Bayesian Inference in Dynamic Econometric Models

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    This book contains an up-to-date coverage of the last twenty years advances in Bayesian inference in econometrics, with an emphasis on dynamic models. It shows how to treat Bayesian inference in non linear models, by integrating the useful developments of numerical integration techniques based on simulations such as Markov Chain Monte Carlo methods, and the long available analytical results of Bayesian inference for linear regression models. It thus covers a broad range of rather recent models for economic time series, such as non linear models, autoregressive conditional heteroskedastic regressions, and cointegrated vector autoregressive models. It contains also an extensive chapter on unit root inference from the Bayesian viewpoint. Several examples illustrate the methods.

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    Number of Pages: 366
    Format(s): Paperback - ISBN: 9780198773139
    Publication Date:
    Listed in: Econometrics, Mathematical modelling, 3D graphics & modelling
    Publisher: Oxford University Press

    Books by Luc Bauwens

    Paperback

    RRP: £42.00

    Sale Price: £40.26

    Save: £1.74 per copy!

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