David Frazier

Assoc Professor

20162020

Research output per year

If you made any changes in Pure these will be visible here soon.

Research Output

2020

Indirect inference with(out) constraints

Frazier, D. T. & Renault, E., Jan 2020, In : Quantitative Economics. 11, 1, p. 113-159 47 p.

Research output: Contribution to journalArticleResearchpeer-review

Open Access
File
1 Citation (Scopus)

Model misspecification in approximate Bayesian computation: consequences and diagnostics

Frazier, D. T., Robert, C. P. & Rousseau, J., Apr 2020, In : Journal of the Royal Statistical Society Series B-Statistical Methodology. 82, 2, p. 421-444 24 p.

Research output: Contribution to journalArticleResearchpeer-review

1 Citation (Scopus)
2019

Approximate Bayesian forecasting

Frazier, D. T., Maneesoonthorn, W., Martin, G. M. & McCabe, B. P. M., 1 Apr 2019, In : International Journal of Forecasting. 35, 2, p. 521-539 19 p.

Research output: Contribution to journalArticleResearchpeer-review

4 Citations (Scopus)

A simple iterative Z-estimator for semiparametric models

Frazier, D. T., Feb 2019, In : Econometric Theory. 35, 1, p. 111-141 31 p.

Research output: Contribution to journalArticleResearchpeer-review

Auxiliary likelihood-based approximate Bayesian computation in state space models

Martin, G. M., McCabe, B. P. M., Frazier, D. T., Maneesoonthorn, W. & Robert, C. P., 2019, In : Journal of Computational and Graphical Statistics. 28, 3, p. 508-522 15 p.

Research output: Contribution to journalArticleResearchpeer-review

1 Citation (Scopus)

Indirect inference: which moments to match?

Frazier, D. T. & Renault, E., Mar 2019, In : Econometrics. 7, 1, 17 p., 14.

Research output: Contribution to journalArticleResearchpeer-review

Open Access
File
1 Citation (Scopus)

Indirect inference with a non-smooth criterion function

Frazier, D. T., Oka, T. & Zhu, D., Oct 2019, In : Journal of Econometrics. 212, 2, p. 623-645 23 p.

Research output: Contribution to journalArticleResearchpeer-review

2018

Asymptotic properties of approximate Bayesian computation

Frazier, D. T., Martin, G. M., Robert, C. P. & Rousseau, J., Sep 2018, In : Biometrika. 105, 3, p. 593-607 15 p.

Research output: Contribution to journalArticleResearchpeer-review

12 Citations (Scopus)

Indirect Inference with endogenously missing exogenous variables

Chaudhuri, S., Frazier, D. T. & Renault, E., 1 Jul 2018, In : Journal of Econometrics. 205, p. 55-75 21 p.

Research output: Contribution to journalArticleResearchpeer-review

3 Citations (Scopus)
2017

Efficient two-step estimation via targeting

Frazier, D. T. & Renault, E., Dec 2017, In : Journal of Econometrics. 201, 2, p. 212-227 16 p.

Research output: Contribution to journalArticleResearchpeer-review

4 Citations (Scopus)
2016

A new approach to risk-return trade-off dynamics via decomposition

Frazier, D. T. & Liu, X. M., 2016, In : Journal of Economic Dynamics and Control. 62, p. 43 - 55 13 p.

Research output: Contribution to journalArticleResearchpeer-review

9 Citations (Scopus)