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On the Rise of Bayesian Econometrics after Cowles Foundation Monographs 10, 14

Author

Listed:
  • Nalan Basturk

    (Erasmus University Rotterdam)

  • Cem Cakmakli

    (Koc University, Turkey)

  • S. Pinar Ceyhan

    (Erasmus University Rotterdam)

  • Herman K. van Dijk

    (Erasmus University Rotterdam, the Netherlands)

Abstract

This paper starts with a brief description of the introduction of the likelihood approach in econometrics as presented in Cowles Foundation Monographs 10 and 14. A sketch is given of the criticisms on this approach mainly from the first group of Bayesian econometricians. Publication and citation patterns of Bayesian econometric papers are analyzed in ten major econometric journals from the late 1970s until the first few months of 2014. Results indicate a cluster of journals with theoretical and applied papers, mainly consisting of Journal of Econometrics , Journal of Business and Economic Statistics and Journal of Applied Econometrics which contains the large majority of high quality Bayesian econometric papers. A second cluster of theoretical journals, mainly consisting of Econometrica and Review of Economic Studies contains few Bayesian econometric papers. The scientific impact, however, of these few papers on Bayesian econometric research is substantial. Special issues from the journals Econometric Reviews , Journal of Econometrics and Econometric Theory received wide attention. Marketing Science shows an ever increasing number of Bayesian papers since the middle nineties. The International Economic Review and the Review of Economics and Statistics show a moderate time varying increase. An upward movement in publication patterns in most journals occurs in the early 1990s due to the effect of the 'Computational Revolution'. … More abstract in the paper.

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  • 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.
  • Handle: RePEc:tin:wpaper:20140085
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    1. The Rise of Bayesian Econometrics
      by Dave Giles in Econometrics Beat: Dave Giles' Blog on 2014-11-20 03:57:00

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    1. Nalan Baştürk & Stefano Grassi & Lennart Hoogerheide & Herman K. van Dijk, 2016. "Parallelization Experience with Four Canonical Econometric Models Using ParMitISEM," Econometrics, MDPI, Open Access Journal, vol. 4(1), pages 1-20, March.
    2. repec:gam:jecnmx:v:4:y:2016:i:1:p:11:d:65219 is not listed on IDEAS

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    Keywords

    History; Bayesian Econometrics;

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    • B4 - Schools of Economic Thought and Methodology - - Economic Methodology
    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics

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