Bayesian Methods for Empirical Macroeconomics
Banco Central do Brasil
Brasilia, June 11th to 15th 2012
- Lecture 1: Overview of Bayesian Econometrics
- Lecture 2: Bayesian Computation
- Lecture 3: Dynamic Models
- Lecture 4: Bayesian VARs
- Lecture 5: BVAR Extensions
Computer activities
Lab session 1
- Standard linear regression models (NLSY.R) (logwages-yearseducation.txt)
- BVAR(1) – q=4 Brazilian macroeconomic time series (BVAR1-braziliandata.R) (braziliandata.txt)
- Two-step BFAVAR(1) with q=4 (IPCA+3 factors) (economiabrasileira.R) (economiabrasileira.txt)
- R code developed in class (lab1-inclass.R)
- Bayesian autoregressive models – order choice (univariate-AR(p).R)
Lab session 2
- Linear regression with Student-t errors (regression-with-t-error.R)
- Bernoulli regression (logit.R)
- Bivariate BVAR(1) (bvar1-example.R)
- Linear regression with Student-t error: in class coding (regression-with-t-error-inclass.R)
Lab session 3
- Normal dynamic linear model (locallevelmodel.R)
- Stochastic volatility model (svmodel.R)
- Local level model: in class coding (locallevelmodel-inclass.R)
Other useful links