Mini-course about Bayesian econometrics
Date and location:
Monday, 21st October 2024: 14:00-17:20 (with a break) (Room E.279.1)
Tuesday, 22nd October 2024: 9:50-11:20 and 11:40-13:10 (Room E.279.1)
Instructor: Dr. András Fülöp (Professor of Finance at ESSEC Business School, Paris).
The objective of the mini-course is to provide an introduction to the Bayesian paradigm and its practical implementation. The training is targeted with at least graduate (Master) level knowledge in econometrics.
The textbook for the class is “Bayesian Core, A Practical Approach to Computational Bayesian Statistics”, J.-M. Marin & Ch. P. Robert, Springer-Verlag, New York, 2007 (BC).
We will use Python during the class; thus, participants are advised to bring their laptops, but you can find some parallel R code on the book website at https://www.ceremade.dauphine.fr/~xian/BCS/ .
Schedule:
- Monday, 21st October 2024: 14:00-17:20 (with a break) (Room E.279.1)
- Tuesday, 22nd October 2024: 9:50-11:20 and 11:40-13:10 (Room E.279.1)
Preliminary Breakdown:
- Introduction to Bayesian Statistics
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- Topics: Normal Model, Conditional distributions, priors, posteriors, improper priors, conjugate priors, exponential families, tests, Bayes factors, decision theory, importance sampling
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- Readings: Chapter 2 of BC
- Readings: Chapter 2 of BC
- Bayesian Regression
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- Topics: Regression and variable selection, G-priors, noninformative priors, Gibbs sampling, variable selection
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- Readings: Chapter 3 of BC
- Generalized Linear Models
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- Topics: Probit, logit and log-linear models, Metropolis-Hastings’ algorithms, model choice
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- Readings: Chapter 4 of BC
Don’t miss this opportunity to explore the basics of Bayesian Econometrics with an expert in the field. To enroll or clarify any doubts, send an email to Dr. Péter Csóka: peter.csoka@uni-corvinus.hu.