Jacek Osiewalski
Fellow of Journal of Econometrics

 



last updated:
December 9, 2018

Papers in English

Articles in international journals:

1. "A note on Bayesian inference in a regression model with elliptical errors"
  Journal of Econometrics 48 (1991), 183 193.

2. "Posterior inference on the degrees of freedom parameter
  in multivariate t regression models"
  joint paper with S.Chib and M.F.J.Steel,
  Economics Letters 37 (1991), 391 397.

3. "A Bayesian note on competing correlation structures
  in the dynamic linear regression model"
  joint paper with M.F.J.Steel,
  Economics Letters 40 (1992), 383 388.

4. "Robust Bayesian inference in elliptical regression models"
  joint paper with M.F.J.Steel,
  Journal of Econometrics 57 (1993), 345 363.

5. "Bayesian marginal equivalence of elliptical regression models"
  joint paper with M.F.J.Steel,
  Journal of Econometrics 59 (1993), 391 403.

6. "Robust Bayesian inference in lq spherical models"
  joint paper with M.F.J.Steel,
  Biometrika 80 (1993), 456 460.

7. "Regression models under competing covariance matrices:
  A Bayesian perspective"
  joint paper with M.F.J.Steel,
  Annales d'Économie et de Statistique No.32 (1993), 65 79.

8. "Stochastic frontier models: A Bayesian perspective"
  joint paper with J.van den Broeck, G.Koop and M.F.J.Steel,
  Journal of Econometrics 61 (1994), 273 303.

9. "Bayesian efficiency analysis with a flexible form: The AIM cost function"
  joint paper with G.Koop and M.F.J.Steel,
  Journal of Business and Economic Statistics 12 (1994), 339 346.

10. "The continuous multivariate location scale model revisited:
  A tale of robustness"
  joint paper with C.Fernández and M.F.J.Steel,
  Biometrika 81 (1994), 588 594.

11. "Posterior inference on long run impulse responses"
  joint paper with G.Koop and M.F.J.Steel,
  Journal of Business and Economic Statistics 12 (1994), 489-492.

12. "Bayesian long run prediction in time series models"
  joint paper with G.Koop and M.F.J.Steel,
  Journal of Econometrics 69 (1995), 61-80.

13. "Posterior analysis of stochastic frontier models using Gibbs sampling"
  joint paper with G.Koop and M.F.J.Steel,
  Computational Statistics 10 (1995), 353-373.

14. "Modelling and inference with v-spherical distributions"
  joint paper with C.Fernández and M.F.J.Steel
  Journal of the American Statistical Association 90 (1995), 1331-1340.

15. "A Bayesian analysis of exogeneity in models pooling time series
  and cross section data"
  joint paper with M.F.J.Steel,
  Journal of Statistical Planning and Inference 50 (1996), 187-206.

16. "Bayesian efficiency analysis through individual effects:
  Hospital cost frontiers"
  joint paper with G.Koop and M.F.J.Steel,
  Journal of Econometrics 76 (1997), 77-105.

17. "Bayesian analysis of long memory and persistence using ARFIMA models"
  joint paper with G.Koop, E.Ley and M.F.J.Steel,
  Journal of Econometrics 76 (1997), 149-169.

18. "On the use of panel data in stochastic frontier models with improper priors"
  with C.Fernández and M.F.J.Steel,
  Journal of Econometrics 79 (1997), 169-193.

19. "The price-wage mechanism in Poland: an endogenous switching model"
  with A.Welfe
  Economics of Planning 30 (1997), 205-220.

20. "Classical and Bayesian inference robustness in multivariate regression models"
  joint paper with C.Fernández and M.F.J.Steel
  Journal of the American Statistical Association 92 (1997), 1434-1444.

21. "The price-wage mechanism: an endogenous switching model"
  with A.Welfe
  European Economic Review 42 (1998), 365-374.

22. "Numerical tools for the Bayesian analysis of stochastic frontier models"
  with M.F.J.Steel
  Journal of Productivity Analysis 10 (1998), 103-117.

23. "Bayesian analysis of nonlinear regressions with equicorrelated eliptical errors"
Test 8 (1999), 339-344.

24. "The components of the output growth: A stochasttic frontier analysis"
with G.Koop, M.F.J.Steel
Oxford Bulletin of Economics and Statistics 61 (1999), 455-487.

25. "Measuring the sources of output growth in a panel of countries"
with G.Koop, M.F.J.Steel
 Journal of Business and Economic Statistics 18 (2000), 284-299.

26. "A stochastic frontier analysis of output level and growth in Poland and Western economies"
with G.Koop, M.F.J.Steel
 Economics of Planning 33 (2000), 185-202.

27. "Robust Bayesian inference on scale parameters"
with C.Fernández, M.F.J.Steel
 Journal of Multivariate Analysis 77 (2001), 54-72.

28. "Bayesian comparison of bivariate ARCH-type models for the main exchange rates in Poland"
with M. Pipień
 Journal of Econometrics 123 (2004), 371-391.

29. "Bayesian analysis for hybrid MSF–SBEKK models of multivariate volatility"
with A. Pajor
 Central European Journal of Economic Modelling and Econometrics 1 (2009), 179-202.
[Full text available at the journal website.]

30. "Bayesian Value-at-Risk for a portfolio: multi- and univariate approaches using MSF–SBEKK models"
with A. Pajor
 Central European Journal of Economic Modelling and Econometrics 2 (2010), 253-277.
[Full text available at the journal website.]

31. "Bayesian variations on the Frish - Waugh theme"
 Central European Journal of Economic Modelling and Econometrics 3 (2011), 39-47.
[Full text available at the journal website.]

32. "Bayesian Value-at-Risk and Expected Shortfall for a large portfolio (multi- and univariate approaches)"
with A. Pajor
 Acta Physica Polonica A 121 (2012), B101-B109.
[Full text available at the journal website.]

33. "Missing observations in daily returns – Bayesian inference within the MSF-SBEKK model"
with K. Osiewalski
 Central European Journal of Economic Modelling and Econometrics 4 (2012), 169-197.
[Full text available at the journal website.]

34. "A Long-Run Relationship between Daily Prices on Two Markets: The Bayesian VAR(2)-MSF-SBEKK Model"
with K. Osiewalski
 Central European Journal of Economic Modelling and Econometrics 5 (2013), 65-83.
[Full text available at the journal website.]

35. "A note on Lenk’s correction of the harmonic mean estimator"
with A. Pajor
 Central European Journal of Economic Modelling and Econometrics 5 (2013), 271-275; correction: vol. 6 no. 1 (2014).
[Full text available at the journal website.]

36. "Hybrid MSV-MGARCH models – general remarks and the GMSF-SBEKK specification"
with K. Osiewalski
 Central European Journal of Economic Modelling and Econometrics 8 (2016), 241-271.
[Full text available at the journal website.]

37. "Cost efficiency analysis of electricity distribution sector under model uncertainty"
with K. Makieła
 The Energy Journal 39 (2018), no 4, pp. 31-56.

38. "Joint modelling of two count variables when one of them can be degenerate"
with J. Marzec
 Computational Statistics (2019), forthcoming.

39. "Bayesian comparison of production function based and time series GDP Models"
with J.Wróblewska and K. Makieła
 Empirical Economics (2019, forthcoming), full text available here.


Publications in books:

1. "Posterior moments of scale parameters in elliptical regression models"
  joint paper with M.F.J.Steel,
  Chapter 27 in: Bayesian Analysis in Statistics and Econometrics: Essays in Honor of Arnold Zellner (editors: D.A.Berry, K.M.Chaloner and J.K.Geweke), J.Wiley, New York 1996 (pp.323-335).

2. "Bayesian comparison of bivariate GARCH processes. The role of the conditional mean specification"
 with M. Pipień
 Chapter 7 in: New Directions in Macromodelling (ed.: A.Welfe), Elsevier, Amsterdam 2004, pp.173-196.

Publications in conference proceedings:

1. "Bayesian analysis of some one equation nonlinear models with
  complicated stochastic structure"
  paper for the Third International Conference on Multivariate
  Statistical Analysis (WAS`85), 19 21 November 1985, £ódź, Poland;
  Acta Universitatis Lodziensis Folia Oeconomica 113 (1991), 133 141.

2. "Bayesian prediction in the regression model with nonspherical disturbances"
  paper for the Fifth International Conference on Multivariate
  Statistical Analysis (WAS`87), 22 23 October 1987, £ódź, Poland;
  Acta Universitatis Lodziensis Folia Oeconomica 113 (1991), 143 159.

3. "Centered and noncentered variance inflation factors for the OLS estimator of a linear function and for the OLS prediction error"
  paper for the Sixth International Conference on Multivariate
  Statistical Analysis (WAS`88), 20 21 October 1988, £ódź, Poland;
  Acta Universitatis Lodziensis Folia Oeconomica 123 (1992), 97 108.

4. "Bayesian inference on impulse responses"
  joint paper with G.Koop and M.F.J.Steel,
  American Statistical Association: 1993 Proceedings of the Section on Bayesian
  Statistical Science, ASA, Alexandria 1993, 214 222.

5. "Marginal equivalence in v spherical models"
  joint paper with C.Fernandez and M.F.J.Steel,
  CentER Discussion Paper 9374, Tilburg University, Tilburg 1993;
  XI Seminarium Ekonometryczne im. Profesora Zbigniewa Pawłowskiego
  (ed. by A.Zeliaś), Cracow Academy of Economics, Kraków 1994 (pp.44 58).

6. "Modeling the sources of output growth in a panel of countries: A Bayesian Methodological Framework"
  with G.Koop, M.F.J.Steel,
  American Statistical Association: 1997 Proceedings of the Business and Economic Statistics Section, ASA, Alexandria 1997, 8-17.

7. "Bayesian analysis of cost efficiency with an application to bank branches"
  with J.Marzec,
 Global Tendencies and Changes in European Banking (E. Miklaszewska, ed.), Uniwersytet Jagielloński, Kraków 1998 (pp.151-166).

8. "Bayesian forecasting of exchange rates using GARCH models with skewed t conditional distributions"
with M. Pipień
MACROMODELS'98 (Jurata, Dec. 3-5, 1998), conference proceedings edited by W.Welfe, Univeristy of Lodz, 195-218.

9. "GARCH-in-Mean through skewed t conditional distributions: Bayesian inference for exchange rates"
with M. Pipień
MACROMODELS'99 - Conference Proceedings, 354-369 (Absolwent, Łódź 2000).

10. "Multivariate t-GARCH models - Bayesian analysis for exchange rates"
with M. Pipień
MACROMODELS 2000 - Conference Proceedings, 128-148 (Absolwent, Łódź 2001).
Modelling Economies in Transition - Proceedings of the Sixth AMFET Conference, 151-167 (Absolwent, Łódź 2002).

11. "Bayesian analysis of dynamic conditional correlation using bivariate GARCH models"
with M. Pipień
Acta Universitatis Lodziensis - Folia Oeconomica vol. 192, 213-227 (2005).

12. "Measuring cost efficiency of public and academic libraries in Poland – a methodological perspective and empirical experience"
with A. Osiewalska
a) Proceedings of the 25th Annual IATUL Conference vol.14 (New Series), 2004, ”Library Management in Changing Environment”, International Association of Technical University Libraries and The Library of Cracow University of Technology, Kraków, 31.05.-3.06.2004.
b) Zarządzanie procesami rynkowymi (ed. by D.Fatuła), Krakowska Szkoła Wyższa im. Andrzeja Frycza Modrzewskiego i Oficyna Wydawnicza AFM, Kraków 2005 (s.287-302).

13. "Bayes factors for bivariate GARCH and SV models"
with A. Pajor, M. Pipień,
Financial Markets - Principles of Modeling, Forecasting and Decision-Making (FindEcon Monograph Series, Number 2, ed. by W. Milo and P. Wdowiński), Łódź University Press, Łódź 2006 (15-35).

14. "Comparing models and posterior inferences in the case of bivariate GARCH and SV structures for exchange rates"
with A. Pajor, M. Pipień,
MACROMODELS’2005, Proceedings of the 32nd International Conference (ed. by W. Welfe and A. Welfe), Łódź 2006 (203-227).

15. "Flexibility and parsimony in multivariate financial modelling: a hybrid bivariate DCC–SV model"
with A. Pajor
Financial Markets - Principles of Modeling, Forecasting and Decision-Making (FindEcon Monograph Series No. 3, ed. by W. Milo and P. Wdowiński), Łódź University Press, Łódź 2007 (11-26).

16. "Bayesian comparison of bivariate GARCH, SV and hybrid models"
with A. Pajor, M. Pipień,
MACROMODELS’2006, Proceedings of the 33rd International Conference (ed. by W. Welfe and A. Welfe), Łódź 2007 (247-277).

17. "Economies of scope or specialisation in Polish dairy farms – an application of a new local measure"
with J. Marzec, A. Pisulewski,
The 11th Professor Aleksander Zeliaś International Conference on Modelling and Forecasting of Socio-Economic Phenomena – Conference Proceedings, 2017 (241-250).

18. "A bivariate model of the number of children and the age at first birth"
with B. Osiewalska,
The 11th Professor Aleksander Zeliaś International Conference on Modelling and Forecasting of Socio-Economic Phenomena – Conference Proceedings, 2017 (261-269).

19. "A hybrid MSV-MGARCH generalisation of the t-MGARCH model"
with A. Pajor,
The 12th Professor Aleksander Zeliaś International Conference on Modelling and Forecasting of Socio-Economic Phenomena – Conference Proceedings, 2018 (345-354).

 
 
 

Unpublished Discussion Papers

1. "Posterior and predictive densities for nonlinear regression. A partly linear model case"
  Department of Economics Research Memorandum 333, Tilburg University, Tilburg 1988.

2. "Semi-conjugate prior densities in multivariate t regression models"
  with M.F.J.Steel,
  CentER Discussion Paper 9007, Tilburg University, Tilburg 1990;
  CORE Discussion Paper 9018, Université Catholique de Louvain, Louvain-la-Neuve 1990.

3. "Subjective probability distributions in Bayesian estimation of all-excess-demand models"
  with M.Szreder,
  Discussion Papers in Economics 92/7, University of Leicester, Leicester 1992.

4. "Bayesian efficiency analysis with a flexible cost function"
  with G.Koop, M.F.J.Steel,
  Universidad Carlos III de Madrid Working Paper 93-06, Madrid 1993;
  Tinbergen Institute Discussion Paper 93-159, Amsterdam-Rotterdam 1993.

5. "Hospital efficiency analysis through individual effects: A Bayesian approach"
  with G.Koop, M.F.J.Steel,
  CentER Discussion Paper 9447, Tilburg University, Tilburg 1994.

6. "Inference robustness in multivariate models with a scale parameter"
  with C.Fernández, M.F.J.Steel,
  CentER Discussion Paper 9525, Tilburg University, Tilburg 1995;
  CORE Discussion Paper 9530, Université Catholique de Louvain, Louvain-la-Neuve 1995.

7. "Robust Bayesian inference on scale parameters"
  with C.Fernández, M.F.J.Steel,
  CentER Discussion Paper 9665, Tilburg University, Tilburg 1996.

8. "A stochastic frontier analysis of output level and growth in Poland and Western economies"
  with G.Koop, M.F.J.Steel,
  CentER Discussion Paper 9785, Tilburg University, Tilburg 1997.
 

Articles in Polish scientific journals:

1. "On Stationarity of ARMA Processes"
with M. Pipień
Przegląd Statystyczny 46 (1999) 43-50.

2. "Multivariate Chesbyschev inequality based of a new definition of moments of a random vector"
with J. Tatar
Przegląd Statystyczny 46 (1999) 257-260.

3. "A short-run price-wage nexus: An application of endogenous switching"
with A. Welfe
Przegląd Statystyczny 46 (1999) 435-440.

4. "On the use of the consumption efficiency index in empirical demand studies"
Przegląd Statystyczny 47 (2000) 23-33.

5. "Bayesian analysis and option pricing in univariate GARCH models with asymmetries and GARCH-in-Mean effects"
with M. Pipień
Przegląd Statystyczny 50 (2003) 5-29.

6. "Bayesian estimation of a bivariate BEKK-GARCH process - the conditional ECM framework"
with M. Pipień
Prace Naukowe Akademii Ekonomicznej we Wrocławiu 1006 (2003) 161-172.

7. "Bayesian pricing of an European call option using a GARCH model with asymmetries"
with M. Pipień
Acta Universitatis Lodziensis - Folia Oeconomica 177 (2004) 219-238.

8. "Bayesian Inference on Technology and Cost Efficiency of Bank Branches"
with J. Marzec
Bank i Kredyt 39 (2008, September) 29-43.

9. "New hybrid models of multivariate volatility (a Bayesian perspective)"
Przegląd Statystyczny 56 (2009) 15-22.