MASTER CLASS IN ECONOMETRICS - BAYESIAN MODELLING AND INFERENCE
Dr. Melvyn Weeks, Fellow of Clare College, University of Cambridge
Location: Clare College, University of Cambridge, Cambridge
Duration: 2 days (23rd March 2016 - 24th March 2016)
This course will provide an introduction to Bayesian methods for
empirical
analysis. The course covers a mix of theory and applications.
We will start with a number of theoretical issues including
exchangeability,
prior-posterior analysis, model comparison and hypothesis testing, and
models for missing data. We will also examine the fundamental problem of
prior elicitation.
We present the basic ideas behind Monte Carlo integration and
demonstrate
the use of these techniques in both maximising a likelihood and sampling
from a posterior distribution. We will examine the fundamentals of MCMC
from
both a theoretical and applied setting. We provide a brief introduction
to
simple Accept-Reject sampling methods, moving onto the Gibbs sampler and
Metropolis- Hastings.
Applications will be taken from medical statistics, economics, treatment
models, and consumer heterogeneity in marketing applications. In each
case
we consider the particular advantages of a Bayesian approach, how to
implement, and how data augmentation can be a useful tool in designing a
posterior simulators.
Practical sessions will be provided using both Python and Stata.
Students will have access to a fully functional computational
environment
for both Python and Stata. Instruction on how to access this will be
provided during the first session.
It's a great course, great location and something for both the novice
and
those with some previous exposure to Bayesian Modelling Hope to see you
there!
Melvyn
For more Information see:
http://www.timberlake.co.uk/courses/master-class-in-econometrics-bayesian-modelling-and-inference.html
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