Hedibert Freitas Lopes, PhD - Associate Professor of Econometrics and Statistics

Scientific papers

Treatment effects: a Bayesian perspective, Econometric Reviews. (with Heckman and Piatek)
Constructing economically justified aggregates: an application of the early origins of health, Journal of Econometrics (under revision). (with Conti, Fruehwirth-Schnatter, Heckman and Piatek)
Bayesian instrumental variables: likelihoods and priors, Econometric Reviews. (with Polson)
Sequential parameter learning and filtering in structured AR models, Statistics and Computing. (with Prado)
Online Bayesian learning in dynamic models: An illustrative introduction to particle methods. In West, M., Damien, P., Dellaportas, P., Polson, N. G. and Stephens, D. A., Bayesian Dynamic Modelling Bayesian Inference and Markov Chain Monte Carlo: In Honour of Adrian Smith. Clarendon: Oxford University Press. (with Carvalho)
Bayesian Statistics with a Smile: a Resampling-Sampling Perspective, Brazilian Journal of Probability and Statistics. (with Polson and Carvalho)
Measuring vulnerability via spatially hierarchical factor models, Annals of Applied Statistics, 2012, 6, 284-303. (with Schmidt, Salazar, Gomez and Achkar)
A semiparametric Bayesian approach to extreme value estimation, Statistics and Computing, 2012, 22, 661-675. (with Nascimento and Gamerman)
Particle learning for sequential Bayesian computation (with discussion), Bayesian Statistics 9, 2011, 317-360. (with Carvalho, Johannes and Polson).
Particle filters and Bayesian inference in financial econometrics, Journal of Forecasting, 2011, 30, 168-209. (with Tsay)(R code)
Generalized spatial dynamic factor models, Computational Statistics and Data Analysis, 2011, 55, 1319-1330. (with Gamerman and Salazar).
Confronting prior convictions: On issues of prior and likelihood sensitivity in Bayesian analysis, Annual Review of Economics, 2011, 3, 107-131. (with Tobias)
Regression models for exceedance data via the full likelihood, Environmental and Ecological Statistics, 2011, 18, 495-512. (with Nascimento and Gamerman)
Dynamic stock selection strategies: a structured factor model approach (with discussion), Bayesian Statistics 9, 2011, 69-90. (with Carvalho and Aguilar)
Credit granting to small firms: a Brazilian case, Journal of Business Research, 2011, 64, 309-315. (with Zambaldi, Aranha and Politi)
Particle learning and smoothing, Statistical Science, 2010, 25, 88-106. (with Carvalho, Johannes and Polson)
Particle learning for general mixtures, Bayesian Analysis, 2010, 5, 709-740. (with Carvalho, Polson and Taddy).
Time-varying joint distributions through copulas, Computational Statistics and Data Analysis, 2010, 54, 2383-2399. (with Ausin)
Bayesian modeling of financial returns: a relationship between volatility and trading volume, Applied Stochastic Models in Business and Industry, 2010, 26, 172-193. (with Abanto and Migon)
Direct evidence for postmeiotic transcription during Drosophila melanogaster spermatogenesis, Genetics, 2010, 186, 431-33. (with Vibranovski, Chalopin, Long and Karr)
Extracting SP500 and NASDAQ volatility: The credit crisis of 2007-2008, in O'Hagan, A. and West, M. (Eds.), Handbook of Applied Bayesian Analysis, 2010, 319-342. (with Polson)
Bayesian computation in finance, in Chen, M.-H., Dey, D., Mueller, P., Sun, D. and Ye, K. (Eds.) Frontiers of Statistical Decision Making and Bayesian Analysis, 2010, 383-396. (with Hore, Johannes, McCulloch and Polson)
Bayesian inference for stochastic volatility modeling, in Bocker, K. (Ed.) Rethinking Risk Measurement and Reporting: Uncertainty, Bayesian Analysis and Expert Judgement, 2010, 515-551. (with Polson)
Bayesian prediction of risk measurements using copulas, in Bocker, K. (Ed.) Rethinking Risk Measurement and Reporting: Uncertainty, Bayesian Analysis and Expert Judgement, 2010, 553-578. (with Ausin)
Stage-specific expression of Drosophila spermatogenesis suggests that meiotic sex chromosome inactivation drives the genomic relocation of testis-expressed genes, PLoS Genetics, 2009, 5, e1000731. (with Vibranovski, Karr and Long) (SpermPress page)
Spatial dynamic factor models, Bayesian Analysis, 2008, 3, 759-92. (with Salazar and Gamerman)
Copula, marginal distributions and model selection: A Bayesian note, Statistics and Computing, 2008, 18, 313-20. (with Silva)
Factor stochastic volatility with time varying loadings and Markov switching regimes, Journal of Statistical Planning and Inference, 2007, 137, 3082-3091. (with Carvalho)
Simulation-based sequential analysis of Markov switching stochastic volatility models, Computational Statistics and Data Analysis, 2007, 51, 4526-4542. (with Carvalho)
Bayesian computational methods in biomedical research, in Khattree, R. and D. N. Naik, D. N. (Eds.) Computational Methods in Biomedical Research, Marcel Dekker/Taylor & Francis, 2007, 211-59. (with Mueller and Ravishanker)
Bayesian estimation of ruin probabilities with heterogeneous and heavy-tailed insurance claim size distribution, Australian & New Zealand Journal of Statistics, 2007, 49, 415-34. (with Ausin)
Bayesian model uncertainty in smooth transition autoregressions, Journal of Time Series Analysis, 2006, 27, 99-117. (with Salazar)
Time series mean level and stochastic volatility modeling by smooth transition autoregressions: a Bayesian approach, In Fomby, T.B. (Ed.) Advances in Econometrics: Econometric Analysis of Financial and Economic Time Series/Part B, 2006, Volume 20, 229-242. (with Salazar)
The extended generalized inverse Gaussian distribution for log-linear and stochastic volatility models, Brazilian Journal of Probability and Statistics, 2006, 20, 67-91. (with Silva and Migon)
Spatio-temporal models for mapping the Incidence of malaria in Para, Environmetrics, 2005, 16, 291-304. (with Nobre and Schmidt)(Abstract)
Dynamic models, In Dey, D. and Rao, C.R. (Eds.), Handbook of Statistics, Volume 25: Bayesian Thinking, Modeling and Computation, 2005, Chapter 19, 553-588. (with Migon, Gamerman and Ferreira)
Factor stochastic volatility with time-varying loadings, Estadistica, 2005, 57, 75-91.
Bayesian model assessment in factor analysis, Statistica Sinica, 2004, 14, 41-67. (with West)
Bayesian analysis of extreme events with threshold estimation , Statistical Modelling, 2004, 4, 227-244. (with Behrens and Gamerman)
Data driven estimates for mixtures, Computational Statistics and Data Analysis, 2004, 47, 583-598. (with Mendes)
Bayesian meta-analysis for longitudinal data models using multivariate mixture priors, Biometrics, 2003, 59, 66-75. (with Mueller and Rosner)
Expected posterior priors in factor analysis, Brazilian Journal of Probability and Statistics, 2003, 17, 91-105.
Co-movements and contagion in emergent markets: stock indexes volatilities,Case Studies in Bayesian Statistics, 2002, Volume VI, 285-300, Springer-Verlag. (with Migon)
Bayesian forecasting and inference in latent structure for the Brazilian industrial production index,Brazilian Review of Econometrics, 2000, 20, 1--26. (with Huerta)
Hyperparameter estimation in forecasting models, Computational statistics and data analysis, 1999, 29, pp. 387-410. (with Moreira and Schmidt)
Um modelo para a previsao conjunta do PIB, inflacao e liquidez, Revista de Econometria, 1997, 17, 67-111. (with Moreira and Fiorencio)
Identificacao das tendencias comuns do PIB, inflacao e meios de pagamento, A Economia Brasileira em Perspectiva, 1996, Volume 1, Chapgter 6, 129-139. (with Moreira and Fiorencio)
Tendencia estocastica do produto no Brasil: efeitos das flutuacoes da taxa de crescimento da produtividade e da taxa de juro real, Pesquisa e Planejamento Economico, 1995, 25, 249-278. (with Rocha-Lima, Moreira and Pereira)
Efeitos dinamicos dos choques de oferta e demanda agregada sobre o nivel de atividade economica do Brasil, Revista Brasileira de Economia, 1993, 47, 177-204. (with Migon and Rocha-Lima)