Bayesian Inference in Dynamic Econometric Models

This book contains an up-to-date coverage of the last twenty years advances in Bayesian inference in econometrics, with an emphasis on dynamic models.

Bayesian Inference in Dynamic Econometric Models

Author: Luc Bauwens

Publisher: OUP Oxford

ISBN: 0191588466

Page: 366

View: 889

This book contains an up-to-date coverage of the last twenty years advances in Bayesian inference in econometrics, with an emphasis on dynamic models. It shows how to treat Bayesian inference in non linear models, by integrating the useful developments of numerical integration techniques based on simulations (such as Markov Chain Monte Carlo methods), and the long available analytical results of Bayesian inference for linear regression models. It thus covers a broad range of rather recent models for economic time series, such as non linear models, autoregressive conditional heteroskedastic regressions, and cointegrated vector autoregressive models. It contains also an extensive chapter on unit root inference from the Bayesian viewpoint. Several examples illustrate the methods.

Econometric Inference Using Simulation Techniques

This book provides a comprehensive assessment of the latest simulation techniques, and examines the three main areas of econometric inference where the use of simulation methods has been successful; Bayesian inference, classical inference, ...

Econometric Inference Using Simulation Techniques

Author: Herman K. van Dijk

Publisher: John Wiley & Son Limited

ISBN:

Page: 265

View: 935

This book provides a comprehensive assessment of the latest simulation techniques, and examines the three main areas of econometric inference where the use of simulation methods has been successful; Bayesian inference, classical inference, and the solution and stochastic simulation of dynamic econometric models, in particular general equilibrium models.

Bayesian Econometrics

This work presents an historical overview that describes key contributions to development and makes predictions for future directions.

Bayesian Econometrics

Author: Siddhartha Chib

Publisher: Emerald Group Publishing

ISBN: 1848553080

Page: 672

View: 140

Illustrates the scope and diversity of modern applications, reviews advances, and highlights many desirable aspects of inference and computations. This work presents an historical overview that describes key contributions to development and makes predictions for future directions.

Bayesian Inference and Decision Techniques

Fisk , P . R . ( 1967 ) “ Models of the second kind in regression analysis ” , Journal
of Royal Statistical Society , Ser . ... in : T . C . Koopmans , ed . , Statistical
Inference in Dynamic Economic Models ( Cowles Commission Monograph No .

Bayesian Inference and Decision Techniques

Author: Prem K. Goel

Publisher: North Holland

ISBN:

Page: 496

View: 673

The primary objective of this volume is to describe the impact of Professor Bruno de Finetti's contributions on statistical theory and practice, and to provide a selection of recent and applied research in Bayesian statistics and econometrics. Included are papers (all previously unpublished) from leading econometricians and statisticians from several countries. Part I of this book relates most directly to de Finetti's interests whilst Part II deals specifically with the implications of the assumption of finitely additive probability. Parts III & IV discuss applications of Bayesian methodology in econometrics and economic forecasting, and Part V examines assessment of prior parameters in specific parametric setting and foundational issues in probability assessment. The following section deals with state of the art for comparing probability functions and gives an assessment of prior distributions and utility functions. In Parts VII & VIII are a collection of papers on Bayesian methodology for general linear models and time series analysis (the most often used tools in economic modelling), and papers relevant to modelling and forecasting. The remaining two Parts examine, respectively, optimality considerations and the effectiveness of the Conditionality-Likelihood Principle as a vehicle to convince the non-Bayesians about the usefulness of the Bayesian paradigm.

journal of business economic statistics

The development of methods for Bayesian inference for change that altered
constraints . Thus , structurally estimated the primitives of dynamic economic
models is also of inter- economic models — whose parameters are primitives that
eiest .

journal of business   economic statistics

Author:

Publisher:

ISBN:

Page:

View: 146

Evidence Uncovered

... Policy and Long - Term Interest Rates : A Survey of the Empirical Literature , "
Contemporary Economic Policy , Vol . ... Michel , and Richard , Jean - Francois (
1999 ) Bayesian Inference in Dynamic Econometric Models , Oxford University ...

Evidence Uncovered

Author: Jennifer E. Roush

Publisher:

ISBN:

Page: 51

View: 876

Journal of Econometrics

Geweke , J . , 1989 , Bayesian inference in econometric models using Monte
Carlo integration , Econometrica 57 ... Koopmans , T . C . , ed . , 1950 , Statistical
inference in dynamic economic models , Cowles Commission monograph no .

Journal of Econometrics

Author:

Publisher:

ISBN:

Page:

View: 547

The American Economic Review

Bayesian Inference in Dynamic Econometric Models . Oxford : Oxford University
Press . Bernanke , Ben S . , Mark Gertler , and Simon Gilchrist . 1999 . “ The
Financial Accelerator in a Quantitative Business Cycle Framework . " In
Handbook of ...

The American Economic Review

Author:

Publisher:

ISBN:

Page:

View: 563

Journal of Econometrics

Harvey, A.C., 1984, Dynamic models, the prediction error decomposition and
state space, in: D.F. Hendry and K.F. Walks, ... Bayesian inference in incomplete
simultaneous equation models, in: D.F. Hendry and K.F. Wallis, eds.,
Econometrics ...

Journal of Econometrics

Author:

Publisher:

ISBN:

Page:

View: 351

Stochastic Volatility

Other Advanced Texts in Econometrics ARCH : Selected Readings Edited by
Robert F . Engle Asymptotic Theory for Integrated Processes By H . Peter Boswijk
Bayesian Inference in Dynamic Econometric Models By Luc Bauwens , Michel ...

Stochastic Volatility

Author: Neil Shephard

Publisher: OUP Oxford

ISBN:

Page: 525

View: 450

Stochastic volatility is the main concept used in the fields of financial economics and mathematical finance to deal with time-varying volatility in financial markets. This work brings together some of the main papers that have influenced this field, andshows that the development of this subject has been highly multidisciplinary.

JOURNAL OF ECONOMETRICS

Chetty , V.K. , 1966 , Bayesian analysis of some simultaneous equation models
and ... Marschak , J. , 1950 , Statistical inference in economics , An introduction ,
in : T.C. Koopmans , ed . , Statistical inference in dynamic economic models ...

JOURNAL OF ECONOMETRICS

Author: D.J. AIGNER, P.J. DHRYMES AND A. ZELLNER

Publisher:

ISBN:

Page:

View: 833

Latent Variables in Socio economic Models

Florens , J . P . , M . Mouchart and J . F . Richard , 1972 , Bayesian inference in
error - in - variables models , CORE ... analysis and its uses in econometrics , in :
T . C . Koopmans , ed . , Statistical inference in dynamic economic models ...

Latent Variables in Socio economic Models

Author: Dennis J. Aigner

Publisher: North-Holland

ISBN:

Page: 383

View: 898

International Encyclopedia of the Social Sciences

STATISTICAL INFERENCE See STATISTICS , article on THE FIELD . be
approached through an explicit recognition of the approximate nature of
specification , for example , by a Bayesian analysis with exact prior restrictions
replaced by prior distributions on the functions of the parameters to be ... Pages
53 – 237 in Tjalling C . Koopmans ( editor ) , Statistical Inference in Dynamic
Economic Models .

International Encyclopedia of the Social Sciences

Author: David L. Sills

Publisher: Macmillan Reference USA

ISBN: 9780028957807

Page: 1671

View: 150

Provides entries for terms, phrases, people, and other aspects of the social sciences, and includes quotations from individuals in various fields

Econometric Analysis

In J. Bernardo et al . , eds . , Proceedings of the Fourth Valencia International
Conference on Bayesian Statistics , New York ... In T. Koopmans , ed . , Statistical
Inference in Dynamic Economic Models , New York : John Wiley and Sons , 1950
.

Econometric Analysis

Author: William H. Greene

Publisher:

ISBN: 9780023466021

Page: 1075

View: 864

Matrix algebra; Probability abd distribution theory; Statistical inference; Computation and optimization; The classical multiple linear regression model - specification and estimation; Inference and prediction; Functional form, nonlinearity, and specification; Data problems; Nonlinear regression models; Nonspherical disturbances; generalized regression, and GMM estimation; Autocorrelated disturbances; Models for panel data; Systems of regression equations; Regressions with lagged variables; Time-series models; Models with discrete dependent variables; Limited dependent variable and duration models.