Mini-course about Bayesian econometrics
Opportunity to learn about the Bayesian paradigm with the Professor of Finance at ESSEC Business School, Paris.
Date and location:
Monday, 21st October 2024: 14:00-17:20 (with a break) (Room E.279.1)
Tuesday, 22nd October 2024: 9:50-11:20 and 11:40-13:10 (Room E.279.1)
Instructor: Dr. András Fülöp (Professor of Finance at ESSEC Business School, Paris).
The objective of the mini-course is to provide an introduction to the Bayesian paradigm and its practical implementation. The training is targeted at the graduate level.
The textbook for the class is “Bayesian Core, A Practical Approach to Computational Bayesian Statistics”, J.-M. Marin & Ch. P. Robert, Springer-Verlag, New York, 2007 (BC).
We will use Python during the class; thus, participants are advised to bring their laptops, but you can find some parallel R code on the book website at https://www.ceremade.dauphine.fr/~xian/BCS/ .
Schedule:
- Monday, 21st October 2024: 14:00-17:20 (with a break) (Room E.279.1)
- Tuesday, 22nd October 2024: 9:50-11:20 and 11:40-13:10 (Room E.279.1)
Preliminary Breakdown:
- Introduction to Bayesian Statistics
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- Topics: Normal Model, Conditional distributions, priors, posteriors, improper priors, conjugate priors, exponential families, tests, Bayes factors, decision theory, importance sampling
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- Readings: Chapter 2 of BC
- Readings: Chapter 2 of BC
- Bayesian Regression
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- Topics: Regression and variable selection, G-priors, noninformative priors, Gibbs sampling, variable selection
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- Readings: Chapter 3 of BC
- Generalized Linear Models
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- Topics: Probit, logit and log-linear models, Metropolis-Hastings’ algorithms, model choice
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- Readings: Chapter 4 of BC
Don’t miss this opportunity to explore the basics of Bayesian Econometrics with an expert in the field. To enroll or clarify any doubts, send an email to Dr. Péter Csóka: peter.csoka@uni-corvinus.hu.