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An Introduction to Modern Bayesian Econometrics : Review

Posted by safeisrisky under

Econometrics,

Math,

Probability,

Statistics
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**Takeaway :**

I think this book needs to be read after having some understanding of BUGS software and also having some R/S programming skills. That familiarity can help you simulate and check for yourself the various results and graphs, the author uses to illustrate Bayesian concepts. The book starts by explaining the essence of any econometric model and the way in which an econometrician has to put in assumptions to obtain posterior distribution of various parameters. The core of the book is covered in three chapters, the first two chapters covering *model estimation* and *model checking*, and the fourth chapter of the book covering *MCMC techniques*. The rest of the chapters cover linear models, non linear models and time series models. There are two chapters, one on Panel data and one on Instrument variables that are essential for a practicing econometrician for tackling the problem of endogenous variables. BUGS code for all the models explained in the book are given in the appendix and hence the book can serve as a quick reference for BUGS syntax. Overall a self- contained book and a perfect book to start on Bayesian econometric analysis journey.

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