k e m a l <> b a d u r :: ECON 8205 Applied Econometrics II

k e m a l b a d u r

ECON 8205

Applied Econometrics II

Winter 1998

Gary Koop

Course Content

  1. Conditioning on Information
    1. Posterior Conditioning
    2. Posterior Conditioning in the Normal Linear Model
    3. Sufficiency, Ancillarity, and Nuisance Parameters
    4. Bayesian Decision Making and Point Estimation
    5. Credible Sets
    6. Conjugate Prior Distributions
    7. Improper Prior Distributions
    8. Posterior Odds
    9. Predictive Densities and Hypothesis Testing
    10. Hierarchical Priors and Latent Variables
  2. Postetior Simulators
    1. Acceptance and Importance Sampling
    2. The Gibbs Sampler
    3. The Hastings-Metropolis Algorithm
    4. Bayesian Communication
  3. Models and Their Applications
    1. Seemingly Unrelated Regressions
    2. Tobit and Probit Models
    3. Markov Chain Models
    4. Constrained Linear Regression Model
    5. Simultaneous Equations
    6. Serial Correlation
    7. Generalization of Gaussian Models

Material Available:

Problem Set II (209 k)  
Problem Set IV (183 k)  
Application I (183 k) Returns to scale in the electricity industry (Click here for the associated programs,data etc.)
Application II (244 k) Analyzing the CAPM Model (Click here for the associated programs,data etc.)

Related Links

Gary Koop Professor Koop maintains some lecture notes in his site that are not directly related to this class, but could be useful nonetheless if you are interested in these topics.
John Geweke For this class (which he has taught before Prof. Koop) Prof. Geweke has an extensive set of lecture notes and other useful stuff available to download from this site.

home | academic | work | personal | contact

Creative Commons License

The contents of this site are licensed under a Creative Commons License except where otherwise noted.