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9780470845677

Bayesian Econometrics

by
  • ISBN13:

    9780470845677

  • ISBN10:

    0470845678

  • Edition: 1st
  • Format: Paperback
  • Copyright: 2003-07-09
  • Publisher: Wiley-Interscience

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Supplemental Materials

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Summary

This book is a volume in the Econometric Exercises series. It teaches principles of Bayesian econometrics by posing a series of theoretical and applied questions, and providing detailed solutions to those questions. The text is primarily suitable for graduate study in econometrics, though it can be used for advanced undergraduate courses, and should generate interest from students in related fields, including finance, marketing, agricultural economics, business economics, and other disciplines that employ statistical methods. The book provides a detailed treatment of a wide array of models commonly employed by economists and statisticians, including linear regression-based models, hierarchical models, latent variable models, mixture models, and time series models. Basics of random variable generation and simulation via Markov Chain Monte Carlo (MCMC) methods are also provided. Finally, posterior simulators for each type of model are rigorously derived, and MATLAB computer programs for fitting these models (using both actual and generated data sets) are provided on the Web site accompanying the text. Book jacket.

Author Biography

<b>Gary Koop</b> is Professor of Economics at the University of Glasgow.

Table of Contents

Preface.
1.  An Overview of Bayesian Econometrics.
2.  The Normal Linear Regression Model with Natural Conjugate Prior and a Single Explanatory Variable.
3.  The Normal Linear Regression Model with Natural Conjugate Prior and Many Explanatory Variables.
4.  The Normal Linear Regression Model with Other Priors.
5.  The Nonlinear Regression Model.
6.  The Linear Regression Model with General Error Covariance Matrix.
7.  The Linear Regression Model with Panel Data.
8.  Introduction to Time Series: State Space Models.
9.  Qualitative and Limited Dependent Variable Models.
10.  Flexible Models: Nonparametric and Semi-Parametric Methods.
11.  Bayesian Model Averaging.
12.  Other Models, Methods and Issues.
Appendix A: Introduction to Matrix Algebra.
Appendix B: Introduction to Probability and Statistics.
Bibliography.
Index.

Supplemental Materials

What is included with this book?

The New copy of this book will include any supplemental materials advertised. Please check the title of the book to determine if it should include any access cards, study guides, lab manuals, CDs, etc.

The Used, Rental and eBook copies of this book are not guaranteed to include any supplemental materials. Typically, only the book itself is included. This is true even if the title states it includes any access cards, study guides, lab manuals, CDs, etc.

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