Bayesian Econometric Methods
Bayesian Econometric Methods examines principles of Bayesian inference by posing a series of theoretical and applied questions and providing detailed solutions to those questions. The authors have also added many new exercises related to Gibbs sampling and Markov Chain Monte Carl… Celý popis ↓
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Bayesian Econometric Methods
Bayesian Econometric Methods examines principles of Bayesian inference by posing a series of theoretical and applied questions and providing detailed solutions to those questions. The authors have also added many new exercises related to Gibbs sampling and Markov Chain Monte Carlo (MCMC) methods. This second edition adds extensive coverage of models popular in finance and macroeconomics, including state space and unobserved components models, stochastic volatility models, ARCH, GARCH, and vector autoregressive models.
MCMC methods are discussed and illustrated in detail - from introductory applications to those at the current research frontier - and MATLAB(R) computer programs are provided on the website accompanying the text. The text includes regression-based and hierarchical specifications, models based upon latent variable representations, and mixture and time series specifications.
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