Bayesian Econometrics

[kanishka]

Hi

Would anyone happen to know whats a decent text to learn and apply Bayesian Econometrics?

Probably there'd be a different book for the theory and a different one for the application...

Is Martinez and Martinez "Computational Methods in MATLAB" a good one for the application part?

I looked at Geweke's book for some theory but it's far too dense and I just cannot understand whats going on.

thanks

[Legatus]

Tony Lancaster's "An Introduction to Modern Bayesian Econometrics" is a good text that will cover all the basics. The classic text is Zellner's, it seems like it is written for non-Bayesians which I guess at the time was pretty much everyone. The text I use constantly for reference is Gelman's "Bayesian Data Analysis" which gives an excellent introduction to Bayesian statistics.

For the computational bit, most Bayesian texts will cover the basics. The text I used in my computation class was "Markov Chain Monte Carlo: Stochastic Simulation for Bayesian Inference" by Gamerman and Lopes. It goes through all the basic simulation techniques: inverse-cdf, rejection sampling, gibbs sampling, Metropolis-Hastings algorithm etc.

Just curious, where is your interest in Bayesian stats coming from?

Bayesian stats is one of my interests, so if you have any questions just PM me.

[Weary]

There is also a text by gary koop.

[Lseapplicant]

The book by Kim and Nelson (2000) " State Space Models with Regime Switching" Contains the best introduction to Bayesian Econometrics I have seen so farft despite the misleading title....

[kanishka]

I'm planning to go through Koop's text. Didn't know about Kim and Nelson...thank you for that.

I read the last two chapters in Judge (and others) text on Econometric Methods, it made things pretty clear.

Now I am in wait of data