Bayesian Methods for Empirical Macroeconomics
Professor Gary Koop
University of Strathclyde
E-mail: Gary.Koop@strath.ac.uk
with Aubrey Poon of Orebro University
E-mail: aubrey.poon@oru.se
Course Outline and Organization
Textbooks, Monographs and Handouts Used in the Course
My textbook Bayesian Econometrics
My book of solved exercises (co-authored with Joshua Chan, Dale Poirier and Justin Tobias), Bayesian Econometric Methods second edition
Bayesian Models for Macroeconomic Forecasting (with Florian Huber)
A handout on Bayesian Methods for Fat Data
My monograph (co-authored with Dimitris Korobilis) Bayesian Methods for Empirical Macroeconomics
A short paper on Bayesian Methods for Empirical Macroeconomics with Big Data
A Bank of England Technical Handbook written by Andrew Blake and Haroon Mumtaz Applied Bayesian Econometrics for Central Bankers
A working paper which describes a package of computer code for Bayesian VARs The BEAR Toolbox by Alistair Dieppe, Romain Legrand and Bjorn van Roye at the European Central Bank
Lecture Slides
Topic 1: An Overview of Bayesian Econometrics
Topic 2: Bayesian Inference in the Normal Linear Regression Model
Topic 3: An Overview of Recent Advances in Macroeconomic Forecasting
Topic 4: An Introduction to Bayesian Machine Learning Methods
Topic 5: An Introduction to Bayesian Nonparametrics
Topic 6: Bayesian Vector Autoregressions
Topic 7: Bayesian State Space Models
Topic 8: TVP-VARs with Stochastic Volatility
Topic 9: Bayesian Inference in Factor Models
Topic 10: Bayesian Mixed Frequency Methods for Macroeconomics
Computer Practical Sessions
Package of Materials for Computer Practical 1
Package of Materials for Computer Practical 2
Package of Materials for Computer Practical 3
Package of Materials for Computer Practical 4
Package of Materials for Computer Practical 5
Assessment for the Course (for those wishing to be assessed):
Please do one of the following two assessments: