General linear and hierarchical models

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Bayesian econometrics

[/vc_column_text][vc_column_text]General linear models models

· Hetekoskedasticity example

· Student-t errors example

· Autoregressive errors example

Hierarchical linear models

Linear regression, general covariance and SUR

· Linear regression with general covariance matrix (Koop, chapter 6)

o Heteroskedasticity of known form (Koop, section 6.3)
o Student’s t errors (Koop, section 6.4)
o Autocorrelated errors (Koop, section 6.5)

· Seemingly unrelated regression (Koop, section 6.6 and Zellner, section 8.5)

Hierarchical models/panel data

· Pooled model

· Individual effects with (i) non-hierarchical and (ii) hierarchical priors

· Random coefficients model

· Koop, chapter 7, and Lancaster, section 7.3

· Example: cost of airline companies (R code and dataset)

· WinBUGS and R2WinBUGS

o Graphical model: from doodles to Bugs code
o From WinBugs to R: the R2WinBugs package
o Nonlinear growth: R code and Winbug model
o Additional examples: Panel data examples
o More examples with code: http://www.ufrj.br/mcmc

A few additional references

· Zellner (1971) An Introduction to Bayesian Inference and Econometrics, Wiley.

· Koop (2003) Bayesian Econometrics, Wiley.

· Lancaster (2004) An Introduction to Modern Bayesian Econometrics, Blackwell Publishing.

· Meyer, R., and R.B. Millar (1999): BUGS in Bayesian Stock Assessments. Can. J. Fish. Aquat. Sci., 56, 1078-1087.

· Meyer, R., and R.B. Millar (1999): BUGS for Bayesian State-Space Modeling. In: Statistical Modeling, (H. Friedl and G.Goeran Eds.), 588-592.

· Meyer, R., and J.Yu (2000): BUGS for a Bayesian analysis of stochastic volatility models. The Econometrics Journal, 3(2), 198-215.

· Griffin, J. and Steel, M. (2005) Bayesian Stochastic Frontier Analysis Using WinBUGS .

· Manda, S.O.M., Meyer, R. (2005) WinBUGS code for Gibbs sampling to estimate parameters for a three-level discrete time to event model. J. R. Statist. Soc. A. 168.[/vc_column_text][/vc_column][/vc_row]