Transcription of Course Outline: Bayesian Econometrics
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Course Outline: Bayesian Econometrics
Course Outline: Bayesian Econometrics with Applications in macroeconomics & Finance Daniel Buncic Autumn, 2018. 1 C OURSE D ETAILS. Lecture Time : Monday and Wednesday, 10:15 12:00. Lecture Room : Various rooms. See the teaching schedule for details Course Title : Bayesian Econometrics Course Code : 5326. Instructor : Daniel Buncic Email: Office Hours : by appointment Course Website : 2 I NFORMATION ABOUT THE Course . Course Details This Course offers students an introduction to Bayesian simulation methods that are widely employed in the empirical macroeconomics and finance literature.
–Metropolis-Hastings sampling – Importance and adaptive sampling (if time permits) Topic 3:Outline of state-space models and their use in macroeconomics and finance – Introduction to state space models and the Kalman filter – Bayesian estimation of state space models – Simulation smoothing and Gibbs sampling for state space models Topic 4:Applications
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