University of Pittsburgh

People

Faculty

Jean-Francois Richard

Distinguished University Professor

Staff Support Person

Georgia Spears
Phone: 412-648-1732
Email: gdspears@pitt.edu

Working Papers

  • Title: Efficient High-Dimensional Importance Sampling (Download)
    (Co)Authors: Wei Zhang
  • Title: Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models (Download)
    (Co)Authors: Roman Liesenfeld

Selected Publications

  • Title: Exogeneity
    Citation: Econometrica, 51, 1983, 277-304.
    (Co)Authors: R.F. Engle and D.F. Hendry
  • Title: The Econometric Analysis of Economic Time Series
    Citation: The International Statistical Review, 51, 1983, 111-163.
    (Co)Authors: D.F. Hendry
  • Title: Bayesian Analysis of Simultaneous Equation Systems
    Citation: The Handbook of Econometrics, Volume 1, (Chapter 9), edited by Z. Griliches and M.D. Intriligator, North Holland, 1983, 519-598.
    (Co)Authors: J. Dreze
  • Title: On the Evaluation of Poly-t Density Functions
    Citation: Journal of Econometrics, 12, 1980, 335-351.
    (Co)Authors: H. Tompa
  • Title: Models with Several Regimes and Changes in Exogeneity
    Citation: Review of Economic Studies, XLVII, 1980, 1-20.
  • Title: Bayesian Analysis of the Regression Model when the Disturbances are Generated by an Autoregressive Process
    Citation: in New Developments in the Applications of Bayesian Methods, (Chapter 11), edited by Aykac, A. and C. Brumat, North Holland, 1977, 185-210.
  • Title: A Note on the Information Matrix of the Multivariate Normal Distribution
    Citation: Journal of Econometrics, 3, 1975, 57-60.
  • Title: Bayesian Inference in Error-in-Variables Models
    Citation: Journal of Multivariate Analysis, 1974, 419-452.
    (Co)Authors: J.P. Florens and M. Mouchart
  • Title: Use of Prior Information in the Analysis and Estimation of Cobb-Douglas Production Function Models
    Citation: International Economic Review, 14(1), 1973, 107-119.
    (Co)Authors: A. Zellner
  • Title: Optimal Pricing and Inventory Decisions for Non-Seasonal Items
    Citation: Econometrica 39(1), 1971, 173-75.
    (Co)Authors: H. Kunreuther
  • Title: Approches Classiques et Bayésienne des Systemes Interdependants
    Citation: Recherches Economiques de Louvain, 3, 1973,327-341.
  • Title: Production Planning over Time: Some Generalizations
    Citation: in Mathematical Programs for Activity Analysis, (Chapter 14), edited by P. Van Moeseke, North Holland, 1974, 181-211.
  • Title: Bayesian Analysis of Simultaneous Equation Models
    Citation: in Theorie de la Decision et Applications, CNIPE Edition, 1975, 15-26.
  • Title: Bayesian Analysis of the Regression Model when the Disturbances are Generated by an Autoregressive Process
    Citation: in New Developments in the Applications of Bayesian Methods, (Chapter 11), edited by Aykac, A. and C. Brumat, North Holland, 1977, 185-210.
  • Title: Can Policy Instruments Be Treated as Exogenous Variables?
    Citation: HIS-Journal, 4, 1980, 123-130.
  • Title: Comments on ``Econometric Disequilibrium Models`` by D. Quandt
    Citation: Econometric Reviews, 1, 1982, 81-87.
  • Title: On the Formulation of Empirical Models in Dynamic Econometrics
    Citation: Journal of Econometrics, 20, 1982, 3-33.
    (Co)Authors: D.F. Hendry
  • Title: Exogeneity, Causality and Structural Invariance in Econometric Modelling
    Citation: in Evaluating the Reliability of Macro-Economic Models, (Chapter 7), edited by G.C. Chow and P. Corsi, Wiley and Sons, 1982, 105-112.
  • Title: The Econometric Analysis of Economic Time Series
    Citation: The International Statistical Review, 51, 1983, 111-163.
    (Co)Authors: D.F. Hendry
  • Title: Comments on `Model Specification Tests Against Non-Nested Alternatives,` by J.G. MacKinnon,
    Citation: Econometric Reviews, 2, 1983, 131-136.
    (Co)Authors: G. Mizon
  • Title: Classical and Bayesian Inference in Incomplete Simultaneous Equation Models
    Citation: in Econometrics and Quantitative Economics, (Chapter 4), edited by D.F. Hendry and K.F. Wallis, Basil Blackwell, 1984, 61-102.
  • Title: A 1-1 Poly-t Random Variable Generator, with Application to Monte Carlo Integration
    Citation: Journal of Econometrics, 29, 1985, 19-46.
    (Co)Authors: L. Bauwens
  • Title: The Encompassing Principle and its Application to Non-Nested Hypotheses
    Citation: Econometrica, 54, 1986, 657-678.
    (Co)Authors: G. Mizon
  • Title: Structural Time Series Modeling: A Bayesian Approach
    Citation: The Journal of Applied Mathematics and Computation, 1986, 365-400.
    (Co)Authors: J.P. Florens and M. Mouchart
  • Title: Exogeneity and Control in Econometric Time Series Modelling
    Citation: in Developments of Control Theory for Economic Analysis, (Chapter 18), edited by C. Carraro and D. Sartore, Martinus Nijhoff, 1986, 327-339.
  • Title: Stability of a UK Money Demand Equation: A Bayesian Approach to Testing Exogeneity
    Citation: The Review of Economic Studies, 53, 1986, 603-634.
    (Co)Authors: M. Lubrano and R.G. Pierse
  • Title: Dynamic Error-in-Variables Models and Limited Information Analysis
    Citation: Annales d Economie et de Statistique, 6/7, 1987, 289-310.
    (Co)Authors: M. Mouchart and J.P. Florens
  • Title: Bayesian Analysis on Systems of Seemingly Unrelated Regression Equations under a Recursive Extended Natural Conjugate Prior Density
    Citation: The Journal of Econometrics, 38, 1988, 7-37.
    (Co)Authors: M. Steel
  • Title: Recent Developments in the Theory of Encompassing
    Citation: in Contributions to Operation Research and Economics, (Chapter 12), edited by B.Cornet and H. Tulkens, MIT Press, 1989.
    (Co)Authors: D.F. Hendry
  • Title: A Dynamic Oligopoly Model with Demand Inertia and Inventories
    Citation: Mathematical Social Sciences, 18, 1989, 1-32.
    (Co)Authors: L. Philips
  • Title: Phantom Bidding against Heterogeneous Bidders
    Citation: Economics Letters, 32, 1990, 13-17.
    (Co)Authors: D.A. Graham and R.C. Marshall
  • Title: Differential Payments within a Bidder Coalition and the Shapley Value
    Citation: The American Economic Review, 80, 1990, 493-510.
    (Co)Authors: D.A. Graham and R.C. Marshall
  • Title: Bayesian Multivariate Exogeneity Analysis: an Application to a UK Money Demand Equation
    Citation: The Journal of Econometrics, 49, 1991, 239-274.
    (Co)Authors: M. Steel
  • Title: The Private Attorney General Meets Public Contract Law: Procurement Oversight by Protest
    Citation: Hofstra Law Review, 20, 1991, 1-71.
    (Co)Authors: with R.C. Marshall and M.J. Meurer
  • Title: Likelihood Evaluation for Dynamic Latent Variables Models
    Citation: in Computational Economics and Econometrics, (Chapter 1) edited by H.M. Amman, D.A. Belsley and C.F. Pau, Kluwer, 1992, 3-17.
    (Co)Authors: D.F. Hendry
  • Title: Posterior Probabilities of the Independence Axiom with Non-experimental Data (or Buckle up and Fan out)
    Citation: The Journal of Business and Economic Statistics, 10, 1992, 31-49.
    (Co)Authors: R.C. Marshall and G.A. Zarkin
  • Title: Incentive-Based Procurement Oversight by Protest
    Citation: in Incentives in Procurement Contracting, edited by J. Leitzel and J. Tirole, Westview Press, 1993.
    (Co)Authors: R.C. Marshall and M.J. Meurer
  • Title: Encompassing in Stationary Linear Dynamic Models
    Citation: The Journal of Econometrics, 63, 1994, 245-270.
    (Co)Authors: B. Govaerts and D.F. Hendry
  • Title: Accelerated Gaussian Importance Sampler with Application to Dynamic Latent Variable Models
    Citation: The Journal of Applied Econometrics, 8, 1993, 153-73.
    (Co)Authors: J. Danielsson
  • Title: Litigation Settlement and Collusion
    Citation: The Quarterly Journal of Economics, 109, 1994, 211-240.
    (Co)Authors: R.C. Marshall and M.F. Meurer
  • Title: Curbing Agency Problems in the Procurement Process by Protest Oversight
    Citation: The RAND Journal of Economics, 25, 1994, 297-318.
    (Co)Authors: R.C. Marshall and M.J. Meurer
  • Title: Numerical Analysis of Asymmetric First Price Auctions
    Citation: Games and Economic Behavior, 7, 1994, 193-220.
    (Co)Authors: R.C. Marshall, M.J. Meurer and W. Stromquist
  • Title: Multiple Litigants with a Public Good Remedy
    Citation: Research in Law and Economics, 16, 1994, 151-173.
    (Co)Authors: R.C. Marshall and M.J. Meurer
  • Title: Discussion of `Bayesian Model Selection and Prediction with Empirical Applications` by P. Phillips
    Citation: The Journal of Econometrics, 1995, 337-349.
  • Title: Simulation Techniques
    Citation: in The Econometrics of Panel Data: Handbook of Theory and Application (chapter 23), edited by L. Matyas and P. Sevestre (2nd edition), Kluwer, Boston, 1996.
  • Title: Encompassing and Specificity
    Citation: The Journal of Econometric Theory, 12, 1996, 620-56.
    (Co)Authors: J.P. Florens and D.F. Hendry
  • Title: Revenue Effects and Information Processing in English Common Value Auctions
    Citation: The American Economic Review, 86, 1996, 442-60.
    (Co)Authors: J.H. Kagel and D. Levin
  • Title: Encompassing in Regression Models: Parametric and Nonparametric Procedures
    Citation: in Progressive Modelling: Readings on Encompassing, edited by G. Mizon, Oxford University Press, 1996.
    (Co)Authors: C. Bontempts and J. P. Florens
  • Title: Liftlining
    Citation: in Advances in Applied Microeconomics (vol. 6) edited by M. R. Baye, JAI Press Greenwich, 1996.
    (Co)Authors: D. A. Graham and R. C. Marshall
  • Title: Bidder Collusion at Forest Service Timber Sales
    Citation: Journal of Political Economy, 4, 1997,657-699.
    (Co)Authors: L.H. Baldwin and R.C. Marshall
  • Title: Econometric Modelling of UK House Prices Using Accelerated Importance Sampling
    Citation: The Oxford Bulletin of Economics and Statistics, 58, 1996, 601-13.
    (Co)Authors: W. Zhang
  • Title: Game Theory Econometric Models: Application to Procurements in the Space Industry
    Citation: The European Economic Review, 41, 1997, 951-959.
    (Co)Authors: J.P. Florens and M.A. Hugo
  • Title: Accelerated Monte Carlo Integration: An Application to Dynamic Latent Variables Models
    Citation: Chapter 2 in Simulation-Based Inference in Econometrics: Methods and Applications, edited by R. Mariano, M. Weeks and T. Schuermann, Cambridge University Press, 1999.
    (Co)Authors: W. Zhang
  • Title: Empirical Game Theoretic Models: Computational Issues
    Citation: Computational Economics, 15, 2000, 3-24.
    (Co)Authors: O. Armantier
  • Title: Super-Experienced Bidders in First-Price Common Value Auctions: Rules of Thumb, Nash Equilibrium Bidding and the Winner`s Curse
    Citation: The Review of Economics and Statistics, 83, 2001, 408-19.
    (Co)Authors: J. Kagel
  • Title: Economic Development, Legality, and the Transplant Effect
    Citation: European Economic Review, 47, 2003, 165-95.
    (Co)Authors: D. Berkowitz and K. Pistor
  • Title: Estimation of Dynamic Bivariate Mixture Models: Comment on Watanabe (2000)
    Citation: The Journal of Business and Economic Statistics, 21, 2003, 570-576.
    (Co)Authors: R. Liesenfeld
  • Title: Monte Carlo Methods and Bayesian Computation: Importance Sampling
    Citation: Encyclopedia of the Social and Behavioral Sciences, Elsevier Science Ltd., 2003.
    (Co)Authors: R. Liesenfeld
  • Title: Univariate and Multivariate Stochastic Volatility Models: Estimation and Diagnostics
    Citation: The Journal of Empirical Finance, 10, 2003, 505-531.
    (Co)Authors: R. Liesenfeld
  • Title: The Transplant Effect
    Citation: The American Journal of Comparative Law, LI, 2003, 163-204.
    (Co)Authors: D. Berkowitz and K. Pistor
  • Title: A Non-Linear Forecasting Model of GDP Growth
    Citation: The Review of Economics and Statistics, 87, 2005, 697-708.
    (Co)Authors: D. DeJong and R. Liesenfeld
  • Title: Timing Structural Change: A Conditional Probabilistic Approach
    Citation: The Journal of Applied Econometrics, 21, 2006, 175-190.
    (Co)Authors: D. DeJong and R. Liesenfeld
  • Title: Simulation Techniques for Panels: Efficient Importance Sampling
    Citation: Forthcoming in The Econometrics of Panel Data: Fundamentals and Recent Developments in Theory and Practice. (Chapter 12), edited by L. Matyas and P. Sevestre (3rd edition), Kluwer, Boston, in press, 2006.
  • Title: The Impact of Delivery Synergies on Bidding in the Georgia School Milk Market
    Citation: Berkeley Electronic Journal of Economic Analysis & Policy, 6, 2006.
    (Co)Authors: R. C. Marshall, M. E. Raiff, and S. P. Schulenberg

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