Bayesian econometrics in Stata 17

David Schenck
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David Schenck: StataCorp

2021 Stata Conference from Stata Users Group

Abstract: Stata 17 introduced Bayesian support for many time-series and panel-data commands. In this talk, I will discuss Bayesian vector autoregression models, Bayesian DSGE models, and Bayesian panel-data models. Bayesian estimation is well suited to these models because economic considerations often impose structure that is captured well by informative priors. I will describe the main features of these commands as well as Bayesian diagnostics, posterior hypothesis tests, predictions, impulse–response functions, and forecasts.

Date: 2021-08-07
New Economics Papers: this item is included in nep-isf
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http://fmwww.bc.edu/repec/scon2021/US21_Schenck.pdf

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Persistent link: https://EconPapers.repec.org/RePEc:boc:scon21:28

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