Introduction to Bayesian econometrics:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge [u.a.]
Cambridge Univ. Press
2013
|
| Ausgabe: | 2. ed. |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Hier auch später erschienene unveränderte Nachdrucke |
| Beschreibung: | XIX, 249 S. graph. Darst. |
| ISBN: | 9781107015319 |
Internformat
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | BV040806357 | ||
| 003 | DE-604 | ||
| 005 | 20150219 | ||
| 007 | t | ||
| 008 | 130308s2013 xxkd||| |||| 00||| eng d | ||
| 020 | |a 9781107015319 |c hardback |9 978-1-107-01531-9 | ||
| 035 | |a (OCoLC)825094611 | ||
| 035 | |a (DE-599)BVBBV040806357 | ||
| 040 | |a DE-604 |b ger |e aacr | ||
| 041 | 0 | |a eng | |
| 044 | |a xxk |c GB | ||
| 049 | |a DE-83 |a DE-19 |a DE-703 |a DE-M382 |a DE-11 |a DE-384 |a DE-739 |a DE-355 | ||
| 050 | 0 | |a HB139 | |
| 082 | 0 | |a 330.01/519542 | |
| 084 | |a QH 233 |0 (DE-625)141548: |2 rvk | ||
| 084 | |a SK 830 |0 (DE-625)143259: |2 rvk | ||
| 084 | |a SK 980 |0 (DE-625)143277: |2 rvk | ||
| 084 | |a MAT 624f |2 stub | ||
| 084 | |a WIR 017f |2 stub | ||
| 100 | 1 | |a Greenberg, Edward |d 1936- |e Verfasser |0 (DE-588)133864324 |4 aut | |
| 245 | 1 | 0 | |a Introduction to Bayesian econometrics |c Edward Greenberg |
| 250 | |a 2. ed. | ||
| 264 | 1 | |a Cambridge [u.a.] |b Cambridge Univ. Press |c 2013 | |
| 300 | |a XIX, 249 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 500 | |a Hier auch später erschienene unveränderte Nachdrucke | ||
| 650 | 4 | |a Statistique bayésienne | |
| 650 | 4 | |a Économétrie | |
| 650 | 7 | |a Économétrie |2 ram | |
| 650 | 4 | |a Econometrics | |
| 650 | 4 | |a Bayesian statistical decision theory | |
| 650 | 0 | 7 | |a Bayes-Regel |0 (DE-588)4144221-0 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Bayes-Verfahren |0 (DE-588)4204326-8 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Ökonometrie |0 (DE-588)4132280-0 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Bayes-Entscheidungstheorie |0 (DE-588)4144220-9 |2 gnd |9 rswk-swf |
| 655 | 7 | |0 (DE-588)4123623-3 |a Lehrbuch |2 gnd-content | |
| 689 | 0 | 0 | |a Bayes-Regel |0 (DE-588)4144221-0 |D s |
| 689 | 0 | |5 DE-604 | |
| 689 | 1 | 0 | |a Ökonometrie |0 (DE-588)4132280-0 |D s |
| 689 | 1 | 1 | |a Bayes-Verfahren |0 (DE-588)4204326-8 |D s |
| 689 | 1 | |5 DE-188 | |
| 689 | 2 | 0 | |a Bayes-Entscheidungstheorie |0 (DE-588)4144220-9 |D s |
| 689 | 2 | 1 | |a Ökonometrie |0 (DE-588)4132280-0 |D s |
| 689 | 2 | |8 1\p |5 DE-604 | |
| 856 | 4 | 2 | |m HBZ Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025786351&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-025786351 | ||
| 883 | 1 | |8 1\p |a cgwrk |d 20201028 |q DE-101 |u https://d-nb.info/provenance/plan#cgwrk | |
Datensatz im Suchindex
| _version_ | 1804150146677604352 |
|---|---|
| adam_text | Titel: Introduction to Bayesian econometrics
Autor: Greenberg, Edward
Jahr: 2013
Contents
List of Figures page xi
List of Tables xiii
Preface to the Second Edition xv
Preface to the First Edition xvii
Part I Fundamentals of Bayesian Inference
1 Introduction 3
1.1 Econometrics 3
1.2 Overview of the Book 4
1.3 Historical Note and Further Reading 5
2 Basic Concepts of Probability and Inference 7
2.1 Probability 7
2.1.1 Frequentist Probabilities 8
2.1.2 Subjective Probabilities 9
2.2 Prior, Likelihood, and Posterior 12
2.3 Summary 18
2.4 Further Reading and References 19
2.5 Exercises 19
3 Posterior Distributions and Inference 21
3.1 Properties of Posterior Distributions 21
3.1.1 The Likelihood Function 21
3.1.2 Vectors of Parameters 23
3.1.3 Bayesian Updating 25
3.1.4 Large Samples 27
3.1.5 Identification 29
vi Contents
3.2 Inference 30
3.2.1 Point Estimates 30
3.2.2 Interval Estimates 32
3.2.3 Prediction 33
3.2.4 Model Comparison 34
3.3 Summary 39
3.4 Further Reading and References 39
3.5 Exercises 40
4 Prior Distributions 43
4.1 Normal Linear Regression Model 43
4.2 Proper and Improper Priors 45
4.3 Conjugate Priors 46
4.4 Subject-Matter Considerations 49
4.5 Exchangeability 52
4.6 Hierarchical Models 54
4.7 Training Sample Priors 55
4.8 Sensitivity and Robustness 56
4.9 Conditionally Conjugate Priors 56
4.10 A Look Ahead 59
4.11 Further Reading and References 60
4.12 Exercises 60
Part II Simulation
5 Classical Simulation 65
5.1 Probability Integral Transformation Method 65
5.2 Method of Composition 67
5.3 Accept-Reject Algorithm 68
5.4 Importance Sampling 72
5.5 Multivariate Simulation 74
5.6 Using Simulated Output 75
5.7 Further Reading and References 77
5.8 Exercises 77
6 Basics of Markov Chains 79
6.1 Finite State Spaces 79
6.2 Countable State Spaces 84
6.3 Continuous State Spaces 88
6.4 Further Reading and References 89
6.5 Exercises 90
Contents vii
7 Simulation by MCMC Methods 93
7.1 Gibbs Algorithm 94
7.1.1 Basic Algorithm 94
7.1.2 Calculation of Marginal Likelihood 97
7.2 Metropolis-Hastings Algorithm 99
7.2.1 Basic Algorithm 99
7.2.2 Calculation of Marginal Likelihood 104
7.3 Numerical Standard Errors and Convergence 105
7.4 Further Reading and References 108
7.5 Exercises 109
Part III Applications
8 Linear Regression and Extensions 115
8.1 Continuous Dependent Variables 115
8.1.1 Normally Distributed Errors 115
8.1.2 Student-? Distributed Errors 118
8.2 Limited Dependent Variables 121
8.2.1 Tobit Model for Censored Data 121
8.2.2 Binary Probit Model 126
8.2.3 Binary Logit Model 130
8.2.4 Ordinal Probit Model 133
8.3 Latent Variable Models 138
8.3.1 Item Response Model 138
8.3.2 Factor Analysis Models 141
8.4 Further Reading and References 143
8.5 Exercises 146
9 Semiparametric Regression 148
9.1 Flexible Forms for the Conditional Mean Function 148
9.1.1 LS Basis 149
9.1.2 Identification 152
9.1.3 Prior Distributions 153
9.1.4 MCMC Algorithm for the Cubic Spline Approximation 155
9.1.5 Marginal Likelihood Calculation 156
9.1.6 Examples 158
9.2 Flexible Error Distributions 161
9.2.1 Introduction to Dirichlet Process Mixtures 161
9.2.2 Inference for Dirichlet Process Mixtures 164
9.2.3 Examples 165
viii Contents
9.3 Further Reading and References 167
9.4 Exercises 168
10 Multivariate Responses 169
10.1 SUR Model 169
10.2 Multivariate Probit Model 174
10.3 Panel Data 178
10.4 Further Reading and References 184
10.5 Exercises 186
11 Time Series 187
11.1 Autoregressive Models 187
11.2 Regime-Switching Models 193
11.3 Time-Varying Parameters 196
11.4 Time Series Properties of Models for Panel Data 199
11.5 Time-Varying Variances 201
11.5.1 ARCH-GARCH Models 201
11.5.2 Stochastic Volatility Models 202
11.6 Further Reading and References 204
11.7 Exercises 205
12 Endogenous Covariates and Sample Selection 206
12.1 Treatment Models 206
12.2 Unobserved Covariates 212
12.3 Incidental Truncation 215
12.4 Further Reading and References 221
12.5 Exercises 222
A Probability Distributions and Matrix Theorems 223
A.l Probability Distributions 223
A.l.l Bernoulli 223
A.1.2 Binomial 223
A.l.3 Negative Binomial 224
A.l.4 Multinomial 224
A.1.5 Poisson 224
A.1.6 Uniform 225
A.l.7 Gamma 225
A.l.8 Inverted or Inverse Gamma 225
A.1.9 Beta 226
A.l. 10 Pareto 227
A.1.11 Dirichlet 227
A. 1.12 Normal or Gaussian 227
Contents ix
A.l. 13 Truncated Normal 227
A.l. 14 Multivariate Normal or Gaussian 228
A.l. 15 Matricvariate Normal or Matrix Normal 229
A. 1.16 Univariate StudenM 230
A.l. 17 Multivariate t 230
A.l.18 Wishart 231
A. 1.19 Inverted or Inverse Wishart 231
A. 1.20 Multiplication Rule of Probability 232
A.2 Matrix Theorems 232
B Computer Programs for MCMC Calculations 234
Bibliography 237
Author Index 245
Subject Index 247
|
| any_adam_object | 1 |
| author | Greenberg, Edward 1936- |
| author_GND | (DE-588)133864324 |
| author_facet | Greenberg, Edward 1936- |
| author_role | aut |
| author_sort | Greenberg, Edward 1936- |
| author_variant | e g eg |
| building | Verbundindex |
| bvnumber | BV040806357 |
| callnumber-first | H - Social Science |
| callnumber-label | HB139 |
| callnumber-raw | HB139 |
| callnumber-search | HB139 |
| callnumber-sort | HB 3139 |
| callnumber-subject | HB - Economic Theory and Demography |
| classification_rvk | QH 233 SK 830 SK 980 |
| classification_tum | MAT 624f WIR 017f |
| ctrlnum | (OCoLC)825094611 (DE-599)BVBBV040806357 |
| dewey-full | 330.01/519542 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 330 - Economics |
| dewey-raw | 330.01/519542 |
| dewey-search | 330.01/519542 |
| dewey-sort | 3330.01 6519542 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| edition | 2. ed. |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>02379nam a2200613 c 4500</leader><controlfield tag="001">BV040806357</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20150219 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">130308s2013 xxkd||| |||| 00||| eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9781107015319</subfield><subfield code="c">hardback</subfield><subfield code="9">978-1-107-01531-9</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)825094611</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV040806357</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">aacr</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="044" ind1=" " ind2=" "><subfield code="a">xxk</subfield><subfield code="c">GB</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-83</subfield><subfield code="a">DE-19</subfield><subfield code="a">DE-703</subfield><subfield code="a">DE-M382</subfield><subfield code="a">DE-11</subfield><subfield code="a">DE-384</subfield><subfield code="a">DE-739</subfield><subfield code="a">DE-355</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HB139</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">330.01/519542</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QH 233</subfield><subfield code="0">(DE-625)141548:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">SK 830</subfield><subfield code="0">(DE-625)143259:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">SK 980</subfield><subfield code="0">(DE-625)143277:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">MAT 624f</subfield><subfield code="2">stub</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">WIR 017f</subfield><subfield code="2">stub</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Greenberg, Edward</subfield><subfield code="d">1936-</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)133864324</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Introduction to Bayesian econometrics</subfield><subfield code="c">Edward Greenberg</subfield></datafield><datafield tag="250" ind1=" " ind2=" "><subfield code="a">2. ed.</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Cambridge [u.a.]</subfield><subfield code="b">Cambridge Univ. Press</subfield><subfield code="c">2013</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">XIX, 249 S.</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Hier auch später erschienene unveränderte Nachdrucke</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Statistique bayésienne</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Économétrie</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Économétrie</subfield><subfield code="2">ram</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Econometrics</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Bayesian statistical decision theory</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Bayes-Regel</subfield><subfield code="0">(DE-588)4144221-0</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Bayes-Verfahren</subfield><subfield code="0">(DE-588)4204326-8</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Ökonometrie</subfield><subfield code="0">(DE-588)4132280-0</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Bayes-Entscheidungstheorie</subfield><subfield code="0">(DE-588)4144220-9</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="655" ind1=" " ind2="7"><subfield code="0">(DE-588)4123623-3</subfield><subfield code="a">Lehrbuch</subfield><subfield code="2">gnd-content</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Bayes-Regel</subfield><subfield code="0">(DE-588)4144221-0</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="689" ind1="1" ind2="0"><subfield code="a">Ökonometrie</subfield><subfield code="0">(DE-588)4132280-0</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2="1"><subfield code="a">Bayes-Verfahren</subfield><subfield code="0">(DE-588)4204326-8</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2=" "><subfield code="5">DE-188</subfield></datafield><datafield tag="689" ind1="2" ind2="0"><subfield code="a">Bayes-Entscheidungstheorie</subfield><subfield code="0">(DE-588)4144220-9</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="2" ind2="1"><subfield code="a">Ökonometrie</subfield><subfield code="0">(DE-588)4132280-0</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="2" ind2=" "><subfield code="8">1\p</subfield><subfield code="5">DE-604</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">HBZ Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025786351&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-025786351</subfield></datafield><datafield tag="883" ind1="1" ind2=" "><subfield code="8">1\p</subfield><subfield code="a">cgwrk</subfield><subfield code="d">20201028</subfield><subfield code="q">DE-101</subfield><subfield code="u">https://d-nb.info/provenance/plan#cgwrk</subfield></datafield></record></collection> |
| genre | (DE-588)4123623-3 Lehrbuch gnd-content |
| genre_facet | Lehrbuch |
| id | DE-604.BV040806357 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T00:34:17Z |
| institution | BVB |
| isbn | 9781107015319 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-025786351 |
| oclc_num | 825094611 |
| open_access_boolean | |
| owner | DE-83 DE-19 DE-BY-UBM DE-703 DE-M382 DE-11 DE-384 DE-739 DE-355 DE-BY-UBR |
| owner_facet | DE-83 DE-19 DE-BY-UBM DE-703 DE-M382 DE-11 DE-384 DE-739 DE-355 DE-BY-UBR |
| physical | XIX, 249 S. graph. Darst. |
| publishDate | 2013 |
| publishDateSearch | 2013 |
| publishDateSort | 2013 |
| publisher | Cambridge Univ. Press |
| record_format | marc |
| spelling | Greenberg, Edward 1936- Verfasser (DE-588)133864324 aut Introduction to Bayesian econometrics Edward Greenberg 2. ed. Cambridge [u.a.] Cambridge Univ. Press 2013 XIX, 249 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Hier auch später erschienene unveränderte Nachdrucke Statistique bayésienne Économétrie Économétrie ram Econometrics Bayesian statistical decision theory Bayes-Regel (DE-588)4144221-0 gnd rswk-swf Bayes-Verfahren (DE-588)4204326-8 gnd rswk-swf Ökonometrie (DE-588)4132280-0 gnd rswk-swf Bayes-Entscheidungstheorie (DE-588)4144220-9 gnd rswk-swf (DE-588)4123623-3 Lehrbuch gnd-content Bayes-Regel (DE-588)4144221-0 s DE-604 Ökonometrie (DE-588)4132280-0 s Bayes-Verfahren (DE-588)4204326-8 s DE-188 Bayes-Entscheidungstheorie (DE-588)4144220-9 s 1\p DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025786351&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Greenberg, Edward 1936- Introduction to Bayesian econometrics Statistique bayésienne Économétrie Économétrie ram Econometrics Bayesian statistical decision theory Bayes-Regel (DE-588)4144221-0 gnd Bayes-Verfahren (DE-588)4204326-8 gnd Ökonometrie (DE-588)4132280-0 gnd Bayes-Entscheidungstheorie (DE-588)4144220-9 gnd |
| subject_GND | (DE-588)4144221-0 (DE-588)4204326-8 (DE-588)4132280-0 (DE-588)4144220-9 (DE-588)4123623-3 |
| title | Introduction to Bayesian econometrics |
| title_auth | Introduction to Bayesian econometrics |
| title_exact_search | Introduction to Bayesian econometrics |
| title_full | Introduction to Bayesian econometrics Edward Greenberg |
| title_fullStr | Introduction to Bayesian econometrics Edward Greenberg |
| title_full_unstemmed | Introduction to Bayesian econometrics Edward Greenberg |
| title_short | Introduction to Bayesian econometrics |
| title_sort | introduction to bayesian econometrics |
| topic | Statistique bayésienne Économétrie Économétrie ram Econometrics Bayesian statistical decision theory Bayes-Regel (DE-588)4144221-0 gnd Bayes-Verfahren (DE-588)4204326-8 gnd Ökonometrie (DE-588)4132280-0 gnd Bayes-Entscheidungstheorie (DE-588)4144220-9 gnd |
| topic_facet | Statistique bayésienne Économétrie Econometrics Bayesian statistical decision theory Bayes-Regel Bayes-Verfahren Ökonometrie Bayes-Entscheidungstheorie Lehrbuch |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025786351&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT greenbergedward introductiontobayesianeconometrics |