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Bayesian Analysis of Stochastic Volatility Models
- E. Jacquier, Nicholas G. Polson, Peter E. Rossi
- Mathematics
- 1 October 1994
New techniques for the analysis of stochastic volatility models in which the logarithm of conditional variance follows an autoregressive model are developed. A cyclic Metropolis algorithm is used to…
Bayesian Statistics and Marketing
- Peter E. Rossi, Greg M. Allenby
- Business
- 9 December 2005
TLDR
Plausibly Exogenous
- Timothy G. Conley, C. Hansen, Peter E. Rossi
- EconomicsReview of Economics and Statistics
- 1 February 2012
Abstract Instrumental variable (IV) methods are widely used to identify causal effects in models with endogenous explanatory variables. Often the instrument exclusion restriction that underlies the…
Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
- E. Jacquier, Nicholas G. Polson, Peter E. Rossi
- Economics
- 1 September 2004
Optimal Taxation in Models of Endogenous Growth
- L. Jones, R. Manuelli, Peter E. Rossi
- EconomicsJournal of Political Economy
- 1 June 1993
We study the problem of optimal taxation in three infinite-horizon, representative-agent endogenous growth models. The first model is a convex model in which physical and human capital are perfectly…
Marketing models of consumer heterogeneity
- Greg M. Allenby, Peter E. Rossi
- Business, Economics
- 26 November 1998
An exact likelihood analysis of the multinomial probit model
- R. McCulloch, Peter E. Rossi
- Mathematics
- 1 September 1994
The Value of Purchase History Data in Target Marketing
- Peter E. Rossi, R. McCulloch, Greg M. Allenby
- Economics
- 1 November 1996
An important aspect of marketing practice is the targeting of consumer segments for differential promotional activity. The premise of this activity is that there exist distinct segments of…
Why Don't Prices Rise During Periods of Peak Demand? Evidence from Scanner Data
- Peter E. Rossi, J. Chevalier, A. Kashyap
- Economics
- 1 July 2002
We examine retail and wholesale prices for a large supermarket chain over seven and one-half years. We find that prices fall on average during seasonal demand peaks for a product, largely due to…
Do Switching Costs Make Markets Less Competitive?
- Jean-Pierre Dubé, Günter J. Hitsch, Peter E. Rossi
- Economics, Business
- 1 August 2009
The conventional wisdom in economic theory holds that switching costs make markets less competitive. This article challenges this claim. The authors formulate an empirically realistic model of…
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