Koop, Bayesian Econometrics

[TomDoan]

The attached zip has the examples from Gary Koop's Bayesian Econometrics, Wiley 2003. These are fairly advanced RATS programs as they are (with a few exceptions) examples of Markov Chain Monte Carlo techniques (Gibbs sampling, Independence Chain and Random Walk Metropolis-Hastings). The Bayesian Econometrics e-course (see http://www.estima.com/courses_completed.shtml for more) goes through most of these examples in detail.

This book is available for purchase from Estima. For more information, see http://www.estima.com/textbook_koop.shtml.

koop_bayesian_1.zip

Zip with programs/data

(133.73 KiB) Downloaded 87 times

Example	Description	RATS Level
koop_bp028.rpf	Linear model, single variable	Advanced
koop_bp047a.rpf	Multiple linear regression, conjugate prior, analytical	Advanced
koop_bp047b.rpf	Multiple linear regression, conjugate prior, simulations	Advanced
koop_bp047c.rpf	Multiple linear regression, conjugate prior, with restrictions	Advanced
koop_bp073.rpf	Multiple linear regression, independent prior, Gibbs sampling	Advanced
koop_bp107a.rpf	Non-linear regression, Random Walk Metropolis-Hastings	Advanced
koop_bp107b.rpf	Non-linear regression, Independence Metropolis-Hastings	Advanced
koop_bp123.rpf	Heteroscedastic errors with known functional form	Advanced
koop_bp129.rpf	Heteroscedastic errors with unknown form	Advanced
koop_bp136.rpf	Linear regression with AR(1) errors	Advanced
koop_bp141.rpf	Seemingly unrelated regression	Advanced
koop_bp162FE.rpf	Panel data, fixed effects	Advanced
koop_bp162RC.rpf	Panel data, random coefficients	Advanced
koop_bp162RE.rpf	Panel data, random effects	Advanced
koop_bp191.rpf	State-space model, local level	Advanced
koop_bp200.rpf	State-space model, time-varying coefficients	Advanced
koop_bp213.rpf	Tobit model	Advanced
koop_bp216.rpf	Probit model	Advanced