An introduction to Bayesian econometrics for macroeconomists

A 6 meeting Ph.D. Course , Milan, Bocconi University, January 2006

Gianni Amisano (amisano@eco.unibs.it), http://www.eco.unibs.it/~amisano

Last modified: 24/02/06

Syllabus (provisional, check for updates)

1) The Bayesian paradigm: priors and posteriors. Some examples

2) Prior specification, hypothesis testing and model comparison.

3) Monte Carlo integration, Importance sampling and MCMC methods

4) Models with latent variables: Markov Switching models time varying parameter models

5) Bayesian VAR models and time varying parameter VAR models

6) The Metropolis-Hastings algorithm. Bayesian estimation of DSGE models. Bayesian estimation of Student-t GARCH model

Reading list (provisional, check for updates)

Canova (2006): chapter 9.

Chib, S. (2001): Handbook of Econometrics, vol.5

Hamilton J. (1994): Time series analysis, chapter 12, Princeton Un. Press.

Geweke, J. (1999): Econometric Reviews

Geweke, J. (2006): Contemporary Bayesian inference, Wiley.

Johannes and Polson (2002).

Koop, G. (2002): Bayesian econometrics, Wiley.

Kim, C.J. and C. Nelson (1999): State Space Models with Regime Switching, MIT Press.

Zellner (1971): An introduction to Bayesian Econometrics, Wiley

Teaching notes

TN1 (18/01/06)

TN2 (23/01/06)

TN3 (24/01/06)

TN4 (30/01/06) Matlab code templates for MS model (compressed)

TN5 (31/01/06) Matlab code templates for TVP-VAR models (compressed)

TN6 (10/02/06) Matlab code templates for DSGE model , Matlab code templates for Student-t GARCH(compressed)

Problem sets

PS1 (24/01/06): text, data (compressed), Matlab code templates (compressed).

PS2 (16/02/06): text, data (compressed).

Final take home exame, posted on Friday 24/02/06 at 09.00 am: text, data and code
Due: Sunday 26/02/06 at 12.00 pm.