5th NIPE Summer School

Bayesian Econometrics

by James Hamilton

June 30 - July 2, 2008

I. Bayesian econometrics

    A. Introduction

    B. Bayesian inference in the univariate regression model

    C. Some general issues in Bayesian inference

    D. Numerical Bayesian methods

II. Vector autoregressions

    A. Introduction

    B. Normal-Wishart priors for VARs

    C. Bayesian analysis of structural VARs

III. Markov-switching models

    A. Introduction to Markov-switching models

    B. Bayesian analysis of  Markov-switching models

The syllabus, including detailed references, can be downloaded here.

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