Charles Moss • Applied Bayesian Econometrics *
Purpose: This course builds on the classical econometric procedures developed in AEB 7571 Econometric Methods I and AEB 7572 Econometric Methods II
to introduce students to the use of Bayesian techniques applied to traditional econometric specifications.This course is currently in the development stage.
I am working on applying Bayesian estimation techniquest to dual cost and profit system. As a part of this learning
experience, I offer my ongoing notes on the topic.
Textbooks:
- Geweke, J. 2005. Contemporary Bayesian Econometrics and Statistics John Wiley & Sons.
Outline
- Introduction to Bayesian Econometrics
- Lecture I: Introduction to Bayesian Econometrics pdf Notes
- Lecture II: Mixed Estimators pdf Notes
- Lecture III: Simulation and Bayesian Estimation pdf Notes
- Basics of Bayesian Inference
- Lecture IV: Elements of Bayesian Inference pdf Notes
- Lecture V: Kernels and the Linear Normal Model pdf Notes
- Lecture VI: Sufficient and Ancillary Statistics, and Conjugate Families pdf Notes
- Lecture VII: Bayesian Decision Making — Point Estimation pdf Notes
- Lecture VIII: Application of Basic Bayesian Model pdf Notes
- Lecture IX: Model Comparison pdf Notes
- Topics in Bayesian Inference
- Lecture X: Improper Prior Distributions and Robustness pdf Notes
- Lecture XI: Robustness and Asymptotics pdf Notes
- Lecture XII: Likelihood Principle pdf Notes
- Posterior Simulation
- Lecture XIII: Introduction to Poterior Simulation pdf Notes
- Lecture XIV: Direct Sampling, Acceptance and Importance Sampling pdf Notes
* This material represents teaching material designed and provided by Charles B. Moss and is not the affiliated with the University of Florida. The University of Florida is not responsible for its content.
