Search

Bayesian Econometric Methods

2nd edition
Joshua Chan, Gary Koop, Dale J. Poirier, Justin L. Tobias
Published online:

14 January 2021

Print publication:

15 August 2019
- Textbook
- - Get access
    
    Buy a print copy
    
    Check if you have access via personal or institutional login
    
    Log in Register
- Export citation
Bayesian Econometric Methods examines principles of Bayesian inference by posing a series of theoretical and applied questions and providing detailed solutions to those questions. This second edition adds extensive coverage of models popular in finance and macroeconomics, including state space and unobserved components models, stochastic volatility models, ARCH, GARCH, and vector autoregressive models. The authors have also added many new exercises related to Gibbs sampling and Markov Chain Monte Carlo (MCMC) methods. The text includes regression-based and hierarchical specifications, models based upon latent variable representations, and mixture and time series specifications. MCMC methods are discussed and illustrated in detail - from introductory applications to those at the current research frontier - and MATLAB® computer programs are provided on the website accompanying the text. Suitable for graduate study in economics, the text should also be of interest to students studying statistics, finance, marketing, and agricultural economics.

14 - Latent Variable Models
Joshua Chan, Purdue University, Indiana, Gary Koop, University of Strathclyde, Dale J. Poirier, University of California, Irvine, Justin L. Tobias, Purdue University, Indiana
Book:

Bayesian Econometric Methods

Published online:

14 January 2021

Print publication:

15 August 2019, pp 239-288
- Chapter
- - Get access
    
    Check if you have access via personal or institutional login
    
    Log in Register
- Export citation

9 - Asymptotic Bayes
Joshua Chan, Purdue University, Indiana, Gary Koop, University of Strathclyde, Dale J. Poirier, University of California, Irvine, Justin L. Tobias, Purdue University, Indiana
Book:

Bayesian Econometric Methods

Published online:

14 January 2021

Print publication:

15 August 2019, pp 101-114
- Chapter
- - Get access
    
    Check if you have access via personal or institutional login
    
    Log in Register
- Export citation

11 - Basics of Random Variate Generation and Posterior Simulation
Joshua Chan, Purdue University, Indiana, Gary Koop, University of Strathclyde, Dale J. Poirier, University of California, Irvine, Justin L. Tobias, Purdue University, Indiana
Book:

Bayesian Econometric Methods

Published online:

14 January 2021

Print publication:

15 August 2019, pp 125-154
- Chapter
- - Get access
    
    Check if you have access via personal or institutional login
    
    Log in Register
- Export citation

10 - The Linear Regression Model
Joshua Chan, Purdue University, Indiana, Gary Koop, University of Strathclyde, Dale J. Poirier, University of California, Irvine, Justin L. Tobias, Purdue University, Indiana
Book:

Bayesian Econometric Methods

Published online:

14 January 2021

Print publication:

15 August 2019, pp 115-124
- Chapter
- - Get access
    
    Check if you have access via personal or institutional login
    
    Log in Register
- Export citation

Dedication
Joshua Chan, Purdue University, Indiana, Gary Koop, University of Strathclyde, Dale J. Poirier, University of California, Irvine, Justin L. Tobias, Purdue University, Indiana
Book:

Bayesian Econometric Methods

Published online:

14 January 2021

Print publication:

15 August 2019, pp vii-viii
- Chapter
- - Get access
    
    Check if you have access via personal or institutional login
    
    Log in Register
- Export citation

Appendix
Joshua Chan, Purdue University, Indiana, Gary Koop, University of Strathclyde, Dale J. Poirier, University of California, Irvine, Justin L. Tobias, Purdue University, Indiana
Book:

Bayesian Econometric Methods

Published online:

14 January 2021

Print publication:

15 August 2019, pp 441-448
- Chapter
- - Get access
    
    Check if you have access via personal or institutional login
    
    Log in Register
- Export citation

12 - Posterior Simulation via Markov Chain Monte Carlo
Joshua Chan, Purdue University, Indiana, Gary Koop, University of Strathclyde, Dale J. Poirier, University of California, Irvine, Justin L. Tobias, Purdue University, Indiana
Book:

Bayesian Econometric Methods

Published online:

14 January 2021

Print publication:

15 August 2019, pp 155-216
- Chapter
- - Get access
    
    Check if you have access via personal or institutional login
    
    Log in Register
- Export citation

Frontmatter
Joshua Chan, Purdue University, Indiana, Gary Koop, University of Strathclyde, Dale J. Poirier, University of California, Irvine, Justin L. Tobias, Purdue University, Indiana
Book:

Bayesian Econometric Methods

Published online:

14 January 2021

Print publication:

15 August 2019, pp i-vi
- Chapter
- - Get access
    
    Check if you have access via personal or institutional login
    
    Log in Register
- Export citation

19 - Time Series Models for Volatility
Joshua Chan, Purdue University, Indiana, Gary Koop, University of Strathclyde, Dale J. Poirier, University of California, Irvine, Justin L. Tobias, Purdue University, Indiana
Book:

Bayesian Econometric Methods

Published online:

14 January 2021

Print publication:

15 August 2019, pp 391-410
- Chapter
- - Get access
    
    Check if you have access via personal or institutional login
    
    Log in Register
- Export citation

13 - Hierarchical Models
Joshua Chan, Purdue University, Indiana, Gary Koop, University of Strathclyde, Dale J. Poirier, University of California, Irvine, Justin L. Tobias, Purdue University, Indiana
Book:

Bayesian Econometric Methods

Published online:

14 January 2021

Print publication:

15 August 2019, pp 217-238
- Chapter
- - Get access
    
    Check if you have access via personal or institutional login
    
    Log in Register
- Export citation

15 - Mixture Models
Joshua Chan, Purdue University, Indiana, Gary Koop, University of Strathclyde, Dale J. Poirier, University of California, Irvine, Justin L. Tobias, Purdue University, Indiana
Book:

Bayesian Econometric Methods

Published online:

14 January 2021

Print publication:

15 August 2019, pp 289-320
- Chapter
- - Get access
    
    Check if you have access via personal or institutional login
    
    Log in Register
- Export citation

3 - Point Estimation
Joshua Chan, Purdue University, Indiana, Gary Koop, University of Strathclyde, Dale J. Poirier, University of California, Irvine, Justin L. Tobias, Purdue University, Indiana
Book:

Bayesian Econometric Methods

Published online:

14 January 2021

Print publication:

15 August 2019, pp 31-40
- Chapter
- - Get access
    
    Check if you have access via personal or institutional login
    
    Log in Register
- Export citation

4 - Frequentist Properties of Bayesian Estimators
Joshua Chan, Purdue University, Indiana, Gary Koop, University of Strathclyde, Dale J. Poirier, University of California, Irvine, Justin L. Tobias, Purdue University, Indiana
Book:

Bayesian Econometric Methods

Published online:

14 January 2021

Print publication:

15 August 2019, pp 41-56
- Chapter
- - Get access
    
    Check if you have access via personal or institutional login
    
    Log in Register
- Export citation

Index
Joshua Chan, Purdue University, Indiana, Gary Koop, University of Strathclyde, Dale J. Poirier, University of California, Irvine, Justin L. Tobias, Purdue University, Indiana
Book:

Bayesian Econometric Methods

Published online:

14 January 2021

Print publication:

15 August 2019, pp 461-466
- Chapter
- - Get access
    
    Check if you have access via personal or institutional login
    
    Log in Register
- Export citation

8 - ChoiceofPrior
Joshua Chan, Purdue University, Indiana, Gary Koop, University of Strathclyde, Dale J. Poirier, University of California, Irvine, Justin L. Tobias, Purdue University, Indiana
Book:

Bayesian Econometric Methods

Published online:

14 January 2021

Print publication:

15 August 2019, pp 89-100
- Chapter
- - Get access
    
    Check if you have access via personal or institutional login
    
    Log in Register
- Export citation

16 - Bayesian Methods for Model Comparison, Selection, and Big Data
Joshua Chan, Purdue University, Indiana, Gary Koop, University of Strathclyde, Dale J. Poirier, University of California, Irvine, Justin L. Tobias, Purdue University, Indiana
Book:

Bayesian Econometric Methods

Published online:

14 January 2021

Print publication:

15 August 2019, pp 321-342
- Chapter
- - Get access
    
    Check if you have access via personal or institutional login
    
    Log in Register
- Export citation

Bibliography
Joshua Chan, Purdue University, Indiana, Gary Koop, University of Strathclyde, Dale J. Poirier, University of California, Irvine, Justin L. Tobias, Purdue University, Indiana
Book:

Bayesian Econometric Methods

Published online:

14 January 2021

Print publication:

15 August 2019, pp 449-460
- Chapter
- - Get access
    
    Check if you have access via personal or institutional login
    
    Log in Register
- Export citation

1 - The Subjective Interpretation of Probability
Joshua Chan, Purdue University, Indiana, Gary Koop, University of Strathclyde, Dale J. Poirier, University of California, Irvine, Justin L. Tobias, Purdue University, Indiana
Book:

Bayesian Econometric Methods

Published online:

14 January 2021

Print publication:

15 August 2019, pp 1-10
- Chapter
- - Get access
    
    Check if you have access via personal or institutional login
    
    Log in Register
- Export citation

18 - State Space and Unobserved Components Models
Joshua Chan, Purdue University, Indiana, Gary Koop, University of Strathclyde, Dale J. Poirier, University of California, Irvine, Justin L. Tobias, Purdue University, Indiana
Book:

Bayesian Econometric Methods

Published online:

14 January 2021

Print publication:

15 August 2019, pp 367-390
- Chapter
- - Get access
    
    Check if you have access via personal or institutional login
    
    Log in Register
- Export citation

Search Results

Refine search

Refine search

Actions for selected content:

61 results

Bayesian Econometric Methods

14 - Latent Variable Models

9 - Asymptotic Bayes

11 - Basics of Random Variate Generation and Posterior Simulation

10 - The Linear Regression Model

Dedication

Appendix

12 - Posterior Simulation via Markov Chain Monte Carlo

Frontmatter

19 - Time Series Models for Volatility

13 - Hierarchical Models

15 - Mixture Models

3 - Point Estimation

4 - Frequentist Properties of Bayesian Estimators

Index

8 - ChoiceofPrior

16 - Bayesian Methods for Model Comparison, Selection, and Big Data

Bibliography

1 - The Subjective Interpretation of Probability

18 - State Space and Unobserved Components Models

Search Results

Refine search

Refine search

Actions for selected content:

Save Search

61 results

Bayesian Econometric Methods