2000
DOI: 10.1093/acprof:oso/9780198773122.001.0001
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Bayesian Inference in Dynamic Econometric Models

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Cited by 290 publications
(248 citation statements)
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“…The mode and Hessian can be obtained numerically, most easily using a numerical optimizer with sequential updating of the Hessian. 2 Initial values for ϕ and η in the optimization can be taken as the maximum likelihood (ML) 2 We have successfully used Chris Sims' quasi-Newton optimizer with BFGS update of the Hessian (csminwel ) which can be freely downloaded for Matlab or R from http://sims.princeton.edu/yftp/optimize/.…”
Section: Discussionmentioning
confidence: 99%
See 1 more Smart Citation
“…The mode and Hessian can be obtained numerically, most easily using a numerical optimizer with sequential updating of the Hessian. 2 Initial values for ϕ and η in the optimization can be taken as the maximum likelihood (ML) 2 We have successfully used Chris Sims' quasi-Newton optimizer with BFGS update of the Hessian (csminwel ) which can be freely downloaded for Matlab or R from http://sims.princeton.edu/yftp/optimize/.…”
Section: Discussionmentioning
confidence: 99%
“…It is shown that the marginal posterior distribution of the dynamic coefficients has a non-integrable asymptote when the process has a unit root. See Bauwens et al (1999) for a survey of the literature in this area. We argue that the reason for using the mean-adjusted form of the VAR in the first place is that prior information actually is available on the steady state and that the use of a proper informative prior alleviates the mentioned difficulties.…”
Section: Introductionmentioning
confidence: 99%
“…and degrees of freedom (N T ) (see Bauwens et al (2005)). q * (β | g 0 ) is defined equivalently by:…”
Section: B12 Derivation Of Eq(15) and Eq(16)mentioning
confidence: 99%
“…See for example Bauwens, Lubrano, and Richard (1999) for details on numerical integration. At a given confidence level 1 − α, the Value-at-Risk (VaR) of a portfolio with weights w t is defined as follows.…”
Section: And α (≥ 0)mentioning
confidence: 99%