David Frazier

Assoc Professor

20162020

Research output per year

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Research Output

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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)

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

5 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

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

13 Citations (Scopus)

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)

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)

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
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1 Citation (Scopus)

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)

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

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)

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

2 Citations (Scopus)