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

      Introduction

      Basic ingredients

      Monte Carlo methods

      Markov Chain Monte Carlo methods

 

2. Dynamic models and time-varying variance models

      Dynamic models

      GARCH models

      SV models

 

3. High dimensional time series models

      Vector autoregressive models

      Large-scale vector auto-regressive models

      Dynamic factor models