Bayesian Econometrics

The overall aim of this subject is to introduce students to the essential concepts and techniques/tools used in Bayesian inference and to apply Bayesian inference to a number of econometric models. Basic concepts and tools introduced include joint, conditional and marginal probability distributions, prior, posterior and predictive distributions, marginal likelihood and Bayes theorem. Key tools and techniques introduced include Markov chain Monte Carlo (MCMC) techniques, such as the Gibbs and Metropolis Hastings algorithms, for model estimation and model comparison and the estimation of integrals via simulation methods. Throughout the course we will implement Bayesian estimation for various models such as the traditional regression model, panel models and limited dependent variable models using the Matlab programming environment.