An Introduction to Modern Bayesian Econometrics
Published on 20. April 2004
Book
Hardback
416 pages
978-1-4051-1719-7 (ISBN)
Description
About two hundred and forty years ago, an English clergyman named Thomas Bayes developed a method to calculate the chances of uncertain events in the light of accumulating evidence. Though his method has extensive applications to the work of economists, it is only recent advances in computing that have made it possible to exploit its full power. In this new and expanding area, Tony Lancaster's text provides a comprehensive introduction to the Bayesian way of doing applied economics. Using clear explanations and practical illustrations and problems, the text presents innovative, computer-intensive ways for applied economists to use the Bayesian method. In addition, each chapter includes numerical and graphical examples and demonstrates their solutions using the S programming language and Bugs software.
Reviews / Votes
"This book conveys the revolution in Bayesian statistics brought about by modern computing and simulation methods from a perspective that econometricians will find familiar. It works through the implications for econometric practice using practical examples and accessible computer software. Graduate students in economics will find it highly accessible. Practitioners steeped in classical econometric methods will find much that is new, exciting, and useful here as well." John Geweke, University of Iowa "Lancaster's text gives an impressive overview of the Bayesian point of view, and should prove a valuable resource to econometricians of all persuasions." Werner Ploberger, University of RochesterMore details
Language
English
Place of publication
Oxford
United Kingdom
Publishing group
John Wiley and Sons Ltd
Target group
College/higher education
Professional and scholarly
upper-level undergraduate and graduate students in Bayesian econometrics and advanced econometrics courses
Illustrations
100
Dimensions
Height: 246 mm
Width: 171 mm
ISBN-13
978-1-4051-1719-7 (9781405117197)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
Additional editions
Tony Lancaster
Introduction to Modern Bayesian Econometrics
Book
04/2004
1st Edition
Wiley
€48.22
Shipment within 3-4 weeks
Person
Tony Lancaster is Herbert H. Goldberger Professor of Economics and Professor of Community Health at Brown University. He is the author of The Econometric Analysis of Transition Data (1990), an Econometric Society Monograph.
Content
Introduction 1. The Bayesian Algorithm 2. Prediction and Model Checking 3. Linear Regression 4. Bayesian Calculations 5. Nonlinear Regression Models 6. Randomized, Controlled and Observational Data 7. Models for Panel Data 8. Instrumental Variables 9. Some Time Series Models Appendix 1: A Conversion ManualAppendix 2: ProgrammingAppendix 3: BUGS Index