Training Course for ONS

Professor Gary Koop

E-mail: Gary.Koop@strath.ac.uk

Computer practicals give by:

Dr, Aubrey Poon

E-mail: Aubrey.Poon@strath.ac.uk

Textbooks, Monographs and Handouts that Cover the Course Material

My textbook Bayesian Econometrics

Corrections to textbook

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 the Course

Overview of Bayesian Econometrics

Bayesian Inference in the Normal Linear Regression Model

Bayesian Methods for the Regression Model with Big Data

Bayesian VARs

Bayesian State Space Models

Regional Nowcasting with the Mixed Frequency VAR

Material for Computer Practicals

Computer Practical 0

Python code for Exercise 1

Python code for Exercise 2

Python code for Exercise 3

Computer Practical 1

Python code for Computer Practical 1

Data for Computer Practical 1

Computer Practical 2

Python code for Exercise 1 of Computer Practical 2

Python code for Exercise 2 of Computer Practical 2

Data for Computer Practical 2

Computer Practical 3

Python code for Computer Practical 3

Data for Computer Practical 3

Computer Practical 4

Python code for Computer Practical 4

Manual for Regional Nowcasting in the UK Using Mixed Frequency VARs

Annual Regional Data

Quarterly UK Data

Some troubleshooting tips if you run into problems with MCMC code