Contemporary Bayesian Econometrics and Statistics
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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applied approximation BACC Bayes action Bayes factor client coefficient complete model compute conditional posterior distribution conjugate prior conjugate prior distribution convergence corresponding covariates credible sets decisionmaking deﬁned Deﬁnition denote econometrics ergodic evaluation Example Exercise expression ﬁnite finite state model ﬁrst Geweke Gibbs sampling Gibbs sampling algorithm importance sampling improper prior invariant distribution investigator’s iterations likelihood function likelihood principle linear model linear regression model loss function marginal likelihood Markov chain matrix MCMC mixture linear model non-Bayesian nonlinear normal distribution normal linear model normal linear regression normal mixture linear numerical standard error outcome p(yo p(yt parameters posterior density kernel posterior distribution posterior mean posterior moments posterior simulator prior distribution probability density provides random variable regression function sampler Section sequence specification student sufficient statistic Suppose teacher ratio test scores Theorem value at risk variance vector of interest yo,A
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...
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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...