Applied Bayesian econometrics for central bankers - Centre for Central Banking Studies
The seminar will be taught from the perspective of the practitioner with the aim of discussing techniques that can improve upon classical econometric methods, or are more convenient alternatives. The topics covered are likely to include: - introduction to Bayesian analysis and Gibbs sampling; - Gibbs sampling for linear regression, vector autoregressions and vector error-correction models; - Gibbs sampling for state-space models including time-varying parameter and dynamic factor models; - non-linear regression models: the Metropolis-Hastings algorithm; and - Bayesian estimation of dynamic stochastic general equilibrium models.
|Event dates:||2015-07-28 – 2015-08-05|
|Organizers:||Centre for Central Banking Studies, Bank of England|
|Classification:||C1 - Econometric and Statistical Methods: General ; E5 - Monetary Policy, Central Banking and the Supply of Money and Credit|
|Event type:||Seminare, Summer Schools, Symposien, Workshops; Seminars, Summer Schools, Symposiums, Workshops|