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BAYESIAN ECONOMETRICS: The First Twenty Years

Published online by Cambridge University Press:  11 February 2009

Duo QIN
Duo QIN
Affiliation:
Queen Mary and Westfield College
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Abstract

This paper sketches the history of how Bayesian inference was adopted and utilized in econometrics during its first 20 years. It focuses on the causes of the Bayesian movement, the ways in which Bayesian inference was applied, the problems that the application was intended to solve, and the results achieved. It shows that Bayesian research has largely followed mainstream econometric development as far as the major econometric ideas and methods are concerned and that Bayesian reformulation of mainstream econometrics has nevertheless helped in deepening econometricians' understanding of many modeling problems by presenting them from a different angle.

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Type
Research Article
Information
Econometric Theory , Volume 12 , Issue 3 , August 1996 , pp. 500 - 516
Copyright
Copyright © Cambridge University Press 1996

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