Monday, November 5, 2012

Bayesian Exercises

In the Advanced Topics in Econometrics course that I'm teaching this semester, one of the topics we're covering is Bayesian Econometrics. I've blogged a little on this topic before - e.g., here, here, here, and here.

If you want some practice exercises on Bayesian inference, you may be interested in this set of problems, as well as the assignment that my class is working on currently.

There's not much "econometric" content to the questions - they're more broadly statistical in nature. However, they cover some of the key ideas associated with this topic. Solutions will be posted later.

We're also looking at computational issues, such as MCMC. More on the latter in a different post, perhaps.

© 2012, David E. Giles


  1. Professor Dave

    Do you suggest a good book related to Bayesian Econometrics? And about BVAR?

    Thank you,
    João Paulo - Brazil

    1. Thanks for the comment. The two books that I prefer for a modern view of Bayesian econometrics are:

      Edward Greenberg, "Introduction to Bayesian Econometrics" (Cambridge University Press)

      Gary Koop, Dale Poirier & Justin Tobias, "Bayesian Econometric Methods" (Cambridge University Press)

    2. Hi João,

      In addition to Dave's suggestions, I recommend that you take a look at the BMR (Bayesian Macroeconometrics with R) package.

      I have discussed this package on my blog here:

      If you go onto the BMR homepage you will find a link to a document vignette that contains a very detailed description of certain Bayesian Macroeconometric methods (BVAR and DSGE), and also information on how to estimate these complex models rather effortlessly in R.

    3. Great suggestion! Thanks! Sorry I answered the "books" part of the original question; but overloked the "BVAR" part.

  2. Professor Dave and DiffusePrior

    Thank you for your suggestions!

    João Paulo

  3. Unbelievable job mates, I enjoy going through your