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Bayesian Methods in Econometrics

Sergey Aivazian

Applied Econometrics, 2008, vol. 9, issue 1, 93-130

Abstract: This consultation deals with the Bayesian approach to econometric analysis. It is based on subjective probability methods of maximizing utilization of both the prior information and observations of a given process. Bayesian methods are generally used in the theory and practice of econometrics and included in the curriculum of master programs of the leading world universities. The advantage of using the Bayesian approach (in comparison with the traditional one) may be particularly seen in a higher precision of statistical inference when dealing with small samples what is typical in econometric modeling

Keywords: bayesian approach to econometric analysis; small samples; prior information (search for similar items in EconPapers)
JEL-codes: C01 C11 C13 (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (7)

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