A Brief Review of Bayesian Econometrics and Time Series

 

Hedibert F. Lopes

Professor of Statistics and Econometrics

Insper Institute of Education and Research

URL: www.hedibert.org

E-mail: hedibertfl@insper.edu.br

 

 

 

1. Bayesian paradigm, inference and computation

á      Introduction

á      Basic ingredients

á      Monte Carlo methods

á      Markov Chain Monte Carlo methods

 

2. Dynamic models and time-varying variance models

á      Dynamic models

á      GARCH models

á      SV models

 

3. High dimensional time series models

á      Vector autoregressive models

á      Large-scale vector auto-regressive models

á      Dynamic factor models