leon, Danilo ; LE BIHAN, Hervé ; Pacce, Matias. In: Working Papers. RePEc:bde:wpaper:2319.

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2023Effects of the Extraordinary Measures Implemented by Banco de México during the COVID-19 Pandemic on Financial Conditions. (2023). Ibarra, Raul ; Cuadra, Gabriel ; Alba, Carlos ; Gabriel, Cuadra. In: Working Papers. RePEc:bdm:wpaper:2023-03.

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2023Growth at Risk and Uncertainty: Evidence from Mexico. (2023). Alejandro, Trujillo ; Alfredo, Salgado. In: Working Papers. RePEc:bdm:wpaper:2023-08.

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2023The Anatomy of Small Open Economy Productivity Trends. (2023). Thoenissen, Christoph ; Theodoridis, Konstantinos ; Gortz, Christoph. In: Discussion Papers. RePEc:bir:birmec:23-05.

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2023The two-regime view of inflation. (2023). Zakrajsek, Egon ; Yetman, James ; Lombardi, Marco Jacopo ; Borio, Claudio. In: BIS Papers. RePEc:bis:bisbps:133.

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2023The reaction of disagreements in inflation expectations to fiscal sentiment obtained from information in official communiqués. (2023). Maia, Victor ; Montes, Gabriel Caldas. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:4:p:828-859.

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2023Understanding the transmission of crash risk between cryptocurrency and equity markets. (2023). Corbet, Shaen ; Liu, Zhifeng ; Toan, Luu Duc ; Goodell, John W ; Dai, Pengfei. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:3:p:539-573.

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2023Quantile price convergence and spillover effects among Bitcoin, Fintech, and artificial intelligence stocks. (2023). Tiwari, Aviral ; Abakah, Emmanuel ; Ntowgyamfi, Matthew ; Lee, Chichuan ; Aikins, Emmanuel Joel. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:1:p:187-205.

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2023A new unique impulse response function in linear vector autoregressive models. (2023). Shi, Yanlin. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:2:p:460-468.

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2023Scalable Bayesian Multiple Changepoint Detection via Auxiliary Uniformisation. (2023). Shaochuan, LU. In: International Statistical Review. RePEc:bla:istatr:v:91:y:2023:i:1:p:88-113.

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2023BAYESIAN STATE SPACE MODELS IN MACROECONOMETRICS. (2023). Strachan, Rodney. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:1:p:58-75.

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2023.

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2023.

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2023Directed graphs and variable selection in large vector autoregressive models. (2023). Kascha, Christian ; Bruggemann, Ralf ; Bertsche, Dominik. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:44:y:2023:i:2:p:223-246.

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2023.

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2023.

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2023.

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2023The Nexus between Public Debt and the Government Spending Multiplier: Fiscal Adjustments Matter. (2023). Iwata, Yasuharu ; Iiboshi, Hirokuni. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:85:y:2023:i:4:p:830-858.

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2023Actions speak louder than words: Imputing users’ reputation from transaction history. (2023). Tripathi, Arvind K ; Tan, Yong ; Ghasemkhani, Hossein ; Deng, Jiaying. In: Production and Operations Management. RePEc:bla:popmgt:v:32:y:2023:i:4:p:1096-1111.

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2023The New Development Bank and the structure of the multilateral development financial system. (2023). Ye, Fang. In: Review of Development Economics. RePEc:bla:rdevec:v:27:y:2023:i:3:p:1957-1972.

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2023Is the US Phillips curve stable? Evidence from Bayesian vector autoregressions. (2023). Österholm, Pär ; Karlsson, Sune ; Osterholm, Par. In: Scandinavian Journal of Economics. RePEc:bla:scandj:v:125:y:2023:i:1:p:287-314.

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2023Bayesian inference for a mixture double autoregressive model. (2023). Dong, Xiaogang ; Yu, Xinyang ; Zhang, Qingqing ; Yang, Kai. In: Statistica Neerlandica. RePEc:bla:stanee:v:77:y:2023:i:2:p:188-207.

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2023Monitoring multicountry macroeconomic risk. (2023). Schroder, Maximilian ; Korobilis, Dimitris. In: Working Paper. RePEc:bno:worpap:2023_9.

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2023Probabilistic Quantile Factor Analysis. (2023). Schrder, Maximilian ; Korobilis, Dimitris. In: Working Papers. RePEc:bny:wpaper:0116.

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2023Monitoring multicountry macroeconomic risk. (2023). Schrder, Maximilian ; Korobilis, Dimitris. In: Working Papers. RePEc:bny:wpaper:0117.

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2023Monetary policy shocks and exchange rate dynamics in small open economies. (2023). Tchatoka, Firmin Doko ; Cross, Jamie L ; Haque, Qazi ; Terrell, Madison. In: Working Papers. RePEc:bny:wpaper:0121.

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2023.

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2023Conditional Forecasting With a Bayesian Vector Autoregression: Working Paper 2023-08. (2023). Yoo, Byoung Hark. In: Working Papers. RePEc:cbo:wpaper:59629.

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2023The Price of War: Macroeconomic and Cross-Sectional Effects of Sanctions on Russia. (2023). Pestova, Anna ; Mamonov, Mikhail. In: CERGE-EI Working Papers. RePEc:cer:papers:wp756.

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2023Professional Survey Forecasts and Expectations in DSGE Models. (2023). Slobodyan, Sergey ; Rychalovska, Yuliya ; Wouters, Rafael. In: CERGE-EI Working Papers. RePEc:cer:papers:wp766.

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2023Quarterly GDP Estimates for the German States: New Data for Business Cycle Analyses and Long-Run Dynamics. (2023). Lehmann, Robert ; Wikman, Ida. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10280.

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2023READ-GER: Introducing German Real-Time Regional Accounts Data for Revision Analysis and Nowcasting. (2023). Lehmann, Robert. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10315.

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2023Dynamic Mixture Vector Autoregressions with Score-Driven Weights. (2023). Umlandt, Dennis ; Neuenkirch, Matthias ; Gretener, Alexander Georges. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10366.

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2023Regional Productivity Network in the EU. (2023). Shin, Yongcheol ; Serlenga, Laura ; Mastromarco, Camilla. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10404.

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2023Does U.S. Monetary Policy Respond to Macroeconomic Uncertainty?. (2023). Piccillo, Giulia ; Gomez, Thomas. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10407.

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2023An Unconventional FX Tail Risk Story. (2023). Stoja, Evarist ; Pambira, Alberto ; Gerba, Eddie ; Caon, Carlos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10629.

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2023From Shopping to Statistics: Tracking and Nowcasting Private Consumption Expenditures in Real-Time. (2023). Lehmann, Robert ; Fourne, Friederike. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10764.

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2023Disentangling Demand and Supply Inflation Shocks from Chilean Electronic Payment Data. (2023). Hernandez-Roman, L G ; Eterovic, Nicolas ; Carlomagno, Guillermo. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:986.

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2023Robust dynamic space-time panel data models using ?-contamination: An application to crop yields and climate change. (2023). Chaturvedi, Anoop ; Lacroix, Guy ; Bresson, Georges ; Baltagi, Badi H. In: CIRANO Working Papers. RePEc:cir:cirwor:2023s-01.

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2023Leakages from macroprudential regulations: the case of household-specific tools and corporate credit. (2023). Xie, Peichu ; Grnicka, Lucyna ; Bhargava, Apoorv. In: Working Paper Series. RePEc:ecb:ecbwps:20232784.

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2023Nowcasting employment in the euro area. (2023). Toth, Mate Barnabas ; Bodnar, Katalin ; Belousova, Irina ; Babura, Marta. In: Working Paper Series. RePEc:ecb:ecbwps:20232815.

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2023Density forecasts of inflation: a quantile regression forest approach. (2023). Paredes, Joan ; Moutachaker, Ines ; Lenza, Michele. In: Working Paper Series. RePEc:ecb:ecbwps:20232830.

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2023Quantifying financial stability trade-offs for monetary policy: a quantile VAR approach. (2023). Lund-Thomsen, Frederik ; Kremer, Manfred ; Chavleishvili, Sulkhan. In: Working Paper Series. RePEc:ecb:ecbwps:20232833.

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2023Energy supply shocks’ nonlinearities on output and prices. (2023). Tornese, Tommaso ; de Santis, Roberto A. In: Working Paper Series. RePEc:ecb:ecbwps:20232834.

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2023Underlying inflation and asymmetric risks. (2023). Leiva-Leon, Danilo ; Pacce, Matias ; le Bihan, Herve. In: Working Paper Series. RePEc:ecb:ecbwps:20232848.

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2023Financial shock transmission to heterogeneous firms: the earnings-based borrowing constraint channel. (2023). Grothe, Magdalena ; Chiu, Livia ; van Robays, Ine ; Schulze, Tatjana. In: Working Paper Series. RePEc:ecb:ecbwps:20232860.

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2023What drives core inflation? The role of supply shocks. (2023). Bobeica, Elena ; Babura, Marta ; Hernandez, Catalina Martinez. In: Working Paper Series. RePEc:ecb:ecbwps:20232875.

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2023Directional Spillover of Fossil Fuels Prices on a Hydrothermal Power Generation Market. (2023). Manotas-Duque, Diego Fernando ; Londoo-Hernandez, Sandra Milena ; Oviedo-Gomez, Andres. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-01-12.

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2023Exploring the Time-varying Connectedness and Contagion Effects among Exchange Rates of BRICS, Energy Commodities, and Volatilities. (2023). Boateng, Ebenezer ; Asafo-Adjei, Emmanuel ; Idun, Anthony Adu-Asare ; Adam, Anokye M ; Qabhobho, Thobekile. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-02-30.

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2023Financial Sector Troubles and Energy Markets. (2023). Soytas, Ugur ; Gormus, Alper. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-02-40.

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2023Is the Peoples Bank of China consistent in words and deeds?. (2023). Zhu, Chuanqi ; Chen, Liangyuan ; Mei, Ziwei ; Lin, Jianhao. In: China Economic Review. RePEc:eee:chieco:v:78:y:2023:i:c:s1043951x23000044.

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2023Fast Bayesian inference on spectral analysis of multivariate stationary time series. (2023). Prado, Raquel ; Hu, Zhixiong. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:178:y:2023:i:c:s0167947322001761.

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2023Vector autoregression models with skewness and heavy tails. (2023). Karlsson, Sune ; Nguyen, Hoang ; Mazur, Stepan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002834.

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Advanced Studies in Theoretical and Applied Econometrics

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2010Time Varying Dimension Models In: ANU Working Papers in Economics and Econometrics.
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2010Time Varying Dimension Models.(2010) In: SIRE Discussion Papers.
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2011Time Varying Dimension Models.(2011) In: CAMA Working Papers.
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2010Time Varying Dimension Models.(2010) In: Working Paper series.
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2011Time Varying Dimension Models.(2011) In: Working Papers.
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2012Time Varying Dimension Models.(2012) In: Journal of Business & Economic Statistics.
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2012A Bounded Model of Time Variation in Trend Inflation, NAIRU and the Phillips Curve In: ANU Working Papers in Economics and Econometrics.
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2014A Bounded Model of Time Variation in Trend Inflation, NAIRU and the Phillips Curve.(2014) In: CAMA Working Papers.
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2016A Bounded Model of Time Variation in Trend Inflation, Nairu and the Phillips Curve.(2016) In: Journal of Applied Econometrics.
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2013Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables In: ANU Working Papers in Economics and Econometrics.
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2011Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables.(2011) In: SIRE Discussion Papers.
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2014Modelling breaks and clusters in the steady states of macroeconomic variables.(2014) In: Computational Statistics & Data Analysis.
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2012Modelling breaks and clusters in the steady states of macroeconomic variables.(2012) In: CAMA Working Papers.
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2011Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables.(2011) In: Working Papers.
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2020Bayesian dynamic variable selection in high dimensions In: Papers.
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2020Bayesian dynamic variable selection in high dimensions.(2020) In: Working Papers.
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2020Bayesian dynamic variable selection in high dimensions.(2020) In: MPRA Paper.
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2019Inducing Sparsity and Shrinkage in Time-Varying Parameter Models In: Papers.
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2019Inducing sparsity and shrinkage in time-varying parameter models.(2019) In: Working Paper Series.
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2019Inducing Sparsity and Shrinkage in Time-Varying Parameter Models.(2019) In: Working Papers in Economics.
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2021Inducing Sparsity and Shrinkage in Time-Varying Parameter Models.(2021) In: Journal of Business & Economic Statistics.
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2021Fast and Flexible Bayesian Inference in Time-varying Parameter Regression Models In: Papers.
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2022Fast and Flexible Bayesian Inference in Time-varying Parameter Regression Models.(2022) In: Journal of Business & Economic Statistics.
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2020Bayesian Inference in High-Dimensional Time-varying Parameter Models using Integrated Rotated Gaussian Approximations In: Papers.
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2023Dynamic Shrinkage Priors for Large Time-varying Parameter Regressions using Scalable Markov Chain Monte Carlo Methods In: Papers.
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2020Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs In: Papers.
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2021Nowcasting in a pandemic using non-parametric mixed frequency VARs.(2021) In: Working Paper Series.
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2023Nowcasting in a pandemic using non-parametric mixed frequency VARs.(2023) In: Journal of Econometrics.
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2021Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs.(2021) In: Working Papers.
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2022Approximate Bayesian inference and forecasting in huge-dimensional multi-country VARs In: Papers.
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2022APPROXIMATE BAYESIAN INFERENCE AND FORECASTING IN HUGE?DIMENSIONAL MULTICOUNTRY VARs.(2022) In: International Economic Review.
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2021Subspace Shrinkage in Conjugate Bayesian Vector Autoregressions In: Papers.
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2021Investigating Growth at Risk Using a Multi-country Non-parametric Quantile Factor Model In: Papers.
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2021Large Order-Invariant Bayesian VARs with Stochastic Volatility In: Papers.
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2022Forecasting US Inflation Using Bayesian Nonparametric Models In: Papers.
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2022Forecasting US Inflation Using Bayesian Nonparametric Models.(2022) In: Working Papers.
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2023Bayesian Modeling of TVP-VARs Using Regression Trees In: Papers.
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2023Bayesian Forecasting in Economics and Finance: A Modern Review In: Papers.
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2006Forecasting Substantial Data Revisions in the Presence of Model Uncertainty In: Birkbeck Working Papers in Economics and Finance.
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2008Forecasting Substantial Data Revisions in the Presence of Model Uncertainty.(2008) In: Economic Journal.
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2006Forecasting Substantial Data Revisions in the Presence of Model Uncertainty.(2006) In: Reserve Bank of New Zealand Discussion Paper Series.
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2008Forecasting Substantial Data Revisions in the Presence of Model Uncertainty.(2008) In: Economic Journal.
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2007Real-time Prediction with UK Monetary Aggregates in the Presence of Model Uncertainty In: Birkbeck Working Papers in Economics and Finance.
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2009Real-Time Prediction With U.K. Monetary Aggregates in the Presence of Model Uncertainty.(2009) In: Journal of Business & Economic Statistics.
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2008Real-time Prediction with UK Monetary Aggregates in the Presence of Model Uncertainty.(2008) In: Reserve Bank of New Zealand Discussion Paper Series.
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2002Multiple-Output Production With Undesirable Outputs: An Application to Nitrogen Surplus in Agriculture In: Journal of the American Statistical Association.
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2002Multiple-output production with undesirable output: An application to nitrogen surplus in agriculture.(2002) In: Edinburgh School of Economics Discussion Paper Series.
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2002Multiple-Output Production With Undesirable Outputs: An Application to Nitrogen Surplus in Agriculture.(2002) In: Econometrics.
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2002Comparing the Performance of Baseball Players: A Multiple-Output Approach In: Journal of the American Statistical Association.
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article6
2001Comparing the Performance of Baseball Players: A Multiple Output Approach.(2001) In: Edinburgh School of Economics Discussion Paper Series.
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1994A Decision-Theoretic Analysis of the Unit-Root Hypothesis Using Mixtures of Elliptical Models. In: Journal of Business & Economic Statistics.
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article3
1993A decision theoretic analysis of the unit root hypothesis using mixtures of elliptical models.(1993) In: DES - Working Papers. Statistics and Econometrics. WS.
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1991A Decision Theoretic Analysis of the Unit Root Hypothesis Using Mixtures of Elliptical Models..(1991) In: Tilburg - Center for Economic Research.
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1991A decision theoretic analysis of the unit root hypothesis using mixtures of elliptical models.(1991) In: Discussion Paper.
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1991A decision theoretic analysis of the unit root hypothesis using mixtures of elliptical models.(1991) In: Other publications TiSEM.
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1994Bayesian Efficiency Analysis with a Flexible Form: The AIM Cost Function. In: Journal of Business & Economic Statistics.
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article30
1994Bayesian efficiency analysis with a flexible form : The aim cost function.(1994) In: Discussion Paper.
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1994Bayesian efficiency analysis with a flexible form : The aim cost function.(1994) In: Other publications TiSEM.
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1994Posterior Properties of Long-Run Impulse Responses. In: Journal of Business & Economic Statistics.
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article2
1996Correction [Posterior Properties of Long-Run Impulse Responses]. In: Journal of Business & Economic Statistics.
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article0
1999Dynamic Asymmetries in U.S. Unemployment. In: Journal of Business & Economic Statistics.
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article102
1998Dynamic asymmetries in US unemployment.(1998) In: Edinburgh School of Economics Discussion Paper Series.
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2000Modeling the Sources of Output Growth in a Panel of Countries In: Journal of Business & Economic Statistics.
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article59
2003Bayesian Analysis of Endogenous Delay Threshold Models. In: Journal of Business & Economic Statistics.
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article17
2000Bayesian Analysis of Endogenous Delay Threshold Models.(2000) In: Edinburgh School of Economics Discussion Paper Series.
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2010Dynamic Probabilities of Restrictions in State Space Models: An Application to the Phillips Curve In: Journal of Business & Economic Statistics.
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article19
2008Dynamic probabilities of restrictions in state space models: An application to the Phillips curve.(2008) In: Working Paper series.
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1991Intertemporal Properties of Real Output: A Bayesian Analysis. In: Journal of Business & Economic Statistics.
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article7
2001Go climb a mountain: an application of recreation demand modelling to rock climbing in Scotland In: Journal of Agricultural Economics.
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1994 Recent Progress in Applied Bayesian Econometrics. In: Journal of Economic Surveys.
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article20
1995An Empirical Investigation of Wagners Hypothesis by Using a Model Occurrence Framework In: Journal of the Royal Statistical Society Series A.
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article5
2004Modelling the evolution of distributions: an application to Major League baseball In: Journal of the Royal Statistical Society Series A.
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article4
2001Modeling the Evolution of Distributions: An Application to Major League Baseball.(2001) In: Edinburgh School of Economics Discussion Paper Series.
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2013Forecasting the European carbon market In: Journal of the Royal Statistical Society Series A.
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article40
2011Forecasting the European Carbon Market.(2011) In: SIRE Discussion Papers.
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2011Forecasting the European Carbon Market.(2011) In: Working Papers.
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2020UK regional nowcasting using a mixed frequency vector auto?regressive model with entropic tilting In: Journal of the Royal Statistical Society Series A.
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article11
1999The Components of Output Growth: A Stochastic Frontier Analysis In: Oxford Bulletin of Economics and Statistics.
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article60
2016Domestic Violence and Football in Glasgow: Are Reference Points Relevant? In: Oxford Bulletin of Economics and Statistics.
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article3
2013Domestic Violence and Football in Glasgow: Are Reference Points Relevant?.(2013) In: SIRE Discussion Papers.
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2013Domestic Violence and Football in Glasgow: Are Reference Points Relevant?.(2013) In: Working Papers.
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2019Forecasting with High?Dimensional Panel VARs In: Oxford Bulletin of Economics and Statistics.
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2018Forecasting with High-Dimensional Panel VARs.(2018) In: Essex Finance Centre Working Papers.
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2015Forecasting With High Dimensional Panel VARs.(2015) In: Working Papers.
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2018Forecasting with High-Dimensional Panel VARs.(2018) In: MPRA Paper.
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2018Forecasting with High-Dimensional Panel VARs.(2018) In: Working Paper series.
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2013Editorial: The Scottish Journal of Political Economys 60th Birthday Issue In: Scottish Journal of Political Economy.
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2019An empirical assessment of recent challenges in todays financial markets In: Scottish Journal of Political Economy.
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2021Macroeconomic Forecasting with Large Stochastic Volatility in Mean VARs In: Working Papers.
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2015Regime-switching cointegration In: Studies in Nonlinear Dynamics & Econometrics.
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article20
2011Regime-Switching Cointegration.(2011) In: SIRE Discussion Papers.
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2011Regime-Switching Cointegration.(2011) In: SIRE Discussion Papers.
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2011Regime-Switching Cointegration.(2011) In: Working Paper series.
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2011Regime-Switching Cointegration*.(2011) In: Working Papers.
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2022Choosing between identification schemes in noisy-news models In: Studies in Nonlinear Dynamics & Econometrics.
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2016Bayesian Compressed Vector Autoregressions In: Working Papers.
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paper54
2016Bayesian Compressed Vector Autoregressions.(2016) In: Working Papers.
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2019Bayesian compressed vector autoregressions.(2019) In: Journal of Econometrics.
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2016Bayesian Compressed Vector Autoregressions.(2016) In: Working Papers.
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2017Bayesian Compressed Vector Autoregressions.(2017) In: Working Paper series.
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2011On Identification of Bayesian DSGE Models In: Cambridge Working Papers in Economics.
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2011On Identification of Bayesian DSGE Models.(2011) In: CESifo Working Paper Series.
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2011On Identification of Bayesian DSGE Models.(2011) In: SIRE Discussion Papers.
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2011On Identification of Bayesian DSGE Models.(2011) In: IZA Discussion Papers.
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2011On Identification of Bayesian DSGE Models*.(2011) In: Working Papers.
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2013On Identification of Bayesian DSGE Models.(2013) In: Journal of Business & Economic Statistics.
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2011A Comparison of Forecasting Procedures For Macroeconomic Series: The Contribution of Structural Break Models In: CIRANO Working Papers.
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2011A comparison of forecasting procedures for macroeconomic series: the contribution of structural break models.(2011) In: LIDAM Discussion Papers CORE.
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2011A Comparison Of Forecasting Procedures For Macroeconomic Series: The Contribution Of Structural Break Models.(2011) In: SIRE Discussion Papers.
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2011A Comparison of Forecasting Procedures for Macroeconomic Series: the Contribution of Structural Break Models.(2011) In: Cahiers de recherche.
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2011The Contribution of Structural Break Models to Forecasting Macroeconomic Series.(2011) In: Working Paper series.
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2011A comparison of Forecasting Procedures for Macroeconomic Series: The Contribution of Structural Break Models.(2011) In: Working Papers.
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2015The Contribution of Structural Break Models to Forecasting Macroeconomic Series.(2015) In: Journal of Applied Econometrics.
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1994Posterior Analysis of Stochastic Frontier Models using Gibbs Sampling In: LIDAM Discussion Papers CORE.
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1992Posterior analysis of stochastic frontier models using Gibbs sampling.(1992) In: DES - Working Papers. Statistics and Econometrics. WS.
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1995The Components of Output Growth : A Cross-Country Analysis In: LIDAM Discussion Papers CORE.
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1995The Components of Output Growth: A Croos-Country Analysis..(1995) In: Tilburg - Center for Economic Research.
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1995The components of output growth : A cross-country analysis.(1995) In: Discussion Paper.
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1995The components of output growth : A cross-country analysis.(1995) In: Other publications TiSEM.
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1995Bayesian Analysis of Long Memory and Persistence using ARFIMA Models In: LIDAM Discussion Papers CORE.
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1997Bayesian analysis of long memory and persistence using ARFIMA models.(1997) In: LIDAM Reprints CORE.
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1997Bayesian analysis of long memory and persistence using ARFIMA models.(1997) In: Journal of Econometrics.
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1995Bayesian Analysis of Long Memory and Persistence using ARFIMA Models.(1995) In: Working Papers.
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1995Bayesian Analysis of Long Memory and Persistence using ARFIMA Models.(1995) In: Econometrics.
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1995Bayesian Efficiency Analysis through Individual Effects : Hospital Cost Frontiers In: LIDAM Discussion Papers CORE.
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1997Bayesian efficiency analysis through individual effects: Hospital cost frontiers.(1997) In: LIDAM Reprints CORE.
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1997Bayesian efficiency analysis through individual effects: Hospital cost frontiers.(1997) In: Journal of Econometrics.
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1995Measuring the Sources of Output Growth in a Panel of Countries In: LIDAM Discussion Papers CORE.
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2011Hierarchical shrinkage in time-varying parameter models In: LIDAM Discussion Papers CORE.
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2011Hierarchical Shrinkage in Time-Varying Parameter Models.(2011) In: SIRE Discussion Papers.
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2011Hierarchical shrinkage in time-varying parameter models.(2011) In: MPRA Paper.
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2011Hierarchical Shrinkage in Time-Varying Parameter Models.(2011) In: Working Paper series.
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2011Hierarchical Shrinkage in Time-Varying Parameter Models.(2011) In: Working Papers.
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2014Hierarchical Shrinkage in Time?Varying Parameter Models.(2014) In: Journal of Forecasting.
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2015The Contribution of Structural Break Models to Forecating Macroeconomic Series In: LIDAM Reprints CORE.
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2011The Contribution of Structural Break Models to Forecasting Macroeconomic Series.(2011) In: Working Paper series.
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1995Bayesian long-run prediction in time series models.(1995) In: Journal of Econometrics.
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1992Stochastic frontier models: a bayesian perspective In: UC3M Working papers. Economics.
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1994Stochastic frontier models : A Bayesian perspective.(1994) In: Journal of Econometrics.
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1992Posterior inference on long-run impulse responses In: UC3M Working papers. Economics.
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2012Estimating Phillips curves in turbulent times using the ECBs survey of professional forecasters In: Working Paper Series.
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2001Are apparent findings of nonlinearity due to structural instability in economic time series? In: Econometrics Journal.
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2001Testing for optimality in job search models In: Econometrics Journal.
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2004Forecasting in dynamic factor models using Bayesian model averaging In: Econometrics Journal.
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1999Bayesian inference in models based on equilibrium search theory In: Edinburgh School of Economics Discussion Paper Series.
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2001Bayesian inference in models based on equilibrium search theory.(2001) In: Journal of Econometrics.
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1998The valuation of IPO, SEO and Post-Chapter 11 firms: A Stochastic Frontier Approach In: Edinburgh School of Economics Discussion Paper Series.
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1999Cross-sectoral patterns of efficiency and technical change in manufacturing: A stochastic frontier analysis In: Edinburgh School of Economics Discussion Paper Series.
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1999Bayesian Analysis of Stochastic Frontier Models In: Edinburgh School of Economics Discussion Paper Series.
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Bayesian modelling of catch in a Northwest Atlantic Fishery (first version) In: Edinburgh School of Economics Discussion Paper Series.
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1999A Bayesian analysis of multiple-output production frontier In: Edinburgh School of Economics Discussion Paper Series.
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paper37
2000A Bayesian analysis of multiple-output production frontiers.(2000) In: Journal of Econometrics.
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2003Alternative efficiency measures for multiple-output production In: Edinburgh School of Economics Discussion Paper Series.
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2005Alternative efficiency measures for multiple-output production.(2005) In: Journal of Econometrics.
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2001Bayesian Variants of Some classical Semiparametric Regression Techniques In: Edinburgh School of Economics Discussion Paper Series.
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2004Bayesian variants of some classical semiparametric regression techniques.(2004) In: Journal of Econometrics.
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2000Bayesian Variants of Some Classical Semiparametric Regression Techniques..(2000) In: California Irvine - School of Social Sciences.
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2010Forecasting Inflation Using Dynamic Model Averaging In: SIRE Discussion Papers.
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2009Forecasting Inflation Using Dynamic Model Averaging.(2009) In: Working Paper series.
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