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Bayesian Methods in Econometrics

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Author Info

  • Aivazian, Sergei

    ()
    (CEMI RAS, Moscow, Russia)

Abstract

This consultation deals with the Bayesian approach to econometric analysis. It is based on subjective probability methods of maximizing utilization of both the prior information and observations of a given process. Bayesian methods are generally used in the theory and practice of econometrics and included in the curriculum of master programs of the leading world universities. The advantage of using the Bayesian approach (in comparison with the traditional one) may be particularly seen in a higher precision of statistical inference when dealing with small samples what is typical in econometric modeling

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File URL: http://pe.cemi.rssi.ru/pe_2008_1_93-130.pdf
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Bibliographic Info

Article provided by Publishing House "SINERGIA PRESS" in its journal Applied Econometrics.

Volume (Year): 9 (2008)
Issue (Month): 1 ()
Pages: 93-130

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Handle: RePEc:ris:apltrx:0062

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Web page: http://appliedeconometrics.cemi.rssi.ru/

Related research

Keywords: bayesian approach to econometric analysis; small samples; prior information;

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Cited by:
  1. Slutskin, Lev, 2010. "Bayesian analysis in the case of an estimated parameter following a stochastic process," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 20(4), pages 119-131.

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