Introduction to Bayesian Econometrics (Google eBook)

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Cambridge University Press, Oct 8, 2007 - Business & Economics
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This book introduces the increasingly popular Bayesian approach to statistics to graduates and advanced undergraduates. In contrast to the long-standing frequentist approach to statistics, the Bayesian approach makes explicit use of prior information and is based on the subjective view of probability. Bayesian econometrics takes probability theory as applying to all situations in which uncertainty exists, including uncertainty over the values of parameters. A distinguishing feature of this book is its emphasis on classical and Markov chain Monte Carlo (MCMC) methods of simulation. The book is concerned with applications of the theory to important models that are used in economics, political science, biostatistics, and other applied fields. These include the linear regression model and extensions to Tobit, probit, and logit models; time series models; and models involving endogenous variables.
  

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début page 47

Contents

Introduction
3
Posterior Distributions and Inference
20
Prior Distributions
41
membership
50
Classical Simulation
63
Basics of Markov Chains
76
Simulation by MCMC Methods
90
U0 1 proposal
100
logit model
130
Multivariate Responses
134
SUR Model
139
Time Series
153
Endogenous Covariates and Sample Selection
168
A Probability Distributions and Matrix Theorems
182
B Computer Programs for MCMC Calculations
192
Author Index
200

Linear Regression and Extensions
111
women with young children right women with
123

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Popular passages

Page xiv - I have been extremely fortunate to have had the opportunity to work with him.
Page 198 - Schervish, MJ (1995). Theory of Statistics. Springer Series in Statistics (Springer- Verlag, New York).
Page 198 - Priestley, MB (1981). Spectral Analysis and Time Series. Probability and Mathematical Statistics (Academic Press, London).

About the author (2007)

Edward Greenberg is Professor Emeritus of Economics at Washington University in St Louis, where he served as a full professor on the faculty from 1969 to 2005. Professor Greenberg also taught at the University of Wisconsin, Madison and has been a visiting professor at the University of Warwick (UK), Technion University (Israel), and the University of Bergamo (Italy). A former holder of a Ford Foundation Faculty Fellowship, Professor Greenberg is coauthor of four books: Wages, Regime Switching, and Cycles (1992), The Labor Market and Business Cycle Theories (1989), Advanced Econometrics (1991) and Regulation, Market Prices, and Process Innovation (1979). His published research has appeared in leading journals such as the American Economic Review, Econometrica, Journal of Econometrics, Journal of the American Statistical Association, Biometrika and the Journal of Economic Behavior and Organization. Professor Greenberg's current research interests include dynamic macroeconomics as well as Bayesian econometrics.

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