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Professor Mattias Villani's Publications

Professor, Linköping University
Linköping, Sweden

Research field: Mathematics - Statistics
Bayesian inference, computational statistics.
Report (3) | Web Page (1) | Journal Article (20)

Journal Article

Bertil Wegmann, Mattias Villani (2011) Bayesian Inference in Structural Second-Price Common Value Auctions, 1-15. In Journal of Business and Economic Statistics.
Feng Li, Mattias Villani, Robert Kohn (2010) Flexible modeling of conditional distributions using smooth mixtures of asymmetric student t densities, 3638-3654. In Journal of Statistical Planning and Inference 140 (12).
Paolo Giordani, Mattias Villani (2010) Forecasting macroeconomic time series with locally adaptive signal extraction☆, 312-325. In International Journal of Forecasting 26 (2).
Mattias Villani, Robert Kohn, Paolo Giordani (2009) Regression density estimation using smooth adaptive Gaussian mixtures, 155-173. In Journal of Econometrics 153 (2).
Mattias Villani (2009) Steady-state priors for vector autoregressions, 630-650. In Journal of Applied Econometrics 24 (4).
MALIN ADOLFSON, STEFAN LASÉEN, JESPER LINDÉ, MATTIAS VILLANI (2008) EMPIRICAL PROPERTIES OF CLOSED- AND OPEN-ECONOMY DSGE MODELS OF THE EURO AREA, 2-19. In Macroeconomic Dynamics 12 (S1).
Malin Adolfson, Stefan Laséen, Jesper Lindé, Mattias Villani (2008) Evaluating an estimated new Keynesian small open economy model, 2690-2721. In Journal of Economic Dynamics and Control 32 (8).
M ADOLFSON, S LASEEN, J LINDE, M VILLANI (2007) Bayesian estimation of an open economy DSGE model with incomplete pass-through, 481-511. In Journal of International Economics 72 (2).
Jukka Corander, Mattias Villani (2006) A Bayesian Approach to Modelling Graphical Vector Autoregressions, 141-156. In Journal of Time Series Analysis 27 (1).
M VILLANI (2006) Bayesian point estimation of the cointegration space, 645-664. In Journal of Econometrics 134 (2).
Mattias Villani, Rolf Larsson (2006) The Multivariate Split Normal Distribution and Asymmetric Principal Components Analysis, 1123-1140. In Communications in Statistics: Theory and Methods 35 (6).
Malin Adolfson, Stefan Laseen, Jesper Linde, Mattias Villani (2005) Are Constant Interest Rate Forecasts Modest Policy Interventions? Evidence from a Dynamic Open-Economy Model*, 509-544. In International Finance 8 (3).
Mattias Villani (2005) BAYESIAN REFERENCE ANALYSIS OF COINTEGRATION, 326-357. In Econometric Theory 21 (02).
Malin Adolfson, Stefan Laseen, Jesper Linde, Mattias Villani (2005) The Role of Sticky Prices in an Open Economy DSGE Model: A Bayesian Investigation, 444-457. In Journal of the European Economic Association 3 (2-3).
Jukka Corander, Mattias Villani (2004) Bayesian assessment of dimensionality in reduced rank regression, 255-270. In Statistica Neerlandica 58 (3).
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Rolf Larsson, Mattias Villani (2001) A distance measure between cointegration spaces, 21-27. In Economics Letters 70 (1).
M Villani (2001) Bayesian prediction with cointegrated vector autoregressions, 585-605. In International Journal of Forecasting 17 (4).
Mattias Villani (2001) Fractional Bayesian Lag Length Inference in Multivariate Autoregressive Processes, 67-86. In Journal of Time Series Analysis 22 (1).
M., Lindé, J. and Villani, M. Adolfson Forecasting Performance of an Open Economy DSGE Model. In Econometric Reviews.
David Nott, Siew Li Tan, Mattias Villani, Robert Kohn Regression Density Estimation with Variational Methods and Stochastic Approximation. In Journal of Computational and Graphical Statistics.