Saturday, February 3, 2018

Bayesian Econometrics Slides

Over the years, I included material on Bayesian Econometrics in various courses that I taught - especially at the grad. level. I retired from teaching last year, and I thought that some of you might be interested in the slides that I used when I taught a Bayesian Econometrics topic for the last time.

I hope that you find them useful.

1. General Background
2. Constructing Prior Distributions
3. Properties of Bayes Estimators and Tests
4. Bayesian Inference for the Linear Regression Model
5. Bayesian Computation
6. More Bayesian Computation 
7. Acceptance-Rejection Sampling
8. The Metropolis-Hastings Algorithm
9. Model Selection - Theory
10. Model Selection - Applications
11. Consumption Function Case Study
© 2018, David E. Giles

5 comments:

  1. Thank you posting the slides, Prof. Giles. The link to # 11 is not working.

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    1. Santosh - thanks for pointing this out. Now fixed. DG

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  2. Thank you Dr. Giles for sharing your materials. Just curious to know: Which book you would recommend to a practitioner/applied researcher i.e. someone who wants an intuitive understanding but wants to be able to implement the procedures in R or SAS. Some of your earlier posts cite Zellner's (1971) book but it seems to be a theoretical book. Thank you.

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    1. You might want to take a look at these 2 books:

      https://www.amazon.com/Introduction-Modern-Bayesian-Econometrics-Lancaster/dp/1405117206/ref=pd_sim_14_5?_encoding=UTF8&pd_rd_i=1405117206&pd_rd_r=F5BZ6SJA3K00FHKJHGCM&pd_rd_w=g0F68&pd_rd_wg=n1fbp&psc=1&refRID=F5BZ6SJA3K00FHKJHGCM


      https://www.amazon.com/Introduction-Bayesian-Econometrics-Edward-Greenberg/dp/110743677X/ref=pd_cp_14_1?_encoding=UTF8&pd_rd_i=110743677X&pd_rd_r=BDH7P24FMTVFPGZS1Q4N&pd_rd_w=mcLTl&pd_rd_wg=QYfli&psc=1&refRID=BDH7P24FMTVFPGZS1Q4N


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