Griffin, J., Latuszynski, Krzysztof and Steel, Mark F. J. (2020) In search of lost mixing time : adaptive Markov chain Monte Carlo schemes for Bayesian variable selection with very large p. Biometrika . (In Press)

Wang, Kangrui, Hamelijnck, Oliver, Damoulas, Theodoros and Steel, Mark F. J. (2020) Nonstationary nonseparable random fields. In: 37th International Conference on Machine Learning, Remote, 12-18 Jul 2020 (In Press)

Fuquene, Jairo, Steel, Mark F. J. and Rossell, David (2019) On choosing mixture components via non-local priors. Journal of the Royal Statistical Society: Series B (Statistical Methodology) . doi:10.1111/rssb.12333 (In Press)

Steel, Mark F. J. (2019) Model averaging and its use in economics. Journal of Economic Literature . doi:10.1257/jel.20191385 (In Press)

Rubio, F. J. and Steel, Mark F. J. (2018) Flexible linear mixed models with improper priors for longitudinal and survival data. Electronic Journal of Statistics, 12 (1). pp. 572-598. doi:10.1214/18-EJS1401

Forte, Anabel, Garcia-Donato, Gonzalo and Steel, Mark F. J. (2018) Methods and tools for Bayesian variable selection and model averaging in normal linear regression. International Statistical Review . doi:10.1111/insr.12249 (In Press)

Vallejos, Catalina A. and Steel, Mark F. J. (2017) Incorporating unobserved heterogeneity in Weibull survival models : a Bayesian approach. Econometrics and Statistics, 3 . pp. 73-88. doi:10.1016/j.ecosta.2017.01.005

Vallejos, Catalina A and Steel, Mark F. J. (2017) Bayesian survival modelling of university outcomes. Journal of the Royal Statistical Society: Series A (Statistics in Society) , 180 (2). pp. 613-631. doi:10.1111/rssa.12211

Steel, Mark F. J. (2015) Bayesian model averaging. In: Wiley StatsRef-Statistics Reference Online. John Wiley & Sons, Inc.. ISBN 9781118445112

Rubio, Francisco J. and Steel, Mark F. J. (2015) Bayesian modelling of skewness and kurtosis with Two-Piece Scale and shape distributions. Electronic Journal of Statistics, 9 (2). pp. 1884-1912. doi:10.1214/15-EJS1060

Steel, Mark F. J. and Rubio, Francisco J. (2015) Discussion of “On Families of Distributions With Shape Parameters” by M.C. Jones. International Statistical Review, 83 (2). pp. 218-222. doi:10.1111/insr.12075

Vallejos, Catalina A. and Steel, Mark F. J. (2014) Objective Bayesian survival analysis using shape mixtures of log-normal distributions. Journal of the American Statistical Association, 110 (510). pp. 697-710. doi:10.1080/01621459.2014.923316

Rubio, Francisco J. and Steel, Mark F. J. (2014) Inference in two-piece location-scale models with Jeffreys Priors. Bayesian Analysis, Volume 9 (Number 1). pp. 1-21. doi:10.1214/13-BA849

Rubio, Francisco J. and Steel, Mark F. J. (2014) Rejoinder. Bayesian Analysis, Volume 9 (Number 1). pp. 45-52. doi:10.1214/14-BA875

Rubio, Francisco J. and Steel, Mark F. J. (2013) Bayesian inference for P (X<Y) using asymmetric dependent distributions. Bayesian Analysis, Volume 8 (Number 1). pp. 43-62. doi:10.1214/13-BA802

Lamnisos, Demetris, Griffin, Jim E. and Steel, Mark F. J. (2013) Adaptive Monte Carlo for Bayesian variable selection in regression models. Journal of Computational and Graphical Statistics, Volume 22 (Number 3). pp. 729-748. doi:10.1080/10618600.2012.694756

Griffin, Jim E., Kolossiatis, M. and Steel, Mark F. J. (2013) Comparing distributions by using dependent normalized random-measure mixtures. Journal of the Royal Statistical Society : Series B (Statistical Methodology), Volume 75 (Number 3). pp. 499-529. doi:10.1111/rssb.12002

Kolossiatis, M., Griffin, Jim E. and Steel, Mark F. J. (2013) On Bayesian nonparametric modelling of two correlated distributions. Statistics and Computing, 23 (1). pp. 1-15. doi:10.1007/s11222-011-9283-7

Ley, Eduardo and Steel, Mark F. J. (2012) Mixtures of g-priors for Bayesian model averaging with economic applications. Journal of Econometrics, Volume 171 (Number 2). pp. 251-266. doi:10.1016/j.jeconom.2012.06.009

Rubio, Francisco J. and Steel, Mark F. J. (2012) On the Marshall–Olkin transformation as a skewing mechanism. Computational Statistics & Data Analysis, Vol.56 (No.7). pp. 2251-2257. doi:10.1016/j.csda.2012.01.003

Lamnisos, Demetris, Griffin, Jim E. and Steel, Mark F. J. (2012) Cross-validation prior choice in Bayesian probit regression with many covariates. Statistics and Computing, Vol.22 (No.2). pp. 359-373. doi:10.1007/s11222-011-9228-1

Carta, Alessandro and Steel, Mark F. J. (2012) Modelling multi-output stochastic frontiers using copulas. Computational Statistics & Data Analysis, Volume 56 (Number 11). pp. 3757-3773. doi:10.1016/j.csda.2010.07.007

Kolossiatis, Michalis, Griffin, Jim E. and Steel, Mark F. J. (2011) Modeling overdispersion with the normalized tempered stable distribution. Computational Statistics & Data Analysis, Vol.55 (No.7). pp. 2288-2301. doi:10.1016/j.csda.2011.01.016

Griffin, Jim E. and Steel, Mark F. J. (2011) Stick-breaking autoregressive processes. Journal of Econometrics, Vol.162 (No.2). pp. 383-396. doi:10.1016/j.jeconom.2011.03.001

Steel, Mark F. J. (2011) Bayesian model averaging and forecasting. Bulletin of E.U. and U.S. Inflation and Macroeconomic Analysis (No.200). pp. 30-41.

Steel, Mark F. J., Griffin, Jim E. and Quintana, F. (2011) Flexible and nonparametric modelling. In: Geweke, John and Koop, Gary and Dijk, Herman K. van, (eds.) The Oxford handbook of Bayesian econometrics. Oxford handbooks in economics . Oxford ; New York: Oxford University Press, pp. 125-182. ISBN 9780199559084

Rubio, Francisco J. and Steel, Mark F. J. (2011) Inference for grouped data with a truncated skew-Laplace distribution. Computational Statistics & Data Analysis, Vol.55 (No.12). pp. 3218-3231. doi:10.1016/j.csda.2011.06.002

Rubio, Francisco J. and Steel, Mark F. J. (2011) Inference in two-piece location-scale models with Jeffreys priors. Working Paper. Coventry: University of Warwick. Centre for Research in Statistical Methodology. Working papers, Vol.2011 (No.13).

Fonseca, Thaís C. O. and Steel, Mark F. J. (2011) Non-Gaussian spatiotemporal modelling through scale mixing. Biometrika, Vol.98 (No.4). pp. 761-774. doi:10.1093/biomet/asr047

Fonseca, Thaís C. O. and Steel, Mark F. J. (2011) A general class of nonseparable space-time covariance models. Environmetrics, Vol.22 (No.2). pp. 224-242. doi:10.1002/env.1047

Griffin, Jim E., Kolossiatis, Michalis and Steel, Mark F. J. (2010) Comparing distributions using dependent normalized random measure mixtures. Working Paper. Coventry: University of Warwick. Centre for Research in Statistical Methodology. Working papers, Vol.2010 (No.24).

Griffin, Jim E. and Steel, Mark F. J. (2010) Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes. Computational Statistics and Data Analysis, Vol.54 (No.11). pp. 2594-2608. doi:10.1016/j.csda.2009.06.008

Griffin, Jim E. and Steel, Mark F. J. (2010) Bayesian nonparametric modelling with the Dirichlet process regression smoother. Statistica Sinica, Vol.20 (No.4). pp. 1507-1527.

Juárez, Miguel A. and Steel, Mark F. J. (2010) Model-based clustering of non-Gaussian panel data based on skew-t distributions. Journal of Business and Economic Statistics, Vol.28 (No.1). pp. 52-66. doi:10.1198/jbes.2009.07145

Rubio, Francisco J. and Steel, Mark F. J. (2010) Inference for grouped data with a truncated skew-Laplace distribution. Working Paper. Coventry: University of Warwick. Centre for Research in Statistical Methodology. Working papers, Vol.2010 (No.20).

Ley, Eduardo and Steel, Mark F. J. (2010) Mixtures of g-priors for Bayesian model averaging with economic applications. Working Paper. Coventry: University of Warwick. Centre for Research in Statistical Methodology. Working papers, Vol.2010 (No.23).

Kolossiatis, Michalis, Griffin, Jim E. and Steel, Mark F. J. (2010) Modelling overdispersion with the normalized tempered stable distribution. Working Paper. Coventry: University of Warwick. Centre for Research in Statistical Methodology. Working papers, Vol.2010 (No.1).

Fuentes, M. and Steel, Mark F. J. (2010) Non-Gaussian and nonparametric models for continuous spatial data. In: Gelfand, Alan E., 1945- and Diggle, Peter J. and Fuentes , M. and Guttorp, Peter, (eds.) Handbook of spatial statistics. Chapman & Hall/CRC handbooks of modern statistical methods . Boca Raton, Fl. ; London: CRC Press, pp. 149-167. ISBN 9781420072877

Juárez, Miguel A. and Steel, Mark F. J. (2010) Non-Gaussian dynamic Bayesian modelling for panel data. Journal of Applied Econometrics, Vol.25 (No.7). pp. 1128-1154. doi:10.1002/jae.1113

Kolossiatis, Michalis, Griffin, Jim E. and Steel, Mark F. J. (2010) On Bayesian nonparametric modelling of two correlated distributions. Working Paper. Coventry: University of Warwick. Centre for Research in Statistical Methodology. Working papers, Vol.2010 (No.22).

Lamnisos, Demetris, Griffin, Jim E. and Steel, Mark F. J. (2009) Transdimensional sampling algorithms for Bayesian variable selection in classification problems with many more variables than observations. Journal of Computational and Graphical Statistics, Vol.18 (No.3). pp. 592-612. doi:10.1198/jcgs.2009.08027

Ley, Eduardo and Steel, Mark F. J. (2009) On the effect of prior assumptions in Bayesian model averaging with applications to growth regresssion. Journal of Applied Econometrics, Vol.24 (No.4). pp. 651-674. doi:10.1002/jae.1057

Ley, Eduardo and Steel, Mark F. J. (2009) Comments on 'jointness of growth determinants'. Journal of Applied Econometrics, Vol.24 (No.2). pp. 248-251. doi:10.1002/jae.1049

Lamnisos, Demetris, Griffin, Jim E. and Steel, Mark F. J. (2009) Adaptive Monte Carlo for binary regression with many regressors. Working Paper. Coventry: University of Warwick. Centre for Research in Statistical Methodology. Working papers, Vol.2009 (No.41).

Quintana, Fernando A., Steel, Mark F. J. and Ferreira, Jose T. A. S. (2009) Flexible univariate continuous distributions. Bayesian analysis, Vol.4 (No.3). pp. 497-522. doi:10.1214/09-BA418

Carta, Alessandro and Steel, Mark F. J. (2009) Modelling multi-output stochastic frontiers using copulas. Working Paper. Coventry: University of Warwick. Centre for Research in Statistical Methodology. Working papers, Vol.2009 (No.27).

Griffin, Jim E. and Steel, Mark F. J. (2009) Time-dependent stick-breaking processes. Working Paper. Coventry: University of Warwick. Centre for Research in Statistical Methodology. Working papers, Vol.2009 (No.5).

Griffin, Jim E. and Steel, Mark F. J. (2008) Flexible mixture modelling of stochastic frontiers. Journal of Productivity Analysis, Vol.29 (No.1). pp. 33-50. doi:10.1007/s11123-007-0064-4

Steel, Mark F. J. (2008) Bayesian time series analysis. In: Durlauf , S. N. and Blume, L. E., (eds.) The New Palgrave dictionary of economics. Basingstoke, Hampshire ; New York: Palgrave Macmillan. ISBN 9780333786765

Ferreira, Jose T. A. S., Juárez, Miguel A. and Steel, Mark F. J. (2008) Directional log-spline distributions. Bayesian analysis, Vol.3 (No.2). pp. 297-315. doi:10.1214/08-BA311

Lamnisos, Demetris, Griffin, Jim E. and Steel, Mark F. J. (2008) Transdimensional sampling algorithms for Bayesian variable selection in classification problems with many more variables than observations. Working Paper. Coventry: University of Warwick. Centre for Research in Statistical Methodology. Working papers, Vol.2008 (No.8).

Fonseca, Thaís C. O. and Steel, Mark F. J. (2008) A new class of nonseparable space-time covariance models. Working Paper. Coventry: University of Warwick. Centre for Research in Statistical Methodology. Working papers, Vol.2008 (No.13).

Ley, Eduardo and Steel, Mark F. J. (2007) Jointness in Bayesian variable selection with applications to growth regression. Journal of Macroeconomics, Vol.29 (No.3). pp. 476-493. doi:10.1016/j.jmacro.2006.12.002

Griffin, Jim E. and Steel, Mark F. J. (2007) Bayesian stochastic frontier analysis using WinBUGS. Journal of Productivity Analysis, Vol.27 (No.3). pp. 163-176. doi:10.1007/s11123-007-0033-y

Ferreira, Jose T. A. S. and Steel, Mark F. J. (2007) Model comparison of coordinate-free multivariate skewed distributions with an application to stochastic frontiers. Journal of Econometrics, Vol.137 (No.2). pp. 641-673. doi:10.1016/j.jeconom.2005.11.016

Ferreira, Jose T. A. S. and Steel, Mark F. J. (2007) A new class of skewed multivariate distributions with applications to regression analysis. Statistica Sinica, Vol.17 (No.2). pp. 505-529.

Ley, Eduardo and Steel, Mark F. J. (2007) On the effect of prior assumptions in Bayesian model averaging with applications to growth regression. Working Paper. Coventry: University of Warwick. Centre for Research in Statistical Methodology. Working papers, Vol.2007 (No.8).

Griffin, Jim E. and Steel, Mark F. J. (2006) Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility. JOURNAL OF ECONOMETRICS, 134 (2). pp. 605-644. doi:10.1016/j.jeconom.2005.07.007

Ferreira, Jose T. A. S. and Steel, Mark F. J. (2006) On describing multivariate skewed distributions : a directional approach. Canadian Journal of Statistics, Volume 34 (Number 3). pp. 411-429. doi:10.1002/cjs.5550340304

Palacios, M. Blanca and Steel, Mark F. J. (2006) Non-gaussian Bayesian geostatistical modeling. Journal of the American Statistical Association, Vol.101 (No.474). pp. 604-618. doi:10.1198/016214505000001195

Ferreira, Jose T. A. S. and Steel, Mark F. J. (2006) A constructive representation of univariate skewed distributions. Journal of the American Statistical Association, Vol.101 (No.474). pp. 823-829. doi:10.1198/016214505000001212

Griffin, Jim E. and Steel, Mark F. J. (2006) Order-based dependent Dirichlet processes. Journal of the American Statistical Association, Vol.101 (No.473). pp. 179-194. doi:10.1198/016214505000000727

Juárez, Miguel A. and Steel, Mark F. J. (2006) Model-based clustering of non-Gaussian panel data. Working Paper. Coventry: University of Warwick. Centre for Research in Statistical Methodology. Working papers, Vol.2006 (No.14).

Steel, Mark F. J. and Ferreira, Jose T. A. S. (2005) Modelling directional dispersion through hyperspherical log-splines. Royal Statistical Society. Journal. Series B: Statistical Methodology, 67 (4). 599 -616.

Griffin, Jim E. and Steel, Mark F. J. (2004) Semiparametric Bayesian inference for stochastic frontier models. Journal of Econometrics, Volume 123 (Number 1). pp. 121-152. doi:10.1016/j.jeconom.2003.11.001

Fernandez, C., Leon, C. J., Steel, Mark F. J. and Vazquez-Polo, F. J. (2004) Bayesian analysis of interval data contingent valuation models and pricing policies. Journal of Business & Economic Statistics, Volume 22 (Number 4). pp. 431-442. doi:10.1198/073500104000000415

Fernandez, C., Ley, E. and Steel, Mark F. J. (2001) Model uncertainty in cross-country growth regressions. Journal of Applied Econometrics, Volume 16 (Number 5). pp. 563-576. doi:10.1002/jae.623

Griffin, J. E. and Steel, Mark F. J. (2001) Discussion on the paper 'Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics' by Barndorff-Nielsen and Shephard. Journal of the Royal Statistical Society Series B: Statistical Methodology, Volume 63 (Number 2). p. 223.

Osiewalski, Jacek and Steel, Mark F. J. (1993) Robust bayesian inference in elliptical regression models. Journal of Econometrics, Volume 57 (Number 1-3). pp. 345-363. doi:10.1016/0304-4076(93)90070-L