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Bayesian Methods for Empirical
Macroeconomics Scottish Graduate Programme in Economics, 2016 Dates: Tuesdays from 3-6 for 6 weeks, beginning 16 February. Computer tutorials take place at 5-6 in weeks 2, 3, 5 and 6 of the course. Lecturer: Gary Koop (Gary.Koop@strath.ac.uk) Gary Koop's webpage is here A Course Outline is available here. The handout, “Bayesian Methods for Fat Data” is available here. The monograph: Koop, G. and Korobilis, D. (2010). "Bayesian Multivariate Time Series Methods for Empirical Macroeconomics" is available here. Here is a useful monograph on Applied Bayesian Econometrics for Central Bankers by Andrew Blake and Haroon Mumtaz Corrections for the textbook, Bayesian Econometrics are available here. The lecture slides Gary will be using are available below: Topic 1: An Overview of
Bayesian Econometrics Topic 2: Bayesian Inference
in the Normal Linear Regression Model Topic 3:
Bayesian Methods for Regression Models with Fat Data Topic 5: Bayesian State
Space Models Topic 6: TVP-VARs and Factor Models Optional lecture on Sequential Monte Carlo Methods Material for Computer Sessions: Code and Data for Computer Tutorial 1 Code and Data for
Computer Tutorial 2 Code and Data for
Computer Tutorial 3 Code and Data for
Computer Tutorial 4 Theoretical Problem Sets with Proofs and Derivations (answers included) Problem Set 1: Bayesian Theory Problem_Set_2: Bayesian Theory of the Normal Linear Regression Model Instructions for the Empirical Project |
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