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 - just click on the numbers below.
1. General Background
2. Constructing Prior Distributions3. 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
Thank you posting the slides, Prof. Giles. The link to # 11 is not working.
ReplyDeleteSantosh - thanks for pointing this out. Now fixed. DG
DeleteThank 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.
ReplyDeleteYou might want to take a look at these 2 books:
Deletehttps://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
Thank you Dr. Giles!
DeleteThank you Dr Giles! I have learned a lot from your blog. It's very generous of you to share these materials.
ReplyDeleteThank You Professor. Not many people in this world who are ready to share knowledge without expecting any return. wish you happy retirement life. God bless you.
ReplyDeleteSir, how can I get the slides
ReplyDeleteJust click on the numbers (1, 2, ....) - they are highlighted!
Delete