Introduction to Bayesian Econometrics

To Instructors and Students

THIS BOOK IS a concise introduction to Bayesian statistics and econometrics. It can be used as a supplement to a frequentist course by instructors who wish to introduce the Bayesian viewpoint or as a text in a course on Bayesian econometrics supplemented by readings in the current literature.

While the student should have had some exposure to standard probability theory and statistics, the book does not make extensive use of statistical theory. Indeed, because of its reliance on simulation techniques, it requires less background in statistics and probability than most books that take a frequentist approach. It is, however, strongly recommended that the student become familiar with the forms and properties of the standard probability distributions collected in Appendix A.

Since the advent of Markov chain Monte Carlo (MCMC) methods in the early 1990s, Bayesian methods have been extended to a large and growing number of applications. This book limits itself to explaining in detail a few important applications. Its main goal is to provide examples of MCMC algorithms to enable students and researchers to design algorithms for the models that arise in their own research. More attention is paid to the design of algorithms for the models than to the specification and interpretation of the models themselves because I assume that the student has been exposed to these models in other statistics and econometrics classes.