Papers in progress

State Space Models

Multivariate stochastic volatility using the HESSIAN method (with Shirley Miller and Denis Pelletier)

Dynamic factor models with stochastic volatility

A flexible stochastic conditional duration model (with Samuel Gingras)

Joint sampling of states and parameters in state space models (with Samuel Gingras)

On the unconditional distribution of time-varying parameters

Random Choice Models

Testing axioms of stochastic discrete choice using population choice probabilities (with Tony Marley and Clint Davis-Stober)

An illustrated guide to context effects (with Tony Marley, Clint Davis-Stober and Brandon Turner)

On the multiplicative inequality (with Tony Marley)

A new experiment for population choice probabilities (with Charlie Gerringer, YouGov)

RanCh: A package for abstract discrete Random Choice analysis

A data archive for context effects (with Hope Snyder and Clint Davis-Stober)

Journal articles (reverse order of publication)

Testing the random utility hypothesis directly Economic Journal, forthcoming.
(with Clintin Davis-Stober, A. A. J. Marley, Sanghyuk Park and Nicholas Brown)

The HESSIAN method for models with leverage-like effects Journal of Financial Econometrics, 2015, 13, 722-755.
(with Gbowan B. Djegnéné)

Bayesian inference and model comparison for random choice structures Journal of Mathematical Psychology, 2014, 62-6, 33-46.
(with A.A.J. Marley)

Prior Distributions for Random Choice Structures Journal of Mathematical Psychology, 2013, 57, 78-93.
(with A.A.J. Marley)

The HESSIAN Method (Highly Efficient State Smoothing, In A Nutshell) Journal of Econometrics, 2012, 168, 189-206.

Simulation smoothing for state-space models: A computational efficiency analysis Computational Statistics and Data Analysis, 2011, 55, 199-212.
(with Shirley Miller and Denis Pelletier)

Random Consumer Demand Economica, 2009, 76, 89-107.

On Bayesian Analysis and Computation for Functions with Monotonicity and Curvature Restrictions Journal of Econometrics, 2008, 142, 484-507.

Time Reversibility of Stationary Regular Finite State Markov Chains Journal of Econometrics, 2007, 136, 303-318.

Using the BACC Software for Bayesian Inference Computational Economics, 2004, 23, 201-218.

Bayesian Specification Analysis in Econometrics American Journal of Agricultural Economics, 2001, 83, 1181-1186. (with John Geweke)

Other publications

Economic Modeling and Inference, by Bent Jesper Christensen and Nicholas M. Kiefer International Review of Economics and Finance, 2010, 19, 793-794. (book review)

Discussion on the Paper by Rue, Martino and Chopin Journal of the Royal Statistical Society: Series B, 2009, 71, 375-375.

Bayesian Inference on Time-Varying Proportions, in S. Chib, W. Griffiths, G. Koop and D. Terrell (eds.), Advances in Econometrics, Volume 23: Bayesian Econometric Methods. Bingley, UK: Emerald Books, 2008, 525-544.
(with Brahim Lgui)

Using Simulation Methods for Bayesian Econometric Models in David E. A. Giles (ed.), Computer-Aided Econometrics. New York: Marcel Dekker, 2003, 209-261. (with John Geweke and John J. Stevens)

Embedding Bayesian Tools in Mathematical Software Proceedings of the International Society for Bayesian Analysis (ISBA), 2000, 165-173. (with John Geweke)

Unpublished research

The Ghost in the Machine: Inferring Machine-Based Strategies from Observed Behavior (with Jim Engle-Warnick and John Miller)