Below is a listing of the course materials available from courses previously offered by Estima. See Current Courses for current and upcoming courses.
The cost for course materials is $50 per course. You will receive a PDF handbook containing the lecture materials, as well as all of the example programs, data sets, and RATS procedures used in the course.
To place an online order for any of the course materials (delivered by email), see Course Registrations.
To order by email or phone, contact us at sales@estima.com or 800-822-8038.
Note that the $50 price does not include access to the private forums used for the original course presentations and discussion. Access to these forums may be available at an additional cost--please contact Estima for details.
Most of the course is devoted to working through Gary Koop’s book of the same name (Bayesian Econometrics for details), although it also covers some topics (such as Bayesian VARs) not included in the text.
Click here to read the preface from the final version of the course workbook, which provides an overview of the course. Click here to see the Table of Contents.
The "State Space" part of this course is based largely on Durbin and Koopman's Time Series Analysis by State Space Methods book, supplemented by material from Harvey's Forecasting, Structural Time Series Models and the Kalman Filter, and from West and Harrison's Bayesian Forecasting and Dynamic Models.
Roughly two-thirds of the course is devoted to State Space models, with the remainder focusing on DSGE models. We do recommend that participants have a copy of the Durbin and Koopman book, which is available for purchase through Estima. The example programs require version 7.0 or later of RATS.
Click here to see the preface and Table of Contents for the workbook.
The course covers identifying and estimating VAR models, computing impulse responses and variance decompositions, historical decomposition and counterfactual simulations, structural and semi-structural VARs, and sign restrictions. We focus on techniques designed to elicit information from the data without the use of informative Bayesian priors (see the Bayesian Econometrics course for a treatment of Bayesian techniques).
Click here to see the preface and Table of Contents for the course workbook.