Contemporary Bayesian Econometrics and Statistics

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John Wiley & Sons, Oct 3, 2005 - Mathematics - 300 pages
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Tools to improve decision making in an imperfect world

This publication provides readers with a thorough understanding of Bayesian analysis that is grounded in the theory of inference and optimal decision making. Contemporary Bayesian Econometrics and Statistics provides readers with state-of-the-art simulation methods and models that are used to solve complex real-world problems. Armed with a strong foundation in both theory and practical problem-solving tools, readers discover how to optimize decision making when faced with problems that involve limited or imperfect data.

The book begins by examining the theoretical and mathematical foundations of Bayesian statistics to help readers understand how and why it is used in problem solving. The author then describes how modern simulation methods make Bayesian approaches practical using widely available mathematical applications software. In addition, the author details how models can be applied to specific problems, including:
* Linear models and policy choices
* Modeling with latent variables and missing data
* Time series models and prediction
* Comparison and evaluation of models


The publication has been developed and fine- tuned through a decade of classroom experience, and readers will find the author's approach very engaging and accessible. There are nearly 200 examples and exercises to help readers see how effective use of Bayesian statistics enables them to make optimal decisions. MATLAB? and R computer programs are integrated throughout the book. An accompanying Web site provides readers with computer code for many examples and datasets.

This publication is tailored for research professionals who use econometrics and similar statistical methods in their work. With its emphasis on practical problem solving and extensive use of examples and exercises, this is also an excellent textbook for graduate-level students in a broad range of fields, including economics, statistics, the social sciences, business, and public policy.
 

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Contents

1 Introduction
1
2 Elements of Bayesian Inference
21
3 Topics in Bayesian Inference
73
4 Posterior Simulation
105
5 Linear Models
153
6 Modeling with Latent Variables
195
7 Modeling for Time Series
221
8 Bayesian Investigation
245
Bibliography
283
Author Index
293
Subject Index
295
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Page 300 - Reflecting the wide range of current research in statistics, the series encompasses applied, methodological and theoretical statistics, ranging from applications and new techniques made possible by advances in computerized practice to rigorous treatment of theoretical approaches. This series provides essential and invaluable reading for all statisticians, whether in academia, industry, government, or research. ABRAHAM and LEDOLTER . Statistical Methods for Forecasting AGRESTI . Analysis of Ordinal...
Page 300 - Edition * ANDERSON • The Statistical Analysis of Time Series ANDERSON, AUQUIER, HAUCK, OAKES, VANDAELE, and WEISBERG • Statistical Methods for Comparative Studies ANDERSON and LOYNES • The Teaching of Practical Statistics ARMITAGE and DAVID (editors) • Advances in Biometry ARNOLD, BALAKRISHNAN, and NAGARAJA • Records * ARTHANARI and DODGE • Mathematical Programming in Statistics * BAILEY • The Elements of Stochastic Processes with Applications to the Natural Sciences BALAKRISHNAN and...
Page 300 - The Wiley Series in Probability and Statistics is well established and authoritative. It covers many topics of current research interest in both pure and applied statistics and probability theory. Written by leading statisticians and institutions, the titles span both state-of-the-art developments in the field and classical methods. Reflecting the wide range of current research in statistics, the series encompasses applied, methodological and theoretical statistics, ranging from applications and...

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About the author (2005)

JOHN GEWEKE, PHD, is Harlan McGregor Chair in Economic Theory and Professor of Economics and Statistics at the University of Iowa. He is an elected Fellow of the Econometric Society and the American Statistical Association, former President of the International Society for Bayesian Analysis, and coeditor of the Journal of Econometrics.

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