Verfügbarkeit: Introduction to Bayesian econometrics

Introduction to Bayesian econometrics:

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Bibliographische Detailangaben
Beteilige Person:	Greenberg, Edward (VerfasserIn)
Format:	Buch
Sprache:	Englisch
Veröffentlicht:	Cambridge Cambridge Univ. Press 2008
Ausgabe:	1. publ.
Schlagwörter:	Statistique bayésienne Économétrie Econometrics Bayesian statistical decision theory Bayes-Verfahren Bayes-Entscheidungstheorie Bayes-Regel Ökonometrie Lehrbuch
Links:	http://www.loc.gov/catdir/toc/ecip0720/2007024630.html http://www.loc.gov/catdir/enhancements/fy0729/2007024630-d.html http://www.loc.gov/catdir/enhancements/fy0729/2007024630-b.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016075625&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
Beschreibung:	Includes bibliographical references and index
Umfang:	XV, 205 S. graph. Darst.
ISBN:	9780521858717 0521858712

Internformat

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Datensatz im Suchindex

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adam_text	INTRODUCTION TO BAYESIAN ECONOMETRICS EDWARD GREENBERG WASHINGTON UNIVERSITY, ST. LOUIS CAMBRIDGE UNIVERSITY PRESS CONTENTS LIST OF FIGURES PAGE IX LIST OF TABLES XI PREFACE XIII PART I FUNDAMENTALS OF BAYESIAN INFERENCE 1 INTRODUCTION 3 1.1 ECONOMETRICS 3 1.2 PLAN OF THE BOOK 4 1.3 HISTORICAL NOTE AND FURTHER READING 5 2 BASIC CONCEPTS OF PROBABILITY AND INFERENCE 7 2.1 PROBABILITY 7 2.1.1 FREQUENTIST PROBABILITIES 8 2.1.2 SUBJECTIVE PROBABILITIES 9 2.2 PRIOR, LIKELIHOOD, AND POSTERIOR 12 2.3 SUMMARY 18 2.4 FURTHER READING AND REFERENCES 19 2.5 EXERCISES 19 3 POSTERIOR DISTRIBUTIONS AND INFERENCE 20 3.1 PROPERTIES OF POSTERIOR DISTRIBUTIONS 20 3.1.1 THE LIKELIHOOD FUNCTION 20 3.1.2 VECTORS OF PARAMETERS 22 3.1.3 BAYESIAN UPDATING - 24 3.1.4 LARGE SAMPLES 25 3.1.5 IDENTIFICATION 28 3.2 INFERENCE 29 3.2.1 POINT ESTIMATES 29 VI CONTENTS 3.2.2 INTERVAL ESTIMATES 31 3.2.3 PREDICTION 32 3.2.4 MODEL COMPARISON 33 38 38 39 41 41 43 44 47 50 52 53 54 54 56 57 58 3.3 3.4 3.5 SUMMARY FURTHER READING AND REFERENCES EXERCISES 4 PRIOR DISTRIBUTIONS 4.1 4.2 4.3 4.4 4.5 ^ 4.6 4.7 4.8 4.9 4.10 4.11 4.12 PART II NORMAL LINEAR REGRESSION MODEL PROPER AND IMPROPER PRIORS CONJUGATE PRIORS SUBJECT-MATTER CONSIDERATIONS EXCHANGEABILITY HIERARCHICAL MODELS TRAINING SAMPLE PRIORS SENSITIVITY AND ROBUSTNESS CONDITIONALLY CONJUGATE PRIORS A LOOK AHEAD FURTHER READING AND REFERENCES EXERCISES SIMULATION 5 CLASSICAL SIMULATION 5.1 5.2 5.3 5.4 5.5 5.6 5.7 5.8 PROBABILITY INTEGRAL TRANSFORMATION METHOD METHOD OF COMPOSITION ACCEPT-REJECT ALGORITHM IMPORTANCE SAMPLING MULTIVARIATE SIMULATION USING SIMULATED OUTPUT FURTHER READING AND REFERENCES EXERCISES 6 BASICS OF MARKOV CHAINS 6.1 6.2 6.3 6.4 6.5 FINITE STATE SPACES COUNTABLE STATE SPACES CONTINUOUS STATE SPACES FURTHER READING AND REFERENCES EXERCISES 63 63 65 66 70 72 72 74 75 76 76 81 85 87 87 7 SIMULATION BY MCMC METHODS 90 7.1 GIBBS ALGORITHM 91 CONTENTS VII 7.1.1 BASIC ALGORITHM 91 7.1.2 CALCULATION OF MARGINAL LIKELIHOOD 95 7.2 METROPOLIS-HASTINGS ALGORITHM 96 7.2.1 BASIC ALGORITHM 96 7.2.2 CALCULATION OF MARGINAL LIKELIHOOD 101 7.3 NUMERICAL STANDARD ERRORS AND CONVERGENCE 102 7.4 FURTHER READING AND REFERENCES 103 7.5 EXERCISES 105 PART III APPLICATIONS 8 LINEAR REGRESSION AND EXTENSIONS 111 8.1 CONTINUOUS DEPENDENT VARIABLES 111 8.1.1 NORMALLY DISTRIBUTED ERRORS 111 8.1.2 STUDENT-? DISTRIBUTED ERRORS -* 114 8.2 LIMITED DEPENDENT VARIABLES 117 8.2.1 TOBIT MODEL FOR CENSORED DATA 117 8.2.2 BINARY PROBIT MODEL 122 8.2.3 BINARY LOGIT MODEL 126 129 132 134 134 139 144 149 151 10 TIME SERIES 153 10.1 AUTOREGRESSIVE MODELS 153 10.2 REGIME-SWITCHING MODELS 158 10.3 TIME-VARYING PARAMETERS 161 10.4 TIME SERIES PROPERTIES OF MODELS FOR PANEL DATA 165 10.5 FURTHER READING AND REFERENCES 166 10.6 EXERCISES 167 11 ENDOGENOUS COVARIATES AND SAMPLE SELECTION 168 11.1 TREATMENT MODELS 168 11.2 ENDOGENOUS COVARIATES 173 11.3 INCIDENTAL TRUNCATION 175 8.3 8.4 FURTHER READING AND REFERENCES EXERCISES MULTIVARIATE RESPONSES 9.1 9.2 9.3 9.4 9.5 SUR MODEL MULTIVARIATE PROBIT MODEL PANEL DATA FURTHER READING AND REFERENCES EXERCISES VIII CONTENTS 11.4 FURTHER READING AND REFERENCES 11.5 EXERCISES A PROBABILITY DISTRIBUTIONS AND MATRIX THEOREMS A. 1 PROBABILITY DISTRIBUTIONS A. 1.1 BERNOULLI A. 1.2 BINOMIAL A. 1.3 NEGATIVE BINOMIAL A. 1.4 MULTINOMIAL A. 1.5 POISSON A. 1.6 UNIFORM A. 1.7 GAMMA A. 1.8 INVERTED OR INVERSE GAMMA A. 1.9 BETA A. 1.10 DIRICHLET A. 1.11 NORMAL OR GAUSSIAN A. 1.12 MULTIVARIATE AND MATRICVARIATE NORMAL OR GAUSSIAN A. 1.13 TRUNCATED NORMAL A. 1.14 UNIVARIATE STUDENT-? A. 1.15 MULTIVARIATE T A. 1.16 WISHART A. 1.17 INVERTED OR INVERSE WISHART A. 1.18 MULTIPLICATION RULE OF PROBABILITY A.2 MATRIX THEOREMS B COMPUTER PROGRAMS FOR MCMC CALCULATIONS BIBLIOGRAPHY AUTHOR INDEX SUBJECT INDEX 179 180 183 183 183 183 184 184 184 184 185 185 186 186 187 187 189 189 189 190 191 191 192 193 195 201 203
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spellingShingle	Greenberg, Edward Introduction to Bayesian econometrics Statistique bayésienne Économétrie Économétrie ram Econometrics Bayesian statistical decision theory Bayes-Verfahren (DE-588)4204326-8 gnd Bayes-Entscheidungstheorie (DE-588)4144220-9 gnd Bayes-Regel (DE-588)4144221-0 gnd Ökonometrie (DE-588)4132280-0 gnd
subject_GND	(DE-588)4204326-8 (DE-588)4144220-9 (DE-588)4144221-0 (DE-588)4132280-0 (DE-588)4123623-3
title	Introduction to Bayesian econometrics
title_auth	Introduction to Bayesian econometrics
title_exact_search	Introduction to Bayesian econometrics
title_full	Introduction to Bayesian econometrics Edward Greenberg
title_fullStr	Introduction to Bayesian econometrics Edward Greenberg
title_full_unstemmed	Introduction to Bayesian econometrics Edward Greenberg
title_short	Introduction to Bayesian econometrics
title_sort	introduction to bayesian econometrics
topic	Statistique bayésienne Économétrie Économétrie ram Econometrics Bayesian statistical decision theory Bayes-Verfahren (DE-588)4204326-8 gnd Bayes-Entscheidungstheorie (DE-588)4144220-9 gnd Bayes-Regel (DE-588)4144221-0 gnd Ökonometrie (DE-588)4132280-0 gnd
topic_facet	Statistique bayésienne Économétrie Econometrics Bayesian statistical decision theory Bayes-Verfahren Bayes-Entscheidungstheorie Bayes-Regel Ökonometrie Lehrbuch
url	http://www.loc.gov/catdir/toc/ecip0720/2007024630.html http://www.loc.gov/catdir/enhancements/fy0729/2007024630-d.html http://www.loc.gov/catdir/enhancements/fy0729/2007024630-b.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016075625&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
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