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"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.
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