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Bayesian econometric methods /

by Koop, Gary; Poirier, Dale J; Tobias, Justin L.
Material type: materialTypeLabelBookSeries: Econometric exercises ; 7. Publisher: Cambridge ; New York : Cambridge University Press, c2007Description: xxi, 357 p. : ill. ; 26 cm.ISBN: 0521855713 (hardback); 9780521855716 (hardback); 0521671736 (pbk.); 9780521671736 (pbk.).Subject(s): Econometrics | Bayesian statistical decision theoryOnline resources: WorldCat details | E-book Fulltext
Contents:
Table of contents Preface; 1. The subjective interpretation of probability; 2. Bayesian inference; 3. Point estimation; 4. Frequentist properties of Bayesian estimators; 5. Interval estimation; 6. Hypothesis testing; 7. Prediction; 8. Choice of prior; 9. Asymptotic Bayes; 10. The linear regression model; 11. Basics of Bayesian computation; 12. Hierarchical models; 13. The linear regression model with general covariance matrix; 14. Latent variable models; 15. Mixture models; 16. Bayesian model averaging and selection; 17. Some stationary time series models; 18. Some nonstationary time series models; Appendix; Index.
Summary: "This book is a volume in the Econometric Exercises series. It teaches principles of Bayesian econometrics by posing a series of theoretical and applied questions, and providing detailed solutions to those questions. This text is primarily suitable for graduate study in econometrics, though it can be used for advanced undergraduate courses, and should generate interest from students in related fields, including finance, marketing, agricultural economics, business economics, and other disciplines that employ statistical methods. The book provides a detailed treatment of a wide array of models commonly employed by economists and statisticians, including linear regression-based models, hierarchical models, latent variable models, mixture models, and time series models."--Jacket.
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Item type Location Collection Call number Status Date due
E-Book E-Book E-book Non Fiction 330.01519542 KOB 2007 (Browse shelf) Not for loan
Text Text Reserve Section Non Fiction 330.01519542 KOB 2007 (Browse shelf) Not For Loan

Includes bibliographical references (p. 343-351) and index.

Table of contents Preface; 1. The subjective interpretation of probability; 2. Bayesian inference; 3. Point estimation; 4. Frequentist properties of Bayesian estimators; 5. Interval estimation; 6. Hypothesis testing; 7. Prediction; 8. Choice of prior; 9. Asymptotic Bayes; 10. The linear regression model; 11. Basics of Bayesian computation; 12. Hierarchical models; 13. The linear regression model with general covariance matrix; 14. Latent variable models; 15. Mixture models; 16. Bayesian model averaging and selection; 17. Some stationary time series models; 18. Some nonstationary time series models; Appendix; Index.


"This book is a volume in the Econometric Exercises series. It teaches principles of Bayesian econometrics by posing a series of theoretical and applied questions, and providing detailed solutions to those questions. This text is primarily suitable for graduate study in econometrics, though it can be used for advanced undergraduate courses, and should generate interest from students in related fields, including finance, marketing, agricultural economics, business economics, and other disciplines that employ statistical methods. The book provides a detailed treatment of a wide array of models commonly employed by economists and statisticians, including linear regression-based models, hierarchical models, latent variable models, mixture models, and time series models."--Jacket.

Economics

Sagar Shahanawaz

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