SGPE: Bayesian Econometrics
Lecturers: Gary Koop and Niko Hauzenberger
University of Strathclyde
E-mail: Gary.Koop@strath.ac.uk and Niko.Hauzenberger@strath.ac.uk
The computer tutor for the course is Ping Wu of the University of Strathclyde
Course Outline and Organization
Textbooks, Monographs and Handouts Used in the Course
The 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
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. A link to the code itself is below with material for Computer Tutorial 4.
Lecture Slides
Overview of Bayesian Econometrics
Bayesian Inference in the Normal Linear Regression Model
Overview of Recent Advances in Macroeconomic Forecasting
Introduction to Bayesian Machine Learning Methods Methods
Introduction to Bayesian Nonparametrics
TVP-VARs with Stochastic Volatility
Bayesian Inference in Factor Models
Material for Computer Sessions
Materials for Computer Tutorial 1
Materials for Computer Tutorial 2
Materials for Computer Tutorial 3
The BEAR toolbox provides code for the VARs which you can use if you want.
Materials for Computer Tutorial 4
Some troubleshooting tips if you run into problems with MCMC code
A paper by Joshua Chan on Large Bayesian VARs which offers many useful programming tips.
Theoretical Problem Sets (answers included)
Assessment
Instructions for Journal Article Summary
Instructions for Empirical Project