Bayesian Econometrics

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Instructor: Roberto Casarin

E-mail: r.casarin@unive.it

Program: Syllabus

Office hour: Tuesday, 12.00 a.m.-13.00 p.m. (in person or on Zoom). Office: Room 125 (San Giobbe)

Course material: copies of the lecture notes will be made available in class. Additional references are given below in the Course Outline section

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

Homeworks 

Submit your solution in Moodle!: Homework1, Homework2, Homework3.

Course Outline 

(1) Bayesian Analysis

   (1.1) Foundation of Bayesian Analysis

   (1.2) Simulation Methods

   (1.3) SUR, VAR and Panel VAR

(2) Nonlinear Models

(3) Bayesian nonparametrics

(4) Variational Bayes

(5) Stochastic Filtering