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BAYESIAN ECONOMETRICS: The First Twenty Years

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  • QIN, Duo

Abstract

This paper sketches the history of how Bayesian inference was adopted and utilized in econometrics during its first 20 years. It focuses on the causes of the Bayesian movement, the ways in which Bayesian inference was applied, the problems that the application was intended to solve, and the results achieved. It shows that Bayesian research has largely followed mainstream econometric development as far as the major econometric ideas and methods are concerned and that Bayesian reformulation of mainstream econometrics has nevertheless helped in deepening econometricians' understanding of many modeling problems by presenting them from a different angle.

Suggested Citation

  • QIN, Duo, 1996. "BAYESIAN ECONOMETRICS: The First Twenty Years," Econometric Theory, Cambridge University Press, vol. 12(3), pages 500-516, August.
    • Handle: RePEc:cup:etheor:v:12:y:1996:i:03:p:500-516_00
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    Cited by:

    1. Christopher L. Gilbert & Duo Qin, 2005. "The First Fifty Years of Modern Econometrics," Working Papers 544, Queen Mary University of London, School of Economics and Finance.
    2. Nalan Basturk & Cem Cakmakli & S. Pinar Ceyhan & Herman K. van Dijk, 2014. "On the Rise of Bayesian Econometrics after Cowles Foundation Monographs 10, 14," Tinbergen Institute Discussion Papers 14-085/III, Tinbergen Institute, revised 04 Sep 2014.
    3. Christopher L. Gilbert & Duo Qin, 2007. "Representation in Econometrics: A Historical Perspective," Working Papers 583, Queen Mary University of London, School of Economics and Finance.
    4. Duo Qin, 2006. "VAR Modelling Approach and Cowles Commission Heritage," Working Papers 557, Queen Mary University of London, School of Economics and Finance.
    5. Duo Qin, 2006. "VAR Modelling Approach and Cowles Commission Heritage," Working Papers 557, Queen Mary University of London, School of Economics and Finance.
    6. Francesco Sergi, 2015. "L'histoire (faussement) naïve des modèles DSGE," Documents de travail du Centre d'Economie de la Sorbonne 15066, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    7. Christopher L. Gilbert & Duo Qin, 2007. "Representation in Econometrics: A Historical Perspective," Working Papers 583, Queen Mary University of London, School of Economics and Finance.
    8. Francesco Sergi, 2015. "L'histoire (faussement) naïve des modèles DSGE," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01222798, HAL.

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