Bayesian Inference in Dynamic Econometric Models (Advanced Texts in Econometrics) - Softcover

Bauwens, Luc

Softcover

ISBN 10: 0198773137 ISBN 13: 9780198773139

Publisher: Oxford University Press, USA, 2000

Synopsis

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 this title

Review

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 application to parameter estimation. (Paul Goodwin, International Journa of Forecasting, 2000)

Synopsis

This book contains an up-to-date coverage of the last twenty years advances in 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 (such as Markov Chain Monte Carlo methods), and the long available analytical results of Bayesian inference for linear regression models. It thus covers a broad range of rather recent models for economic time series, such as non linear models, autoregressive conditional heteroskedastic regressions, and cointegrated vector autoregressive models. It contains also an extensive chapter on unit root inference from the Bayesian viewpoint. Several examples illustrate the methods.

Edition details

• Publisher: Oxford University Press, USA
• Publication date: 2000
• ISBN 10: 0198773137
• ISBN 13: 9780198773139
• Binding: Paperback
• Language: English
• Number of pages: 368