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Bayesian Inference in Dynamic Econometric Models (Advanced Texts in Econometrics) - Hardcover

 
9780198773122: Bayesian Inference in Dynamic Econometric Models (Advanced Texts in Econometrics)

Synopsis

This book offers an up-to-date coverage of the basic principles and tools of 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 , and the long available analytical results of Bayesian inference for linear regression models.

About the Series
Advanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature.

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About the Author


Luc Bauwens is currently Professor of Economics at the Université catholique de Louvain, where he has been co-director of the Center for Operations Research and Econometrics (CORE) from 1992 to 1998. He has previously been a lecturer at Ecole des Hautes Etudes en Sciences Sociales (EHESS), France, at Facultés universitaires catholiques de Mons (FUCAM), Belgium, and a consultant at the World Bank, Washington DC. His research interests cover Bayesian inference, time series methods, simulation and numerical methods in econometrics, as well as empirical finance and international trade.

Michel Lubrano is Directeur de Recherche at CNRS, part of GREQAM in Marseille.

Jean-François Richard is University Professor of Economics at the University of Pittsburgh.

Review

`it can serve as a useful textbook for advanced undergraduate or graduate courses in either time series analysis or econometrics.'
Paul Goodwin, International Journal of Forecasting, 2000

`presents a comprehensive review of dynamic econometric models from a Bayesian perspective ... four insightful introductory chapters ... provide a valuable synthesis of current ideas and their applications to parameter estimation'
Paul Goodwin, International Journal of Forecasting, 2000

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  • PublisherOxford University Press
  • Publication date2000
  • ISBN 10 0198773129
  • ISBN 13 9780198773122
  • BindingHardcover
  • LanguageEnglish
  • Edition number1
  • Number of pages366

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Hardcover. Condition: new. Hardcover. 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 abroad range of rather recent models for economic time series, such as non linear models, autoregressive conditional heteroskedastic regressions, and cointegrated vector autoregressive models. It containsalso an extensive chapter on unit root inference from the Bayesian viewpoint. Several examples illustrate the methods. This book covers the principles and tools of Bayesian inference in econometrics. Bayesian inference is a branch of statistics that integrates explicitly both data and prior information in model building, estimation and evaluation. The book shows how to use Bayesian methods in models suited to the analysis of macroeconomic and financial time series This item is printed on demand. Shipping may be from multiple locations in the US or from the UK, depending on stock availability. Seller Inventory # 9780198773122

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