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1、ThispageintentionallyleftblankEconometricExercises,Volume7BayesianEconometricMethodsThisbookisavolumeintheEconometricExercisesseries.ItteachesprinciplesofBayesianeconometricsbyposingaseriesoftheoreticalandappliedquestions,andprovidingdetailedsolutionstothosequestions.Thistextisprimaril
2、ysuitableforgraduatestudyineconomet-rics,thoughitcanbeusedforadvancedundergraduatecourses,andshouldgenerateinterestfromstudentsinrelatedfields,includingfinance,marketing,agriculturaleconomics,busi-nesseconomics,andotherdisciplinesthatemploystatisticalmethods.Thebookprovidesadetailedtreat
3、mentofawidearrayofmodelscommonlyemployedbyeconomistsandstatisticians,includinglinearregression-basedmodels,hierarchicalmodels,latentvariablemodels,mixturemodels,andtimeseriesmodels.BasicsofrandomvariablegenerationandsimulationviaMarkovChainMonteCarlo(MCMC)methodsarealsoprovided.Finally
4、,posteriorsimulatorsforeachtypeofmodelarerigorouslyderived,andMatlabcomputerprogramsforfittingthesemodels(usingbothactualandgenerateddatasets)areprovidedontheWebsiteaccompanyingthetext.GaryKoopisProfessorofEconomicsattheUniversityofStrathclyde.HehaspublishednumerousarticlesinBayesianeco
5、nometricsandstatisticsinjournalssuchastheJournalofEconometrics,JournaloftheAmericanStatisticalAssociation,andtheJournalofBusinessandEconomicStatistics.Heisanassociateeditorforseveraljournals,includingtheJour-nalofEconometricsandJournalofAppliedEconometrics.HeistheauthorofthebooksBayesi
6、anEconometrics,AnalysisofEconomicData,andAnalysisofFinancialData.DaleJ.PoirierisProfessorofEconomicsattheUniversityofCalifornia,Irvine.HeisaFellowoftheEconometricSociety,theAmericanStatisticalAssociation,andtheJournalofEconometrics.HehasbeenontheEditorialBoardsoftheJournalofEconometric
7、sandEconometricTheoryandwasthefoundingeditorofEconometricReviews.Hisprofessionalactivitieshavebeennumerous,andhehasheldelectedpositionsintheAmericanStatisticalAssociationandtheInternationalSocietyforBayesianAnalysis.Hispreviousbooksin-cludeIntermediateStatisticsandEconometrics:ACompa
