Bayesian Econometric Methods
- Textbook
Description
Bayesian Econometric Methods examines principles of Bayesian inference by posing a series of theoretical and applied questions and providing detailed solutions to those questions. This second edition adds extensive coverage of models popular in finance and macroeconomics, including state space and unobserved components models, stochastic volatility models, ARCH, GARCH, and vector autoregressive models. The authors have also added many new exercises related to Gibbs sampling and Markov Chain Monte Carlo (MCMC) methods. The text includes regression-based and hierarchical specifications, models…
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Key features
- Offers an update to the first edition by adding extensive coverage of macroeconomic models
- Provides additional exercises to aid researchers new to MCMC with understanding the methods
- MATLAB® computer programs are included on the website accompanying the text
About the book
- DOI https://doi.org/10.1017/9781108525947
- Series Econometric Exercises (7)
- Subjects Econometrics and Mathematical Methods,Economics,Statistics and Probability,Statistics for Econometrics, Finance and Insurance
- Format: Hardback
- Publication date: 26 September 2019
- ISBN: 9781108423380
- Dimensions (mm): 247 x 174 mm
- Weight: 1.12kg
- Contains: 50 b/w illus. 48 tables
- Page extent: 484 pages
- Availability: Available
- Format: Paperback
- Publication date: 26 September 2019
- ISBN: 9781108437493
- Dimensions (mm): 247 x 174 mm
- Weight: 0.99kg
- Contains: 50 b/w illus. 48 tables
- Page extent: 486 pages
- Availability: In stock
- Format: Digital
- Publication date: 14 January 2021
- ISBN: 9781108525947
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