Introduction To Modern Bayesian Econometrics

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Introduction to Modern Bayesian Econometrics

Tony Lancaster
Introduction to Modern Bayesian Econometrics Book PDF

Author : Tony Lancaster
Publisher : Wiley-Blackwell
Page : 416 pages
File Size : 55,8 Mb
Release : 2004-06-18
Category : Business & Economics
ISBN : 1405117206

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Introduction to Modern Bayesian Econometrics by Tony Lancaster Pdf

In this new and expanding area, Tony Lancaster’s text is the first comprehensive introduction to the Bayesian way of doing applied economics. Uses clear explanations and practical illustrations and problems to present innovative, computer-intensive ways for applied economists to use the Bayesian method; Emphasizes computation and the study of probability distributions by computer sampling; Covers all the standard econometric models, including linear and non-linear regression using cross-sectional, time series, and panel data; Details causal inference and inference about structural econometric models; Includes numerical and graphical examples in each chapter, demonstrating their solutions using the S programming language and Bugs software Supported by online supplements, including Data Sets and Solutions to Problems, at www.blackwellpublishing.com/lancaster

Introduction to Bayesian Econometrics

Edward Greenberg
Introduction to Bayesian Econometrics Book PDF

Author : Edward Greenberg
Publisher : Cambridge University Press
Page : 271 pages
File Size : 47,9 Mb
Release : 2013
Category : Business & Economics
ISBN : 9781107015319

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Introduction to Bayesian Econometrics by Edward Greenberg Pdf

This textbook explains the basic ideas of subjective probability and shows how subjective probabilities must obey the usual rules of probability to ensure coherency. It defines the likelihood function, prior distributions and posterior distributions. It explains how posterior distributions are the basis for inference and explores their basic properties. Various methods of specifying prior distributions are considered, with special emphasis on subject-matter considerations and exchange ability. The regression model is examined to show how analytical methods may fail in the derivation of marginal posterior distributions. The remainder of the book is concerned with applications of the theory to important models that are used in economics, political science, biostatistics and other applied fields. New to the second edition is a chapter on semiparametric regression and new sections on the ordinal probit, item response, factor analysis, ARCH-GARCH and stochastic volatility models. The new edition also emphasizes the R programming language.

Contemporary Bayesian Econometrics and Statistics

John Geweke
Contemporary Bayesian Econometrics and Statistics Book PDF

Author : John Geweke
Publisher : John Wiley & Sons
Page : 322 pages
File Size : 47,6 Mb
Release : 2005-10-03
Category : Mathematics
ISBN : 9780471744726

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Contemporary Bayesian Econometrics and Statistics by John Geweke Pdf

Tools to improve decision making in an imperfect world This publication provides readers with a thorough understanding of Bayesian analysis that is grounded in the theory of inference and optimal decision making. Contemporary Bayesian Econometrics and Statistics provides readers with state-of-the-art simulation methods and models that are used to solve complex real-world problems. Armed with a strong foundation in both theory and practical problem-solving tools, readers discover how to optimize decision making when faced with problems that involve limited or imperfect data. The book begins by examining the theoretical and mathematical foundations of Bayesian statistics to help readers understand how and why it is used in problem solving. The author then describes how modern simulation methods make Bayesian approaches practical using widely available mathematical applications software. In addition, the author details how models can be applied to specific problems, including: * Linear models and policy choices * Modeling with latent variables and missing data * Time series models and prediction * Comparison and evaluation of models The publication has been developed and fine- tuned through a decade of classroom experience, and readers will find the author's approach very engaging and accessible. There are nearly 200 examples and exercises to help readers see how effective use of Bayesian statistics enables them to make optimal decisions. MATLAB? and R computer programs are integrated throughout the book. An accompanying Web site provides readers with computer code for many examples and datasets. This publication is tailored for research professionals who use econometrics and similar statistical methods in their work. With its emphasis on practical problem solving and extensive use of examples and exercises, this is also an excellent textbook for graduate-level students in a broad range of fields, including economics, statistics, the social sciences, business, and public policy.

Bayesian Econometric Methods

Joshua Chan,Gary Koop,Dale J. Poirier,Justin L. Tobias
Bayesian Econometric Methods Book PDF

Author : Joshua Chan,Gary Koop,Dale J. Poirier,Justin L. Tobias
Publisher : Cambridge University Press
Page : 491 pages
File Size : 42,6 Mb
Release : 2019-08-15
Category : Business & Economics
ISBN : 9781108423380

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Bayesian Econometric Methods by Joshua Chan,Gary Koop,Dale J. Poirier,Justin L. Tobias Pdf

Illustrates Bayesian theory and application through a series of exercises in question and answer format.

Bayesian Econometrics

Gary Koop
Bayesian Econometrics Book PDF

Author : Gary Koop
Publisher : Wiley-Interscience
Page : 382 pages
File Size : 47,5 Mb
Release : 2003
Category : Business & Economics
ISBN : UCSC:32106018258399

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Bayesian Econometrics by Gary Koop Pdf

Researchers in many fields are increasingly finding the Bayesian approach to statistics to be an attractive one. This book introduces the reader to the use of Bayesian methods in the field of econometrics at the advanced undergraduate or graduate level. The book is self-contained and does not require that readers have previous training in econometrics. The focus is on models used by applied economists and the computational techniques necessary to implement Bayesian methods when doing empirical work. Topics covered in the book include the regression model (and variants applicable for use with panel data), time series models, models for qualitative or censored data, nonparametric methods and Bayesian model averaging. The book includes numerous empirical examples and the website associated with it contains data sets and computer programs to help the student develop the computational skills of modern Bayesian econometrics.

The Oxford Handbook of Bayesian Econometrics

John Geweke,Gary Koop,Herman van Dijk
The Oxford Handbook of Bayesian Econometrics Book PDF

Author : John Geweke,Gary Koop,Herman van Dijk
Publisher : Oxford University Press
Page : 576 pages
File Size : 49,7 Mb
Release : 2011-09-29
Category : Business & Economics
ISBN : 9780191618260

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The Oxford Handbook of Bayesian Econometrics by John Geweke,Gary Koop,Herman van Dijk Pdf

Bayesian econometric methods have enjoyed an increase in popularity in recent years. Econometricians, empirical economists, and policymakers are increasingly making use of Bayesian methods. This handbook is a single source for researchers and policymakers wanting to learn about Bayesian methods in specialized fields, and for graduate students seeking to make the final step from textbook learning to the research frontier. It contains contributions by leading Bayesians on the latest developments in their specific fields of expertise. The volume provides broad coverage of the application of Bayesian econometrics in the major fields of economics and related disciplines, including macroeconomics, microeconomics, finance, and marketing. It reviews the state of the art in Bayesian econometric methodology, with chapters on posterior simulation and Markov chain Monte Carlo methods, Bayesian nonparametric techniques, and the specialized tools used by Bayesian time series econometricians such as state space models and particle filtering. It also includes chapters on Bayesian principles and methodology.

An Introduction to Bayesian Inference in Econometrics

Arnold Zellner
An Introduction to Bayesian Inference in Econometrics Book PDF

Author : Arnold Zellner
Publisher : New York : J. Wiley
Page : 456 pages
File Size : 40,8 Mb
Release : 1971-11-26
Category : Business & Economics
ISBN : UCSC:32106018432366

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An Introduction to Bayesian Inference in Econometrics by Arnold Zellner Pdf

Remarks on inference in economics; Principles of bayesian analysis with selected applications; The univariate normal linear regression model; Special problems in regression analysis; On error in the variables; Analysis of single equation nonlinear models; Time series models: some selected examples; Multivariate regression models; Simultaneous equation econometric models; On comparing and testing hypotheses; Analysis of some control problems.

Bayesian Multivariate Time Series Methods for Empirical Macroeconomics

Gary Koop,Dimitris Korobilis
Bayesian Multivariate Time Series Methods for Empirical Macroeconomics Book PDF

Author : Gary Koop,Dimitris Korobilis
Publisher : Now Publishers Inc
Page : 104 pages
File Size : 44,9 Mb
Release : 2010
Category : Business & Economics
ISBN : 9781601983626

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Bayesian Multivariate Time Series Methods for Empirical Macroeconomics by Gary Koop,Dimitris Korobilis Pdf

Bayesian Multivariate Time Series Methods for Empirical Macroeconomics provides a survey of the Bayesian methods used in modern empirical macroeconomics. These models have been developed to address the fact that most questions of interest to empirical macroeconomists involve several variables and must be addressed using multivariate time series methods. Many different multivariate time series models have been used in macroeconomics, but Vector Autoregressive (VAR) models have been among the most popular. Bayesian Multivariate Time Series Methods for Empirical Macroeconomics reviews and extends the Bayesian literature on VARs, TVP-VARs and TVP-FAVARs with a focus on the practitioner. The authors go beyond simply defining each model, but specify how to use them in practice, discuss the advantages and disadvantages of each and offer tips on when and why each model can be used.

Complete and Incomplete Econometric Models

John Geweke
Complete and Incomplete Econometric Models Book PDF

Author : John Geweke
Publisher : Princeton University Press
Page : 176 pages
File Size : 49,8 Mb
Release : 2010-02-08
Category : Business & Economics
ISBN : 9781400835249

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Complete and Incomplete Econometric Models by John Geweke Pdf

Econometric models are widely used in the creation and evaluation of economic policy in the public and private sectors. But these models are useful only if they adequately account for the phenomena in question, and they can be quite misleading if they do not. In response, econometricians have developed tests and other checks for model adequacy. All of these methods, however, take as given the specification of the model to be tested. In this book, John Geweke addresses the critical earlier stage of model development, the point at which potential models are inherently incomplete. Summarizing and extending recent advances in Bayesian econometrics, Geweke shows how simple modern simulation methods can complement the creative process of model formulation. These methods, which are accessible to economics PhD students as well as to practicing applied econometricians, streamline the processes of model development and specification checking. Complete with illustrations from a wide variety of applications, this is an important contribution to econometrics that will interest economists and PhD students alike.

Bayesian Data Analysis

Andrew Gelman,John B. Carlin,Hal S. Stern,David B. Dunson,Aki Vehtari,Donald B. Rubin
Bayesian Data Analysis Book PDF

Author : Andrew Gelman,John B. Carlin,Hal S. Stern,David B. Dunson,Aki Vehtari,Donald B. Rubin
Publisher : CRC Press
Page : 663 pages
File Size : 40,7 Mb
Release : 2013-11-27
Category : Mathematics
ISBN : 9781439898208

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Bayesian Data Analysis by Andrew Gelman,John B. Carlin,Hal S. Stern,David B. Dunson,Aki Vehtari,Donald B. Rubin Pdf

Winner of the 2016 De Groot Prize from the International Society for Bayesian AnalysisNow in its third edition, this classic book is widely considered the leading text on Bayesian methods, lauded for its accessible, practical approach to analyzing data and solving research problems. Bayesian Data Analysis, Third Edition continues to take an applied

Bayesian Econometrics

Mauro Bernardi,Stefano Grassi,Francesco Ravazzolo
Bayesian Econometrics Book PDF

Author : Mauro Bernardi,Stefano Grassi,Francesco Ravazzolo
Publisher : MDPI
Page : 146 pages
File Size : 45,8 Mb
Release : 2020-12-28
Category : Business & Economics
ISBN : 9783039437856

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Bayesian Econometrics by Mauro Bernardi,Stefano Grassi,Francesco Ravazzolo Pdf

Since the advent of Markov chain Monte Carlo (MCMC) methods in the early 1990s, Bayesian methods have been proposed for a large and growing number of applications. One of the main advantages of Bayesian inference is the ability to deal with many different sources of uncertainty, including data, models, parameters and parameter restriction uncertainties, in a unified and coherent framework. This book contributes to this literature by collecting a set of carefully evaluated contributions that are grouped amongst two topics in financial economics. The first three papers refer to macro-finance issues for real economy, including the elasticity of factor substitution (ES) in the Cobb–Douglas production function, the effects of government public spending components, and quantitative easing, monetary policy and economics. The last three contributions focus on cryptocurrency and stock market predictability. All arguments are central ingredients in the current economic discussion and their importance has only been further emphasized by the COVID-19 crisis.

A Student’s Guide to Bayesian Statistics

Ben Lambert
A Student s Guide to Bayesian Statistics Book PDF

Author : Ben Lambert
Publisher : SAGE
Page : 744 pages
File Size : 55,8 Mb
Release : 2018-04-20
Category : Social Science
ISBN : 9781526418265

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A Student’s Guide to Bayesian Statistics by Ben Lambert Pdf

Supported by a wealth of learning features, exercises, and visual elements as well as online video tutorials and interactive simulations, this book is the first student-focused introduction to Bayesian statistics. Without sacrificing technical integrity for the sake of simplicity, the author draws upon accessible, student-friendly language to provide approachable instruction perfectly aimed at statistics and Bayesian newcomers. Through a logical structure that introduces and builds upon key concepts in a gradual way and slowly acclimatizes students to using R and Stan software, the book covers: An introduction to probability and Bayesian inference Understanding Bayes′ rule Nuts and bolts of Bayesian analytic methods Computational Bayes and real-world Bayesian analysis Regression analysis and hierarchical methods This unique guide will help students develop the statistical confidence and skills to put the Bayesian formula into practice, from the basic concepts of statistical inference to complex applications of analyses.

The Oxford Handbook of Bayesian Econometrics

Herman van Dijk
The Oxford Handbook of Bayesian Econometrics Book PDF

Author : Herman van Dijk
Publisher : Oxford University Press
Page : 571 pages
File Size : 51,5 Mb
Release : 2011-09-29
Category : Business & Economics
ISBN : 9780199559084

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The Oxford Handbook of Bayesian Econometrics by Herman van Dijk Pdf

A broad coverage of the application of Bayesian econometrics in the major fields of economics and related disciplines, including macroeconomics, microeconomics, finance, and marketing.

A First Course in Bayesian Statistical Methods

Peter D. Hoff
A First Course in Bayesian Statistical Methods Book PDF

Author : Peter D. Hoff
Publisher : Springer Science & Business Media
Page : 271 pages
File Size : 48,7 Mb
Release : 2009-06-02
Category : Mathematics
ISBN : 9780387924076

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A First Course in Bayesian Statistical Methods by Peter D. Hoff Pdf

A self-contained introduction to probability, exchangeability and Bayes’ rule provides a theoretical understanding of the applied material. Numerous examples with R-code that can be run "as-is" allow the reader to perform the data analyses themselves. The development of Monte Carlo and Markov chain Monte Carlo methods in the context of data analysis examples provides motivation for these computational methods.

Bayesian Econometrics

Siddhartha Chib,William Griffiths
Bayesian Econometrics Book PDF

Author : Siddhartha Chib,William Griffiths
Publisher : Emerald Group Publishing
Page : 672 pages
File Size : 48,7 Mb
Release : 2008-12-18
Category : Business & Economics
ISBN : 9781848553095

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Bayesian Econometrics by Siddhartha Chib,William Griffiths Pdf

Illustrates the scope and diversity of modern applications, reviews advances, and highlights many desirable aspects of inference and computations. This work presents an historical overview that describes key contributions to development and makes predictions for future directions.