Summer School on Bayesian Methods in Economics and Finance

Coordinator: Gaetano Carmeci, DEAMS, Trieste University

e-mail: gaetano.carmeci@deams.units.it

Lecture Notes

Program

Structure of the Course and Timetable

Syllabus

Bayesian Inference

Gaetano Carmeci, University of Trieste, Slides, Exercises

Monte Carlo Markov Chain

Stefano Peluso, University Cattolica del Sacro Cuore, Slides and Code

Bayesian Regression, Model Selection, BMA

Matteo Ciccarelli, European Central Bank, Slides and Code

Linear and Nonlinear State Space Models, Stochastic Filtering, Sequential Monte Carlo

Roberto Casarin, University Ca' Foscari of Venice, Slides and Code

Useful Links

Econometrics Links Page,

Resources and libraries for different softwares

Chris Sims's Home Page,

Codes and libraries on Bayesian inference from his book

Gary Koop's Home Page,

For the Matlab codes and references on Stochastic Search, Bayesian VAR,..., follow the link to his research page

LeSage's Home Page,

For Matlab codes and libraries on Bayesian inference (VAR, Panel, Logit,...) follows these links: Spatial Econometrics

Other resources

Tobias's Home Page,

Matlab codes and libraries on Bayesian inference from his book

Bayesian Music

Brad Carlin's Music Page

Disclaimer:

Many routines and functions used in the various parts of the course rely on material distributed by several scholars on their web pages or have been adapted from codes associated with Bayesian books or courses. In particular, many MATLAB functions come from LeSage's Econometrics Toolbox (see LeSage, Applied econometrics using MATLAB, available at http://www.spatial-econometrics.com). Some routines for VAR and hierarchical models are adapted from Koop (Bayesian Econometrics, Wiley, 2003, available at http://www.wiley.com/legacy/wileychi/koopbayesian/) and Koop and Korobilis (2010, material available at http://personal.strath.ac.uk/gary.koop/bayes_matlab_code_by_koop_and_korobilis.html). Main codes usually acknowledge the sources.