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Bayesian econometrics

Koop, G.M. (2003) Bayesian econometrics. Wiley, United Kingdom. ISBN 978-0-470-84567-7

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Abstract

Researchers in many fields are increasingly finding the Bayesian approach to statistics to be an attractive one. This book introduces the reader to the use of Bayesian methods in the field of econometrics at the advanced undergraduate or graduate level. The book is self-contained and does not require that readers have previous training in econometrics. The focus is on models used by applied economists and the computational techniques necessary to implement Bayesian methods when doing empirical work. Topics covered in the book include the regression model (and variants applicable for use with panel data), time series models, models for qualitative or censored data, nonparametric methods and Bayesian model averaging. The book includes numerous empirical examples and the website associated with it contains data sets and computer programs to help the student develop the computational skills of modern Bayesian econometrics.

Item type: Book
ID code: 7949
Keywords: Bayesian, econometrics, economics, Commerce
Subjects: Social Sciences > Commerce
Department: Strathclyde Business School > Economics
Related URLs:
Depositing user: Strathprints Administrator
Date Deposited: 19 Jan 2010 11:19
Last modified: 12 Mar 2012 10:48
URI: http://strathprints.strath.ac.uk/id/eprint/7949

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