Normalization in Econometrics

DOI10.1080/07474930701220329zbMath1112.62135OpenAlexW2167407616MaRDI QIDQ5292349

Tao Zha, James D. Hamilton, Daniel F. Waggoner

Publication date: 20 June 2007

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/100947

zbMATH Keywords

cointegrationvector autoregressionsmaximum likelihood estimateregime-switchingweak identificationstructural VARmixture distributionslocal identificationsmall sample distributionsnumerical Bayesian methods

Mathematics Subject Classification ID

Related Items (12)

Structural analysis with multivariate autoregressive index models ⋮ Striated Metropolis-Hastings sampler for high-dimensional models ⋮ Methods for inference in large multiple-equation Markov-switching models ⋮ DSGE pileups ⋮ Markov switching quantile autoregression ⋮ Minimal state variable solutions to Markov-switching rational expectations models ⋮ Theory and inference for a Markov switching GARCH model ⋮ \(K\)-state switching models with time-varying transition distributions -- Does loan growth signal stronger effects of variables on inflation? ⋮ Confronting model misspecification in macroeconomics ⋮ Estimation of Markov regime-switching regression models with endogenous switching ⋮ Likelihood preserving normalization in multiple equation models ⋮ Invariant tests based onM-estimators, estimating functions, and the generalized method of moments

Cites Work

• A Gibbs sampler for structural vector autoregressions
• Origins of the limited information maximum likelihood and two-stage least squares estimators
• Bayesian point estimation of the cointegration space
• Statistical analysis of cointegration vectors
• Bayesian reduced rank regression in econometrics
• Likelihood preserving normalization in multiple equation models
• Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration
• Jeffreys prior analysis of the simultaneous equations model in the case with \(n+1\) endogenous variables.
• Bayesian inference for finite mixtures of generalized linear models with random effects
• Bayesian Limited Information Analysis of the Simultaneous Equations Model
• Bayesian Full Information Analysis of Simultaneous Equations
• Wald's Test as Applied to Hypotheses in Logit Analysis
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models
• Instrumental Variables Regression with Weak Instruments
• Dealing With Label Switching in Mixture Models
• Error Bands for Impulse Responses
• Computational and Inferential Difficulties with Mixture Posterior Distributions
• BAYESIAN REFERENCE ANALYSIS OF COINTEGRATION
• Identification of Binary Response Models
• Consistent Estimation with a Large Number of Weak Instruments
• A New Specification Test for the Validity of Instrumental Variables
• Identification in Parametric Models
• ON THE MOMENTS OF ORDER STATISTICS IN SAMPLES FROM NORMAL POPULATIONS
• Unnamed Item
• Unnamed Item

This page was built for publication: Normalization in Econometrics