Resources for Bayesian Econometrics

Although the use of the Bayesian approach to statistical inference in applied research has been increasing over the last few decades, the classical/frequentist approach still dominates the landscape, at least in the field of econometrics. Most published scientific articles which involve some form of data analysis are based on classical methods. Similarly, textbooks on statistical inference are overwhelmingly frequentist and, usually, cover Bayesian methods only within a single chapter or section. Nevertheless, there are quite a few general statistics textbooks available, which concentrate on the Bayesian approach and a few specifically covering Bayesian econometrics.

Likewise, most of the statistical software packages used by econometricians are designed exclusively for frequentist analyses and Bayesian econometricians most often have to code the estimators themselves, using some programming language. This is changing fast, with some econometric packages, nowadays, offering Bayesian estimators as part of their procedures, or with the introduction of easy to use general-purpose statistical packages, which are becoming popular among econometricians.

This section of the website provides references to some of the textbooks which cover Bayesian econometrics, either extensively or exclusively. It also has a brief overview of Bayesian statistical software packages which are popular among econometricians. The emphasis is on econometrics and not general statistics, because the notation and terminology used therein should be familiar to the users of BayES.

Textbooks on Bayesian Inference and Bayesian Econometrics

The following is a non-exhaustive list of Bayesian econometrics textbooks. Some of them place emphasis on the theoretical justification of the Bayesian approach to statistical inference, others on simulation methods and some on model setup and interpretation of the results. User need or preferences are important in making a choice among them.

Software for Bayesian Econometrics

The following is, again, a non-exhaustive list of software packages that are either designed exclusively for Bayesian analysis or that incorporate some procedures for estimating complex models using the Bayesian approach. There are many software packages that can be used to conduct Bayesian inference, but this list contains only those that are considerably easy to use (i.e. do not require the user to code the samplers) and enjoy some degree of popularity among econometricians.

Bayesian Econometrics using BayES

Bayesian Econometrics using BayES is a textbook that aims to serve as an introduction to Bayesian econometrics for readers with limited prior knowledge of econometrics. It covers the fundamentals of Bayesian inference and computation early on, but in later chapters it concentrates mostly on the setup of econometric models and the interpretation of their results. It contains many examples, complete with code written in BayES' language and the results are presented as they are provided by BayES.

At its current state, this document is very incomplete and it covers only a handful of models. However, its development will follow the development of BayES and, as procedures for estimating particular models are added to BayES, these models will also be covered in the textbook.

The book is made available under a creative commons license and can be used for any purpose for free, as long as the copyright notices are maintained in any derivative work and derivative works are also made available under the same license.

The following two subsections provide links to the datasets used in the examples contained within the book and the code used in these examples.

Datasets used within the book

The following list contains links to the datasets used in the example boxes within the textbook Bayesian Econometrics using BayES. Some datasets are used multiple times in the textbook, but are listed here in the order they first appear in the textbook.

Code used in the book's examples

The following list contains links to the code used in the example boxes within the textbook Bayesian Econometrics using BayES, organized by chapter.

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