# Bayesian Econometric Methods

Cambridge University Press, Jan 15, 2007 - Business & Economics - 380 pages
This volume in the Econometric Exercises series contains questions and answers to provide students with useful practice, as they attempt to master Bayesian econometrics. In addition to many theoretical exercises, this book contains exercises designed to develop the computational tools used in modern Bayesian econometrics. The latter half of the book contains exercises that show how these theoretical and computational skills are combined in practice, to carry out Bayesian inference in a wide variety of models commonly used by econometricians. Aimed primarily at advanced undergraduate and graduate students studying econometrics, this book may also be useful for students studying finance, marketing, agricultural economics, business economics or, more generally, any field which uses statistics. The book also comes equipped with a supporting website containing all the relevant data sets and MATLAB computer programs for solving the computational exercises.

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### Contents

 The subjective interpretation of probability 1 Point estimation 29 Interval estimation 51 7Prediction 71 91 The linear regression model 107 Hierarchical models 169 The linear regression model with general covariance matrix 191
 Mixture models 253 Bayesian model averaging and selection 281 Some stationary time series models 297 Some nonstationary time series models 319 Appendix 335 353 Copyright

### Popular passages

Page 1 - Theorem provides the key to the ways in which beliefs should fit together in the light of changing evidence. The goal, in effect, is to establish rules and procedures for individuals concerned with disciplined uncertainty accounting. The theory is not descriptive, in the sense of claiming to model actual behavior. Rather, it is prescriptive, in the sense of saying "if you wish to avoid the possibility of these undesirable consequences you must act in the following way.
Page 1 - ... inconsistencies. The theory establishes that expected utility maximization provides the basis for rational decision making and that Bayes' Theorem provides the key to the ways in which beliefs should fit together in the light of changing evidence. The goal, in effect, is to establish rules...