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Bayesian Inference in Dynamic Econometric Models : Advanced Texts in Econometrics - Luc Bauwens

Bayesian Inference in Dynamic Econometric Models

Advanced Texts in Econometrics


Published: 1st December 1999
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This book offers an up-to-date coverage of the basic principles and tools of Bayesian inference in econometrics, with an emphasis on dynamic models. It shows how to treat Bayesian inference in non linear models, by integrating the useful developments of numerical integration techniques based on simulations, and the long available analytical results of Bayesian inference for linear regression models.
About the Series
Advanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature.

`it can serve as a useful textbook for advanced undergraduate or graduate courses in either time series analysis or econometrics.' Paul Goodwin, International Journal of Forecasting, 2000 `presents a comprehensive review of dynamic econometric models from a Bayesian perspective ... four insightful introductory chapters ... provide a valuable synthesis of current ideas and their applications to parameter estimation' Paul Goodwin, International Journal of Forecasting, 2000

Chapter 1: Decision Theory and Bayesian Inference Chapter 2: Bayesian Statistics and Linear Regression Chapter 3: Methods of Numerical Integration Chapter 4: Prior Densities for the Regression Model Chapter 5: Dynamic Regression Models Chapter 6: Bayesian Unit Roots Chapter 7: Heteroskedasticity and ARCH Chapter 8: Nonlinear Tome Series Models Chapter 9: Systems of Equations Appendix A: Probability Distributions Appendix B: Generating Random Numbers

ISBN: 9780198773122
ISBN-10: 0198773129
Series: Advanced Texts in Econometrics
Audience: Professional
Format: Hardcover
Language: English
Number Of Pages: 366
Published: 1st December 1999
Publisher: Oxford University Press
Country of Publication: GB
Dimensions (cm): 24.2 x 16.3  x 2.4
Weight (kg): 0.69