Advanced Econometrics

Notes

A. Bayesian Statistics

A.1 Bayesian Inference (slides, annotatedslides1)

Further readings on prior distributions: 

• Coin Tossing 1, Coin Tossing 2

• Introduction to BNP

Further readings on model selection and test of hypothesis: 

• Bayesian LASSO

• g-prior

• Introduction to BMA

• Hypothesis testing and non-local prior

• BF functions

• Fractional BF1, Fractional BF2

Further Readings: The Theory That Would Not Die: How Bayes’ Rule Cracked the Enigma Code, Hunted Down Russian Submarines, and Emerged Triumphant from Two Centuries of Controversy, Sharon Bertsch McGrayne, Yale University Press, April 2011.  

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 Posterior Consistency (notes)

A.3 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)