BAYESIAN INFERENCE AND THE METHOD OF MAXIMUM ENTROPY: THEORY, COMPUTATION, AND APPLICATIONS IN ECONOMETRICS

Book (draft) 

The current draft is written in Spanish and it was the result of my classes on Bayesian econometrics at Universidad Externado de Colombia. You can find the current draft here.

Julia Code

Chapter 1:    

The code for the example of the coin flip can be found  here. 

Chapter 2: 

There is no code for chapter 2. 

Chapter 3: 

The code for some problems of chapter 3 can be found here. 

Chapter 4: 

The code for some problems of chapter 4 can be found here. 

Chapter 5: 

Here is the code for some problems in chapter 5. 

Chapter 6: 

The code in this chapter shows how to solve problems of maximum entropy econometrics. 

Chapter 7:  

Here is the linear regression code with the conjugate priors of section 5. 

Chapter 8: 

The code in this chapter shows how to estimate a Bayesian VAR with dummy observations. The file includes the code to calculate the impulse response functions, unconditional forecasts, variance decomposition of forecast errors, and conditional forecasts using relative maximum entropy. The data used in the empirical exercise can be found here. 

Chapter 9: This code estimates linear regressions with a Gibbs sampler. This code estimates linear regressions with Metropolis-Hastings. 

Chapter 10: This code estimates agnostic SVARs using the same data as in Chapter 8. 

Chapter 11: This code estimates a linear regression with time-varying parameters. This code estimates a linear regression with time-varying and stochastic volatility.  Here is the data used in the previous regression models. This code estimates a regression with particle filters. This code estimates the linear regression with Markov switching (you'll also need this and this). 

Chapter 12: This code estimates the dynamic linear regression model with a time-varying covariance matrix. I used this data.

Chapter 13: Here is Sims' method for solving RE problems. This is the code to solve a normal DSGE. Here is the data. 

Chapter 14: I suggest using Sid Chib's code.