Introduction to Bayesian Econometrics
AbstractThis book introduces the increasingly popular Bayesian approach to statistics to graduates and advanced undergraduates. In contrast to the long-standing frequentist approach to statistics, the Bayesian approach makes explicit use of prior information and is based on the subjective view of probability. Bayesian econometrics takes probability theory as applying to all situations in which uncertainty exists, including uncertainty over the values of parameters. A distinguishing feature of this book is its emphasis on classical and Markov chain Monte Carlo (MCMC) methods of simulation. The book is concerned with applications of the theory to important models that are used in economics, political science, biostatistics, and other applied fields. These include the linear regression model and extensions to Tobit, probit, and logit models; time series models; and models involving endogenous variables.
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Bibliographic InfoThis book is provided by Cambridge University Press in its series Cambridge Books with number 9780521858717 and published in 2008.
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- Salimans, Tim, 2012. "Variable selection and functional form uncertainty in cross-country growth regressions," Journal of Econometrics, Elsevier, vol. 171(2), pages 267-280.
- Hiroaki Chigira & Tsunemasa Shiba, 2012. "Dirichlet Prior for Estimating Unknown Regression Error Heteroscedasticity," Global COE Hi-Stat Discussion Paper Series gd12-248, Institute of Economic Research, Hitotsubashi University.
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