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Bayesian Econometric Methods

Bayesian Econometric Methods

Joshua Chan
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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 methods. The text includes regression-based and hierarchical specifications, models based upon latent variable representations, and mixture and time series specifications. MCMC methods are discussed and illustrated in detail - from introductory applications to those at the current research frontier - and MATLAB computer programs are provided on the website accompanying the text. Suitable for graduate study in economics, the text should also be of interest to students studying statistics, finance, marketing, and agricultural economics.
Pages
486
Format
Paperback
Publisher
Cambridge University Press
Release
September 26, 2019
ISBN
1108437494
ISBN 13
9781108437493

Bayesian Econometric Methods

Joshua Chan
0/5 ( ratings)
Read Download
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 methods. The text includes regression-based and hierarchical specifications, models based upon latent variable representations, and mixture and time series specifications. MCMC methods are discussed and illustrated in detail - from introductory applications to those at the current research frontier - and MATLAB computer programs are provided on the website accompanying the text. Suitable for graduate study in economics, the text should also be of interest to students studying statistics, finance, marketing, and agricultural economics.
Pages
486
Format
Paperback
Publisher
Cambridge University Press
Release
September 26, 2019
ISBN
1108437494
ISBN 13
9781108437493

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