Advances in Econometrics, Volume 11: Bayesian Methods

Editors: Thomas B. Fomby (SMU), R. Carter Hill (LSU)

PART A: Bayesian Computation Methods and Applications

Copyright 1996 by JAI PRESS INC. Greenwich, Connecticut ISBN: 1-55938-973-7 (Part A) ISBN: 1-55938-972-9 (Set)

• Introduction, R. Carter Hill and Thomas B. Fomby. 

Section I. Applications of Gibbs Sampling and Related Methods. 

• Computation in Bayesian Econometrics: An Introduction to Markov Chain Monte Carlo, Jim Albert and Siddharta Chib. 
• Bayesian Analysis of Financial Event Studies Data, Alan E. Gelfand and James M. Sfiridis. 
• Bayesian Estimation of Adult-Equivalence Scales: An Application to Thai Expenditure Data, William Griffiths and Duangkamon Chotikapanich. 
• Bayesian Computation for Parametric Models of Heteroscedasticity in the Linear Model, W. John Boscardin and Andrew Gelman. 
• A Bayesian Analysis of Censored Autocorrelated Data on Exports of Japanese Passenger Cars to the United States, Peter J. Zangari and Hiroki Tsurumi. 
• Bayesian Approach in Model Selection for the Binary Response Data, Dipak K. Dey, Hong Chang, and Subhash C. Ray.

Section II. Special Computational Methods and Problems. 

• Bayesian Bootstrap Inference Via Regression Structure Likelihood, Thomas Heckelei and Ron C. Mittelhammer. 
• Protection Against Outliers in Bayesian Linear Models with Econometric Applications, Jean-Francois Angers and Brenda MacGibbon. 
• Measurement Error or Endogeneity: Sorting Out Sources of Simultaneity-With an Application to Female Labor Supply, Charles J. Romeo and Jie Sun. 
• Conditional Bayesian Signficance Levels: Econometric Applications, Michael Brimacombe.

Section III. Applications of Bayesian Decision Theory. 

• Multiagent Bayesian Theory and Economic Models of Duopoly, R&D, and Bank Runs, Jauna Sanchez, Joseph B. Kadane and Alberto Candel. 
• A Decision Framework for Asset Acquisition in a Decentralized Firm, Michael Cain and Christian Janssen. 

PART B: Bayesian Methods Applied to Time Series Data

Copyright 1996 by JAI PRESS INC. Greenwich, Connecticut ISBN: 1-55938-974-5 (Part B) ISBN: 1-55938-972-9 (Set)

• Introduction, Thomas B. Fomby and R. Carter Hill.

Section I. Unit Roots and Cointegration. 

• Identification Restrictions and Posterior Densities in Cointegrated Gaussian VAR Systems, Luc Bauwens and Michel Lubrano. 
• Trends and Cycles as Unobserved Components in Macroeconomic Time Series: A Bayesian Perspective, David N. DeJong and Charles Whiteman. 
• A Bayesian Analysis of Unit Root and Cointegration with an Application to a Yen-Dollar Exchange Rate Model, Hiroki Tsurumi and Hajime Wago. 

Section II. Time Series with Structural Breaks. 

• Analyzing Threshold Autoregressions with a Baysesian Approach, Peyton Cook and Lyle D. Broemeling. 
• A Bayesian Search for Structural Breaks in U.S. GNP, David DeJong. 
• Are Interest Rates Responsible for Unemployment in the Eighties? A Bayesian Analysis of Cointegrated Relationship with a Regime Shift, David de la Croix and Michel Lubrano. 
• Forecasting and Assessing Structural Change Using the Bayesian Dynamic Linear Model: The Case of Promotional Campaigns, Andy Pole.

Section III. Applied Time Series Analysis. 

• The Term Structure of Interest Rates: An Empirical Investigation Using Multiprocess Mixture Models, Basma Bekdache. 
• Price and Trading Volume Effects of Introducing Foreign Exchange Futures Options Trading, Robert A. Connolly. 
• A Discrete Model for Bayesian Forecasting with Stable Seasonal Patterns, Enrique de Alba and Manuel Mendoza.