Advanced Econometrics
PhD in Economics - Bayesian Statistics and Econometrics
a.y. 2023-2024
Instructor:
Roberto Casarin
E-mail:
r.casarin@unive.it
Office hour:
Tuesday, 11.00 a.m.-12.00 a.m. (On request)
Notes
A. Bayesian Statistics
A.1 Bayesian Inference (slides, slidesAnnotated1, slidesAnnotated2, slidesAnnotated3, slidesAnnotated4, slidesAnnotated5, slidesAnnotated6,slidesAnnotated7)
Further readings: Introduction to BMA, Introduction to BNP, Forecast Combination, Advanced BNP
A.2 Numerical Methods (slides and 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)