Introduction to Bayesian Econometrics

THE MOTIVATION FOR this edition is the same as for the first: to provide a concise introduction to the main ideas of Bayesian statistics and econometrics. The changes, however, have made the book somewhat less concise. In particular, I have added a chapter on Bayesian nonparametrics and new sections on the ordinal probit model, item response models, factor analysis models, and time-varying variances. I believe that these additional materials make the book more useful to readers. Another difference is that this edition adopts the R statistics environment as the primary tool for computing.

In addition to those thanked in the preface to the first edition, without implicating them in any errors or omissions, I offer my sincere gratitude to John Burkett, Stephen Haptonstahl, Alejandro Jara, Kyu Ho Kang, Xun Pang, Jong Hee Park, Srikanth Ramamurthy, Richard Startz, and Ghislain Vieilledent.

I am grateful for the continued support of Lisa, Aida, my grandchildren, and Sylvia Silver and her family.

With sadness, I note the recent passing of my friends and colleagues Peter Steiner, Arthur Goldberger, and Arnold Zellner, and of my dear son Arthur, to whom I dedicate this edition.