Bauwens, Luc Lubrano, Michel Richard, Jean François
Bayesian Inference in Dynamic Econometric Models - New York, NY [u.a.], Oxford University Press, 2000 - 350 pages - C1 55 - Advanced Texts in Econometrics .
This book contains an up-to-date coverage of the last twenty years of 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.
0-19-877313-7s
Bayesian inference
econometric model
Bayesian Inference in Dynamic Econometric Models - New York, NY [u.a.], Oxford University Press, 2000 - 350 pages - C1 55 - Advanced Texts in Econometrics .
This book contains an up-to-date coverage of the last twenty years of 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.
0-19-877313-7s
Bayesian inference
econometric model
