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Bayesian Inference in Dynamic Econometric Models (Advanced Texts in Econometrics) Paperback – 6 Jan 2000

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it can serve as a useful textbook for advanced undergraduate or graduate courses in either time series analysis or econometrics. (Paul Goodwin, International Journal of Forecasting, 2000)

presents a comprehensive review of dynamic econometric models from a Bayesian perspective ... four insightful introductory chapters ... provide a valuable synthesis of current ideas and their application to parameter estimation. (Paul Goodwin, International Journa of Forecasting, 2000)

About the Author

Luc Bauwens is currently Professor of Economics at the Université catholique de Louvain, where he has been co-director of the Center for Operations Research and Econometrics (CORE) from 1992 to 1998. He has previously been a lecturer at Ecole des Hautes Etudes en Sciences Sociales (EHESS), France, at Facultés universitaires catholiques de Mons (FUCAM), Belgium, and a consultant at the World Bank, Washington DC. His research interests cover Bayesian inference, time series methods, simulation and numerical methods in econometrics, as well as empirical finance and international trade. Michel Lubrano is Directeur de Recherche at CNRS, part of GREQAM in Marseille. Jean-François Richard is University Professor of Economics at the University of Pittsburgh.

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24 of 25 people found the following review helpful
another book on econometric time series with a Bayesian approach 7 Feb. 2008
By Michael R. Chernick - Published on
Format: Hardcover
This is a modern advanced text on econometrics emphasizing dynamic models including the ARCH/GARCH models that have practical application in finance. What makes it a little different than most texts is the Bayesian approach. The authors include coverage of MCMC methods which make the Bayesian approach more realistic. This book provides a very modern treatment of econometrics
8 of 8 people found the following review helpful
Excellent introduction to Bayesian Time Series Econometrics 17 Jun. 2000
By Lorenzo Isla - Published on
Format: Paperback
This is an outstanding introduction to the application of Bayesian statistics to the problems encountered in macroeconomics and finance. Bayesian inference it's becoming a critical tool for researchers and practitioners with an interest in empirical ecnomics and to date this is the first book on Bayesian time series econometrics. The sections on nonlinearities and on numerical integration are especially valuable. Having the book it is a must for researchers and professionals interested in modeling and forecasting the state of economy and financial markets.
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