Bayesian Econometric Methods

A new book in the Econometric Exercises series, this volume contains questions and answers to provide students with useful practice, as they attempt to master Bayesian econometrics. In addition to many theoretical exercises, this book contains exercises designed to develop the computational tools used in modern Bayesian econometrics. The latter half of the book contains exercises that show how these theoretical and computational skills are combined in practice, to carry out Bayesian inference in a wide variety of models commonly used by econometricians. Aimed primarily at advanced undergraduate and graduate students studying econometrics, this book may also be useful for students studying finance, marketing, agricultural economics, business economics or, more generally, any field which uses statistics. The book also comes equipped with a supporting website containing all the relevant data sets and MATLAB computer programs for solving the computational exercises.

ISBN 0521855713   Volumes 1 ISBN13 9780521855716 (What's this?)   Weight (grammes) 788 Publisher Cambridge University Press   Published in Cambridge Imprint Cambridge University Press   Series editor Abadir, Karim M., Magnus, Jan R., Phillips, Peter C. B. Format Hardback   Series title Econometric Exercises Publication date 15 Jan 2007   Height (mm) 248 Library of Congress HB139 .K6359 2007   Width (mm) 174 DEWEY 330.015195   Spine width (mm) 26 DEWEY edition DC22   Academic level Tertiary education, Professional / Scholarly Pages 380

1		The subjective interpretation of probability		1
2		Bayesian inference		11
3		Point estimation		29
4		Frequentist properties of bayesian estimators		37
5		Interval estimation		51
6		Hypothesis testing		59
7		Prediction		71
8		Choice of prior		79
9		Asymptotic bayes		91
10		The linear regression model		107
11		Basics of bayesian computation		117
12		Hierarchical models		169
13		The linear regression model with general covariance matrix		191
14		Latent variable models		203
15		Mixture models		253
16		Bayesian model averaging and selection		281
17		Some stationary time series models		297
18		Some nonstationary time series models		319

'I am deeply impressed by this articulate, outstanding work. It has the same high level of precision as Poirier's 1995 text on intermediate statistics and econometrics for MIT Press. The authors have taken the time and effort to explain as much as possible. Chapter 14 on latent variable models is probably the most important chapter offering new work. The authors' explanations are extensive for each of their models, and a reader who is interested in just one of the models will not have to rely on the results from any of the other models.' Frank Kleibergen, Brown University 'This is a very well written book on Bayesian econometrics with rigorous derivations and exercises. It will indeed be a book that is on the required reading list for an advanced course on Bayesian econometrics. The books by Poirier and Lancaster [Blackwell, 2004] do not have the nice set of exercises presented here.' Herman van Dijk, Erasmus University, Netherlands

 Be the first to write a customer review