Bayesian econometrics

"Bayesian Econometrics" illustrates the scope and diversity of modern applications, reviews some recent advances, and highlights many desirable aspects of inference and computations. It begins with an historical overview by Arnold Zellner who describes key contributions to development and makes predictions for future directions. In the second paper, Giordani and Kohn makes suggestions for improving Markov chain Monte Carlo computational strategies. The remainder of the book is categorized according to microeconometric and time-series modeling. Models considered include an endogenous selection ordered probit model, a censored treatment-response model, equilibrium job search models and various other types. These are used to study a variety of applications for example dental insurance and care, educational attainment, voter opinions and the marketing share of various brands and an aggregate cross-section production function. Models and topics considered include the potential problem of improper posterior densities in a variety of dynamic models, selection and averaging for forecasting with vector autoregressions, a consumption capital-asset pricing model and various others. Applications involve U.S. macroeconomic variables, exchange rates, an investigation of purchasing power parity, data from London Metals Exchange, international automobile production data, and data from the Asian stock market.

Siddhartha Chib and William Griffiths and Gary Koop and Dek TerrellArnold ZellnerPaolo Giordani and Robert KohnMurat K. Munkin and Pravin K. TrivediIvan Jeliazkov and Jennifer Graves and Mark KutzbachAriun Ishdorj and Helen H. Jensen and Justin TobiasSiddhartha Chib and Liana JacobiGary KoopNadine McCloud and Subal C. KumbhakarSylvie Tchumtchoua and Dipak K. DeyArto Luoma and Jani LuotoMichiel de Pooter and Francesco Ravazzolo and Rene Segers and Herman K. van DijkDimitris KorobilisGary Koop and Roberto Leon-Gonzalez and Rodney StrachanDeborah GefangMichael K. Anderson and Sune KarlssonWilliam J. McCausland and Brahim LguiChristopher J. O'Donnell and Vanessa RaynerCathy W. S. Chen and Richard Gerlach and Mike K. P. SoS. T. Boris Choy and Wai-yin Wan and Chun-man ChanVeni Arakelian and Efthymios G. Tsionas

List of Contributors	p. ix
Part I Introduction
Bayesian Econometrics: An Introduction	p. 3
Bayesian Econometrics: Past, Present, and Future	p. 11
Bayesian Inference Using Adaptive Sampling	p. 61
Part II Microeconometric Modeling
A Bayesian Analysis of the Opes Model with a Nonparametric Component: An Application to Dental Insurance and Dental Care	p. 87
Fitting and Comparison of Models for Multivariate Ordinal Outcomes	p. 115
Intra-Household Allocation and Consumption of Wic-Approved Foods: A Bayesian Approach	p. 157
Causal Effects from Panel Data in Randomized Experiments with Partial Compliance	p. 183
Parametric and Nonparametric Inference in Equilibrium Job Search Models	p. 217
Do Subsidies Drive Productivity? A Cross-Country Analysis of Nordic Dairy Farms	p. 245
Semiparametric Bayesian Estimation of Random Coefficients Discrete Choice Models	p. 275
Bayesian Two-Stage Regression with Parametric Heteroscedasticity	p. 309
Part III Time-Series Modeling
Bayesian Near-Boundary Analysis in Basic Macroeconomic Time-Series Models	p. 331
Forecasting in Vector Autoregressions with Many Predictors	p. 403
Bayesian Inference in a Cointegrating Panel Data Model	p. 433
Investigating Nonlinear Purchasing Power Parity during the Post-Bretton Woods Era - A Bayesian Exponential Smooth Transition Vecm approach	p. 471
Bayesian Forecast combination for Var models	p. 501
Bayesian Inference on time-Varying Proportions	p. 525
Imposing Stationarity constraints on the Parameters of Arch and Garch models	p. 545
Bayesian Model Selection for Heteroskedastic Models	p. 567
Bayesian Student-t Stochastic Volatility Models Via Scale Mixtures	p. 595
Bayesian Analysis of the Consumption Capm	p. 619

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