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
Professor Dave
ReplyDeleteDo you suggest a good book related to Bayesian Econometrics? And about BVAR?
Thank you,
João Paulo - Brazil
Thanks for the comment. The two books that I prefer for a modern view of Bayesian econometrics are:
DeleteEdward Greenberg, "Introduction to Bayesian Econometrics" (Cambridge University Press)
Gary Koop, Dale Poirier & Justin Tobias, "Bayesian Econometric Methods" (Cambridge University Press)
Hi João,
DeleteIn 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:
http://diffuseprior.wordpress.com/2012/09/04/bmr-bayesian-macroeconometrics-in-r/
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.
Great suggestion! Thanks! Sorry I answered the "books" part of the original question; but overloked the "BVAR" part.
DeleteDG
Professor Dave and DiffusePrior
ReplyDeleteThank you for your suggestions!
João Paulo
Unbelievable job mates, I enjoy going through your articles.link
ReplyDelete