Bayesian Econometrics

"Bayesian Econometrics" illustrates the scope and diversity of modern applications, reviews some recent advances, and highlights many desirable aspects of inference and computations. It begins with an historical overview by Arnold Zellner who describes key contributions to development and makes predictions for future directions. In the second paper, Giordani and Kohn makes suggestions for improving Markov chain Monte Carlo computational strategies. The remainder of the book is categorized according to microeconometric and time-series modeling. Models considered include an endogenous selection ordered probit model, a censored treatment-response model, equilibrium job search models and various other types. These are used to study a variety of applications for example dental insurance and care, educational attainment, voter opinions and the marketing share of various brands and an aggregate cross-section production function. Models and topics considered include the potential problem of improper posterior densities in a variety of dynamic models, selection and averaging for forecasting with vector autoregressions, a consumption capital-asset pricing model and various others. Applications involve U.S. macroeconomic variables, exchange rates, an investigation of purchasing power parity, data from London Metals Exchange, international automobile production data, and data from the Asian stock market.

Table of Contents:
Bayesian econometrics: past, present, and future. Bayesian inference using adaptive sampling. A Bayesian analysis of the OPES model with a nonparametric component: An application to dental insurance and dental care. Fitting and comparison of models for multivariate ordinal outcomes. Intra-household allocation and consumption of WIC-approved foods: A Bayesian approach. Causal effects from panel data in randomized experiments with partial compliance. Parametric and nonparametric inference in equilibrium job search models. Do subsidies drive productivity? A cross-country analysis of Nordic dairy farms. Semiparametric Bayesian estimation of random coefficients discrete choice models. Bayesian two-stage regression with parametric heteroscedasticity. Bayesian near-boundary analysis in basic macroeconomic time-series models. Forecasting in vector autoregressions with many predictors. Bayesian inference in a cointegrating panel data model. Investigating nonlinear purchasing power parity during the post-Bretton Woods era – A Bayesian exponential smooth transition VECM approach. Bayesian forecast combination for VAR models. Bayesian inference on time-varying proportions. Imposing stationarity constraints on the parameters of ARCH and GARCH models. Bayesian model selection for heteroskedastic models. Bayesian student-t. Bayesian analysis of the consumption CAPM. Bayesian econometrics: an introduction. List of Contributors. Advances in Econometrics. Bayesian econometrics. Copyright page.