Introduction to Modern Bayesian Econometrics
1st Edition
Published on 20. April 2004
Book
Paperback/Softback
416 pages
978-1-4051-1720-3 (ISBN)
Description
In this new and expanding area, Tony Lancaster's text is the first comprehensive introduction to the Bayesian way of doing applied economics.
Uses clear explanations and practical illustrations and problems to present innovative, computer-intensive ways for applied economists to use the Bayesian method;
Emphasizes computation and the study of probability distributions by computer sampling;
Covers all the standard econometric models, including linear and non-linear regression using cross-sectional, time series, and panel data;
Details causal inference and inference about structural econometric models;
Includes numerical and graphical examples in each chapter, demonstrating their solutions using the S programming language and Bugs software
Supported by online supplements, including Data Sets and Solutions to Problems, at www.blackwellpublishing.com/lancaster
Uses clear explanations and practical illustrations and problems to present innovative, computer-intensive ways for applied economists to use the Bayesian method;
Emphasizes computation and the study of probability distributions by computer sampling;
Covers all the standard econometric models, including linear and non-linear regression using cross-sectional, time series, and panel data;
Details causal inference and inference about structural econometric models;
Includes numerical and graphical examples in each chapter, demonstrating their solutions using the S programming language and Bugs software
Supported by online supplements, including Data Sets and Solutions to Problems, at www.blackwellpublishing.com/lancaster
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 Rochester
More details
Language
English
Place of publication
Hoboken
United Kingdom
Publishing group
John Wiley and Sons Ltd
Target group
Professional and scholarly
Dimensions
Height: 246 mm
Width: 173 mm
Thickness: 23 mm
Weight
708 gr
ISBN-13
978-1-4051-1720-3 (9781405117203)
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
An Introduction to Modern Bayesian Econometrics
Book
04/2004
Wiley-Blackwell
€74.28
Article exhausted; check different version
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 Manual.
Appendix 2: Programming.
Appendix 3: BUGS.
Index
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 Manual.
Appendix 2: Programming.
Appendix 3: BUGS.
Index