Advanced Econometrics
PhD in Economics - Bayesian Statistics and Econometrics
a.y. 2025-2026
PhD in Economics - Bayesian Statistics and Econometrics
a.y. 2025-2026
Instructor:
Roberto Casarin
E-mail:
r.casarin@unive.it
Office hour:
Tuesday,
11.00 a.m.-12.00 a.m. (On request)
Homeworks:
Notes
A. Bayesian Statistics
A.1 Bayesian Inference (slides)
Further readings on prior distributions:
Further readings on model selection and test of hypothesis:
Fractional BF1, Fractional BF2
See also: AMS Book Review
Other Links: The International Society for Bayesian Analysis: https://bayesian.org/, ISBA World Meeting 2024 in Venice: https://www.unive.it/isba2024
A.2 Numerical Methods (slides, codeMC2024, codeMCBayes2024,codeMCBayesIS2024, code, codeExampleMetropolis)
B. Bayesian Modelling
B.1 State Space Models and Filtering (slides , MarkovSwitchingCode, ParticleFilterCode)
B.2 Bayesian VAR (slides), SUR (slides)
B.3 Bayesian Markov-switching VAR (slides and code)
B.4 Bayesian Graphical VAR (slides and code)
B.5 Bayesian nonparametrics VAR (slides and code)