Bayesian Inference in Dynamic Econometric Models

Name: Bayesian Inference in Dynamic Econometric Models
Brand: Oxford University Press
SKU: 9780198773122
Price: 5368 CZK
Availability: InStock

Autor: Luc Bauwens, etc., Michel Lubrano, Jean-Francois Richard

Jazyk:

Vazba: Pevná

Vydavatel: Oxford University Press

Dostupnost: Skladem u dodavatele

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5 368 Kč

This book contains an up-to-date coverage of the last twenty years advances in Bayesian inference in...

Informace o knize

Autor

Luc Bauwens, etc., Michel Lubrano, Jean-Francois Richard

Jazyk

Angličtina

Vazba

Kniha - Pevná

Vydáno

2000

Stránek

366

EAN

9780198773122

ISBN

0198773129

Enbook ID

04528691

Vydavatel

Oxford University Press

Hmotnost

673

Rozměry

163 x 242 x 24

Kompletní popis

This book contains an up-to-date coverage of the last twenty years advances in Bayesian inference in econometrics, with an emphasis on dynamic models. It shows how to treat Bayesian inference in non linear models, by integrating the useful developments of numerical integration techniques based on simulations (such as Markov Chain Monte Carlo methods), and the long available analytical results of Bayesian inference for linear regression models. It thus covers a broad range of rather recent models for economic time series, such as non linear models, autoregressive conditional heteroskedastic regressions, and cointegrated vector autoregressive models. It contains also an extensive chapter on unit root inference from the Bayesian viewpoint. Several examples illustrate the methods.

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Bayesian Inference in Dynamic Econometric Models

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