Bayesian Inference in Econometrics
By: authored by Avanindra Narayan Bhat
Edition: First edition
Publisher: B.R. Publishing Corporation
Published: 1999
Place of publication: Delhi, India
Language: eng
Format: Hardcover
Number of pages: 216
Copyright date: ©1999
First sentence: This study proposes the application of the Bayesian standpoint and approach to economics and econometric methods employed in economic research.
Description: For a very long time there has been a stark dichotomy between the classical (or frequentist) and Bayesian (or subjectivist) approaches to statistical inference, the former being the more commonly followed approach is that in real world applications in statistics and econometrics. A distinctive feature of the Bayesian approach is that it involves the systematic use of prior information in addition to sample information, through the Bayes theorem. In recent years the Bayesian approach has gone beyond merely replicating the well known results of the classical approach in Bayesian setting to working out solutions to problems that were once regarded as intractable. Monte Carlo integration techniques have enabled researchers to deal with some complex problems in the Bayesian context. Bayesian procedures have been found to be useful in solving many decision problems. Applications of the Bayesian methodology have become quite extensive and special in economics and finance.
Notes: Contains bibliographical references (183-188) and index.
Table of contents: title: - Acknowledgements; title: - Foreword; title: - Our Words; title: - Introduction; title: - Elements of Bayesian Inference in Econometrics; title: - Bayesian Inference in the Linear Model; title: - A Multivariate Transformation and Bayesian Inference in the Linear Regression Model; title: - Extensions to the Linear Regression Model with Nonspherical Disturbances; title: - Modelling of Expectations and Uncertainty in Economic Models: A Bayesian Approach; title: - A Model of Labour Supply Under Uncertainty; title: - Unobservable Variables and Measurement Errors in Econometric Models; title: - Conclusions; title: - Appendices; title: - Bibliography; title: - Index