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2024 Journal Article Multivariate stochastic volatility with co-heteroscedasticityChan, Joshua, Doucet, Arnaud, Leon-Gonzalez, Roberto and Strachan, Rodney W. (2024). Multivariate stochastic volatility with co-heteroscedasticity. Studies in Nonlinear Dynamics and Econometrics. doi: 10.1515/snde-2023-0056 |
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2020 Journal Article Bayesian state space models in macroeconometricsChan, Joshua C.C. and Strachan, Rodney W. (2020). Bayesian state space models in macroeconometrics. Journal of Economic Surveys, 37 (1), 58-75. doi: 10.1111/joes.12405 |
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2020 Journal Article Constrained interest rates and changing dynamics at the zero lower boundBäurle, Gregor, Kaufmann, Daniel, Kaufmann, Sylvia and Strachan, Rodney (2020). Constrained interest rates and changing dynamics at the zero lower bound. Studies in Nonlinear Dynamics and Econometrics, 24 (2), 685-720. doi: 10.1515/snde-2017-0098 |
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2020 Journal Article Reducing the state space dimension in a large TVP-VARChan, Joshua C.C., Eisenstat, Eric and Strachan, Rodney W. (2020). Reducing the state space dimension in a large TVP-VAR. Journal of Econometrics, 218 (1), 105-118. doi: 10.1016/j.jeconom.2019.11.006 |
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2018 Journal Article Invariant inference and efficient computation in the static factor modelChan, Joshua, Leon-Gonzalez, Roberto and Strachan, Rodney W. (2018). Invariant inference and efficient computation in the static factor model. Journal of the American Statistical Association, 113 (522), 819-828. doi: 10.1080/01621459.2017.1287080 |
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2015 Journal Article Modelling inflation volatilityEisenstat, Eric and Strachan, Rodney W. (2015). Modelling inflation volatility. Journal of Applied Econometrics, 31 (5), 805-820. doi: 10.1002/jae.2469 |
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2013 Journal Article Evidence on features of a DSGE business cycle model from Bayesian model averagingStrachan, Rodney W. and Van Dijk, Herman K. (2013). Evidence on features of a DSGE business cycle model from Bayesian model averaging. International Economic Review, 54 (1), 385-402. doi: 10.1111/j.1468-2354.2012.00737.x |
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2013 Journal Article Stochastic search variable selection in vector error correction models with an application to a model of the UK macroeconomyJochmann, Marcus, Koop, Gary, Leon-Gonzalez, Roberto and Strachan, Rodney W. (2013). Stochastic search variable selection in vector error correction models with an application to a model of the UK macroeconomy. Journal of Applied Econometrics, 28 (1), 62-81. doi: 10.1002/jae.1238 |
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2012 Journal Article Bayesian model averaging in the instrumental variable regression modelKoop, Gary, Leon-Gonzalez, Roberto and Strachan, Rodney (2012). Bayesian model averaging in the instrumental variable regression model. Journal of Econometrics, 171 (2), 237-250. doi: 10.1016/j.jeconom.2012.06.005 |
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2012 Journal Article Time varying dimension modelsChan, Joshua C. C., Koop, Gary, Leon-Gonzalez, Roberto and Strachan, Rodney W. (2012). Time varying dimension models. Journal of Business and Economic Statistics, 30 (3), 358-367. doi: 10.1080/07350015.2012.663258 |
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2011 Journal Article Bayesian inference in the time varying cointegration modelKoop, Gary, Leon-Gonzalez, Roberto and Strachan, Rodney. W. (2011). Bayesian inference in the time varying cointegration model. Journal of Econometrics, 165 (2), 210-220. doi: 10.1016/j.jeconom.2011.07.007 |
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2010 Journal Article Dynamic probabilities of restrictions in state space models: An application to the Phillips curveKoop, Gary, Leon-Gonzalez, Roberto and Strachan, Rodney W. (2010). Dynamic probabilities of restrictions in state space models: An application to the Phillips curve. Journal of Business and Economic Statistics, 28 (3), 370-379. doi: 10.1198/jbes.2009.07335 |
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2009 Journal Article On the evolution of the monetary policy transmission mechanismKoop, Gary, Leon-Gonzalez, Roberto and Strachan, Rodney W. (2009). On the evolution of the monetary policy transmission mechanism. Journal of Economic Dynamics and Control, 33 (4), 997-1017. doi: 10.1016/j.jedc.2008.11.003 |
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2008 Journal Article Re-examining the consumption-wealth relationship: The role of model uncertaintyKoop, G., Potter, S.M. and Strachan, R.W. (2008). Re-examining the consumption-wealth relationship: The role of model uncertainty. Journal of Money, Credit and Banking, 40 (2-3), 341-367. doi: 10.1111/j.1538-4616.2008.00116.x |
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2004 Journal Article Bayesian analysis of the error correction modelStrachan, RW and Inder, B (2004). Bayesian analysis of the error correction model. Journal of Econometrics, 123 (2), 307-325. doi: 10.1016/j.jeconom.2003.12.004 |
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2003 Journal Article Valid Bayesian estimation of the cointegrating error correction modelStrachan, R. W. (2003). Valid Bayesian estimation of the cointegrating error correction model. Journal of Business & Economic Statistics, 21 (1), 185-195. doi: 10.1198/073500102288618883 |
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2016 Journal Article Stochastic model specification search for time-varying parameter VARsEisenstat, Eric, Chan, Joshua C. C. and Strachan, Rodney W. (2016). Stochastic model specification search for time-varying parameter VARs. Econometric Reviews, 35 (8-10), 1-28. doi: 10.1080/07474938.2015.1092808 |
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2010 Journal Article False posteriors for the long-term growth determinantsCharemza, Wojciech W., Strachan, Rodney and Żurawski, Piotr (2010). False posteriors for the long-term growth determinants. Economics Letters, 109 (3), 144-146. doi: 10.1016/j.econlet.2010.08.026 |
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2010 Journal Article Bayesian forecasting using stochastic search variable selection in a VAR subject to breaksJochmann, Markus., Koop, Gary. and Strachan, Rodney W. (2010). Bayesian forecasting using stochastic search variable selection in a VAR subject to breaks. International Journal of Forecasting, 26 (2), 326-347. doi: 10.1016/j.ijforecast.2009.11.002 |
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2010 Journal Article Efficient posterior simulation for cointegrated models with priors on the cointegration spaceKoop, Gary, Leon-Gonzalez, Roberto and Strachan, Rodney W. (2010). Efficient posterior simulation for cointegrated models with priors on the cointegration space. Econometric Reviews, 29 (2), 224-242. doi: 10.1080/07474930903382208 |
