Introduction to Bayesian Econometrics

Author : Edward Greenberg (Washington University, St Louis)

Paperback

Published : Thursday 21 August 2014

ISBN : 9781107436770

Price : €36.26

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Introduction to Bayesian Econometrics

by Edward Greenberg (Washington University, St Louis)

Paperback

21 Aug 2014

BUSINESS AND ECONOMICS
>> Econometrics

€36.26

Extended stock – Dispatch 5-7 days

Description

This textbook is an introduction to econometrics from the Bayesian viewpoint. New material includes a chapter on semiparametric regression and new sections on the ordinal probit, item response, factor analysis, ARCH-GARCH and stochastic volatility models. The R programming language is also emphasized.

This textbook explains the basic ideas of subjective probability and shows how subjective probabilities must obey the usual rules of probability to ensure coherency. It defines the likelihood function, prior distributions and posterior distributions. It explains how posterior distributions are the basis for inference and explores their basic properties. Various methods of specifying prior distributions are considered, with special emphasis on subject-matter considerations and exchange ability. The regression model is examined to show how analytical methods may fail in the derivation of marginal posterior distributions. The remainder of the book is concerned with applications of the theory to important models that are used in economics, political science, biostatistics and other applied fields. New to the second edition is a chapter on semiparametric regression and new sections on the ordinal probit, item response, factor analysis, ARCH-GARCH and stochastic volatility models. The new edition also emphasizes the R programming language.

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