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Bayesian econometrics in Stata 17

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  • David Schenck

    (StataCorp)

Abstract

Stata 17 introduced Bayesian support for many time-series and panel-data commands. In this talk, I will discuss Bayesian vector autoregression models, Bayesian DSGE models, and Bayesian panel-data models. Bayesian estimation is well suited to these models because economic considerations often impose structure that is captured well by informative priors. I will describe the main features of these commands as well as Bayesian diagnostics, posterior hypothesis tests, predictions, impulse–response functions, and forecasts.

Suggested Citation

  • David Schenck, 2021. "Bayesian econometrics in Stata 17," 2021 Stata Conference 28, Stata Users Group.
    • Handle: RePEc:boc:scon21:28
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    File URL: http://fmwww.bc.edu/repec/scon2021/US21_Schenck.pdf
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