Bayesian Econometric Methods (Econometric Exercises)

Cover......Page 1
Half-title......Page 3
Series-title......Page 4
Title......Page 5
Copyright......Page 6
Dedication......Page 7
Contents......Page 9
List of exercises......Page 11
Preface to the series......Page 17
Preface......Page 21
1 The subjective interpretation of probability......Page 25
2 Bayesian inference......Page 35
3 Point estimation......Page 53
4 Frequentist properties of Bayesain estimators......Page 61
5 Interval estimation......Page 75
6 Hypothesis testing......Page 83
7 Prediction......Page 95
8 Choiice of prior......Page 103
9 Asymptotic Bayes......Page 115
10 The linear regression model......Page 131
11 Basics of Bayesian computation......Page 141
11.1 Monte Carlo integration......Page 143
11.2 Importance sampling......Page 148
11.3 Gibbs sampling and the Metropolis–Hastings algorithm......Page 152
11.4 Other (noniterative) methods for generating random variates......Page 181
12 Hierarchical models......Page 193
13 The linear regression model with general conariance matrix......Page 215
14 Latent variable models......Page 227
Missing outcome data yMiss......Page 251
Inverse covariance matrix…......Page 252
15 Mixturee models......Page 277
15.1 Some scale mixture of normals models......Page 278
15.2 Other continuous and finite-mixture models......Page 284
16 Bayesian model averaging and selection......Page 305
16.1 Bayesian model averaging......Page 306
16.2 Bayesian variable selection and marginal likelihood calculation......Page 311
17 Some stationary time series models......Page 321
18 Some nonstationary time series models......Page 343
Appendix......Page 359
Bibliography......Page 367
Index......Page 377