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Bayesian Methods in Econometrics


  • Aivazian, Sergei

    () (CEMI RAS, Moscow, Russia)


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

Suggested Citation

  • Aivazian, Sergei, 2008. "Bayesian Methods in Econometrics," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 9(1), pages 93-130.
  • Handle: RePEc:ris:apltrx:0062

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    References listed on IDEAS

    1. L. Randall Wray & Stephanie Bell, 2004. "Introduction," Chapters,in: Credit and State Theories of Money, chapter 1 Edward Elgar Publishing.
    2. Philippe Robert-Demontrond & R. Ringoot, 2004. "Introduction," Post-Print halshs-00081823, HAL.
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    Cited by:

    1. repec:nea:journl:y:2017:i:36:p:12-30 is not listed on IDEAS
    2. Shulgin, Andrei, 2014. "How much monetary policy rules do we need to estimate DSGE model for Russia?," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 36(4), pages 3-31.
    3. 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.
    4. Slutskin, Lev, 2015. "Definition of a prior distribution in Bayesian analysis by minimizing KullbackÔÇôLeibler divergence under data availability," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 40(4), pages 129-141.
    5. Demeshev, Boris & Malakhovskaya, Oxana, 2016. "BVAR mapping," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 43, pages 118-141.

    More about this item


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

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General


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