Sample Topics in a Two-Day Course on Bayesian Methods
Sample Topics in a Two-Day Course on Bayesian Methods
Day 1
Day 1
Introduction to the BVAR and a standard Gibbs sampler to simulate coefficients.
The Minnesota prior.
Hierarchical shrinkage with Bayesian Lasso priors.
Stochastic Search Variable Selection (SSVS) using large variance--small variance mixture priors.
Day 2
Day 2
SSVS with large variance--zero variance mixtures, i.e. spike-slab priors.
Time-varying parameter VARs.
Shrinking time-varying coefficients to fixed coefficients: stochastic model specification search (SMSS).
Bayesian VARMAs.