Training Course for ONS
E-mail: Gary.Koop@strath.ac.uk
Computer practicals give by:
E-mail: Aubrey.Poon@strath.ac.uk
Textbooks, Monographs and Handouts that Cover the Course Material
My textbook Bayesian Econometrics
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
My book of solved exercises (co-authored with Joshua Chan, Dale Poirier and Justin Tobias), Bayesian Econometric Methods, 2nd edition
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.
Here is code itself for The BEAR toolbox.
A paper by Joshua Chan on Large Bayesian VARs which offers many useful programming tips.
Lecture Slides
Overview of Bayesian Econometrics
Bayesian Inference in the Normal Linear Regression Model
Bayesian Methods for the Regression Model with Big Data
Regional Nowcasting with the Mixed Frequency VAR
Material for Computer Practicals
Python code for Computer Practical 1
Python code for Exercise 1 of Computer Practical 2
Python code for Exercise 2 of Computer Practical 2
Python code for Computer Practical 3
Python code for Computer Practical 4
Manual for Regional Nowcasting in the UK Using Mixed Frequency VARs
Some troubleshooting tips if you run into problems with MCMC code