Bøger / faglitteratur

Bayesian econometric methods

Beskrivelse

Summary: This volume in the Econometric Exercises series 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.

Indhold

Seneste udgave,

Cover; Half-title; Series-title; Title; Copyright; Dedication; Contents; List of exercises; Preface to the series; Preface; 1 The subjective interpretation of probability; 2 Bayesian inference; 3 Point estimation; 4 Frequentist properties of Bayesain estimators; 5 Interval estimation; 6 Hypothesis testing; 7 Prediction; 8 Choiice of prior; 9 Asymptotic Bayes; 10 The linear regression model; 11 Basics of Bayesian computation; 12 Hierarchical models; 13 The linear regression model with general conariance matrix; 14 Latent variable models; 15 Mixturee models ; 16 Bayesian model averaging and selection17 Some stationary time series models; 18 Some nonstationary time series models; Appendix; Bibliography; Index