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Bayesian Econometric Methods



Part of Econometric Exercises

  • Date Published: March 2007
  • availability: Temporarily unavailable - available from TBC
  • format: Paperback
  • isbn: 9780521671736

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About the Authors
  • 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.

    • Text offers 173 extended problems and complete solutions in Bayesian econometrics for upper-level undergraduates and above
    • May also be used in courses in statistics and applied mathematics; comes with extensive programs on accompanying website
    • Senior authors are internationally renowned Bayesian analysts
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    Reviews & endorsements

    '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

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    Product details

    • Date Published: March 2007
    • format: Paperback
    • isbn: 9780521671736
    • length: 380 pages
    • dimensions: 248 x 176 x 21 mm
    • weight: 0.637kg
    • contains: 39 tables
    • availability: Temporarily unavailable - available from TBC
  • Table of Contents

    1. The subjective interpretation of probability
    2. Bayesian inference
    3. Point estimation
    4. Frequentist properties of Bayesian estimators
    5. Interval estimation
    6. Hypothesis testing
    7. Prediction
    8. Choice 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 covariance matrix
    14. Latent variable models
    15. Mixture models
    16. Bayesian model averaging and selection
    17. Some stationary time series models
    18. Some nonstationary time series models

  • Instructors have used or reviewed this title for the following courses

    • Advanced Fund Management
    • Advanced Regression Analysis
    • Forecasting and Time Series Analysis
    • Investment Analysis and Portfolio Theory
    • Methodology and Statistics
  • Authors

    Gary Koop, University of Strathclyde
    Gary Koop is Professor of Economics at the University of Strathclyde. He has published numerous articles in Bayesian econometrics and statistics in journals such as Journal of Econometrics, Journal of the American Statistical Association and the Journal of Business and Economic Statistics. He is an associate editor for several journals, including the Journal of Econometrics and the Journal of Applied Econometrics. He is the author of the books Bayesian Econometrics, Analysis of Economic Data and Analysis of Financial Data.

    Dale J. Poirier, University of California, Irvine
    Dale J. Poirier is Professor of Economics at the University of California, Irvine. He is a Fellow of the Econometric Society, the American Statistical Association, and the Journal of Econometrics. He has been on the Editorial Boards of the Journal of Econometrics, Econometric Theory, and was the founding editor of Econometric Reviews. His professional activities have been numerous, and he has held elected positions in the American Statistical Association and the International Society for Bayesian Analysis. Previous books include Intermediate Statistics and Econometrics: A Comparative Approach and The Econometrics of Structural Change.

    Justin L. Tobias, Iowa State University
    Justin L. Tobias is Associate Professor of Economics, Iowa State University, and has also served as an Assistant/Associate Professor of Economics at the University of California, Irvine. Professor Tobias has authored numerous articles in leading journals, including the International Economic Review, the Journal of Applied Econometrics, the Journal of Business and Economic Statistics, the Journal of Econometrics, and the Review of Economics and Statistics.

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