Bayesian Inference in Dynamic Econometric Models

Bayesian Inference in Dynamic Econometric Models

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Description

This book contains an up-to-date coverage of the last twenty years advances in Bayesian inference in econometrics, with an emphasis on dynamic models. It shows how to treat Bayesian inference in non linear models, by integrating the useful developments of numerical integration techniques based on simulations (such as Markov Chain Monte Carlo methods), and the long available analytical results of Bayesian inference for linear regression models. It thus covers a broad range of rather recent models for economic time series, such as non linear models, autoregressive conditional heteroskedastic regressions, and cointegrated vector autoregressive models. It contains also an extensive chapter on unit root inference from the Bayesian viewpoint. Several examples illustrate the methods.show more

Product details

  • Hardback | 366 pages
  • 160 x 234 x 26mm | 680.4g
  • Oxford University Press
  • Oxford, United Kingdom
  • English
  • New.
  • graphs
  • 0198773129
  • 9780198773122

About Luc Bauwens

Luc Bauwens is currently Professor of Economics at the Universite catholique de Louvain, where he has been co-director of the Center for Operations Research and Econometrics (CORE) from 1992 to 1998. He has previously been a lecturer at Ecole des Hautes Etudes en Sciences Sociales (EHESS), France, at Facultes universitaires catholiques de Mons (FUCAM), Belgium, and a consultant at the World Bank, Washington DC. His research interests cover Bayesian inference, time series methods, simulation and numerical methods in econometrics, as well as empirical finance and international trade. Michel Lubrano is Directeur de Recherche at CNRS, part of GREQAM in Marseille. Jean-Francois Richard is University Professor of Economics at the University of Pittsburgh.show more

Table of contents

Chapter 1: Decision Theory and Bayesian Inference ; Chapter 2: Bayesian Statistics and Linear Regression ; Chapter 3: Methods of Numerical Integration ; Chapter 4: Prior Densities for the Regression Model ; Chapter 5: Dynamic Regression Models ; Chapter 6: Bayesian Unit Roots ; Chapter 7: Heteroskedasticity and ARCH ; Chapter 8: Nonlinear Tome Series Models ; Chapter 9: Systems of Equations ; Appendix A: Probability Distributions ; Appendix B: Generating Random Numbersshow more

Review quote

presents a comprehensive review of dynamic econometric models from a Bayesian perspective ... four insightful introductory chapters ... provide a valuable synthesis of current ideas and their applications to parameter estimation * Paul Goodwin, International Journal of Forecasting, 2000 * it can serve as a useful textbook for advanced undergraduate or graduate courses in either time series analysis or econometrics. * Paul Goodwin, International Journal of Forecasting, 2000 *show more