Bayesian econometrics

Factor models and spatial models

Spatial models

Factor models
Reference list
R code
More R code

A few references

  • · Aguilar, O. and West, M. (2000) Bayesian dynamic factor models and variance matrix discounting for portfolio allocation, Journal of Business and Economic Statistics, 18, 338-357.
  • · Banerjee, Carlin and Gelfand(2004) Hierarchical Modeling and analysis of Spatial Data, Chapman& Hall CRC.
  • · Bartholomew, D. J. (1981) Posterior analysis of the factor model, The British Journal of Mathematical and Statistical Psychology, 34, 93-99.
  • · Bartholomew, D. J. (1987) Latent Variable Models and Factor Analysis, London: Charles Griffin.
  • · Besag, York and Mollie(1991) Bayesian image restoration, with two applications in spatial statistics (with discussion). Annals of the Institute of Statistical Mathematics, 43, 1-59.
  • · Gamerman and Moreira (2004 Multivariate spatial regression models. Journal of Multivariate Analysis, 91, 262-81.
  • · Gamerman, Moreira and Rue (2003) Space-varying regression models: specifications and simulation. Computational Statistics and Data Analysis, 42, 513-33.
  • · Gelfand, Banerjee and Gamerman (2005) Spatial process modeling for univariate and multivariate dynamic spatial data. Environmetrics, 16, 465-79
  • · Gelfand, Kim, Sirmans and Banerjee (2003) Spatial modeling with spatially varying coefficient processes. Journal of the American Statistical Association, 98, 387-96.
  • · Geweke, J. F. and Singleton, K. J. (1980) Interpreting the likelihood ratio statistic in factor models when sample size is small, Journal of the American Statistical Association, 75, 133-137.
  • · Geweke, J. F. and Zhou, G. (1996) Measuring the pricing error of the arbitrage pricing theory, The Review of Financial Studies, 9, 557-587.
  • · Higdon and Besag (1999) Bayesian analysis of agricultural field experiments. Journal of the Royal Statistical Society, Series B, 61, 691-746.
  • · Ihara, M. and Kano, Y. (1995) Identifiability of full, marginal, and conditional factor analysis model, Statistics and Probability Letters, 23, 343-50.
  • · Knorr-Held and Rue (2002) On block updating in Markov random field models for disease mapping. Scandinavian Journal of Statistics, 29, 597-614.
  • · Koop and Potter (2004) Forecasting in dynamic factor models using Bayesian model averaging, Econometrics Journal, 7, 550-565.
  • · Lopes (2000) Bayesian Analysis in Latent Factor and Longitudinal Model
  • · Lopes, H. F. and Carvalho, C. M. (2007) Factor stochastic volatility with time varying loadings and Markov switching regimes, Journal of Statistical Planning and Inference, 137, 3082-3091.
  • · Lopes, H. F. and West, M. (2004) Bayesian model assessment in factor analysis, Statistica Sinica, 14, 41-67.
  • · Lopes, H. F., Salazar, E. and Gamerman, D. (2007) Spatial dynamic factor models, Technical Report.Graduate School of Business, University of Chicago.
  • · Martin, J. L. and McDonald, R. P. (1975) Bayesian estimation in unrestricted factor analysis: A treatment for Heywood cases, Psychometrika, 40, 505-517.
  • · Pitt, M. K. and Shephard, N. (1999) Time varying covariances: A factor stochastic volatility approach, In Bayesian statistics 6 (ed. J.M. Bernardo et al). London: Oxford University Press.
  • · Press, S. J. (1982) Applied Multivariate Analysis: Using Bayesian and Frequentist Methods of Inference (2nd edition).New York: Krieger.
  • · Press, S. J. and Shigemasu, K. (1989) Bayesian inference in factor analysis. In ASA Proceedings of Social Statistics Section, 292-294.
  • · West, M. (2003) Bayesian factor regression models in the “large p, small n” paradigm”, in Bayesian Statistics7, 723-732.