Bayesian Econometrics

This volume explores the theoretical and practical aspects of detailed econometric theories and applications within economics, policymaking, and finance. This book is a useful resource for economists, policymakers, financial analysts, researchers, academicians, and graduate students seeking research on the various applications of econometrics.

Probability matching priors, ensuring frequentist validity of posterior credible sets up to the desired order of asymptotics, are of substantial current interest. They can form the basis of an objective Bayesian analysis. In addition, they provide a route for obtaining accurate frequentist confidence sets, which are meaningful also to a Bayesian. This monograph presents, for the first time in book form, an up-to-date and comprehensive account of probability matching priors addressing the problems of both estimation and prediction. Apart from being useful to researchers, it can be the core of a one-semester graduate course in Bayesian asymptotics.

by Subhashis Ghosal (Author), Aad van der Vaart (Author)

This book is useful reference by bringing together some of the latest developments in the field of econometrics, and contains quantitative examples and problem sets. This book provides extensive and accessible explanations of the existing econometric methods.