Bayesian Econometrics (Autumn 2018)

Welcome to Bayesian Econometrics: Applications in Economics and Finance at SSE. A detailed description of what we will cover is listed in the Course Outline. The lecture schedule is available from here, and is also shown below.

schedule

What's New

I have uploaded the slides for Topic 4 as well as some Matlab Scripts in the Computing section below.

Lecture Notes

Access to the lecture notes is password protected. I will distribute the password in class.

Topic 1: Lecture Slides (2x1) Print version Loss function Notes
Topic 2: Lecture Slides (2x1) Print version
Topic 3: Lecture Slides (2x1) Print version ModelsinSSF
Topic 4: Lecture Slides (2x1) Print version Marginal Likelihood Scripts.zip

Computing

The zip file Scripts.zip contains all the Matlab examples that we have looked at in the lectures. The zip file functs.zip contains extra functions that you need to add to your matlab path.

Assignment

The assignment instructions are here.

Other Material

Dale Poirier's slides on why it's good to be Bayesian :-)

Some useful resources on statistical distributions and matrix algebra