Postgraduate Course: Bayesian Econometrics (ECNM11060)
|School||School of Economics
||College||College of Humanities and Social Science
|Credit level (Normal year taken)||SCQF Level 11 (Postgraduate)
||Availability||Not available to visiting students
|Summary||Bayesian Econometrics builds on core econometric modules to develop a Bayesian approach to econometrics with applications in modern macroeconomics. Computational methods are developed alongside theory.
Bayesian methods are increasingly used in econometrics, particularly in the field of macroeconomics. This is a course in Bayesian econometrics with a focus on models used in empirical macroeconomics. It begins with a brief introduction to Bayesian econometrics, describing the main concepts underlying Bayesian theory and seeing how Bayesian methods work in the familiar context of the regression model. Computational methods are of great importance in modern Bayesian econometrics and these are discussed in in detail. Subsequently, the course shows how Bayesian methods are used with models which are currently popular in macroeconomics such as Vector Autoregressions (VARs), time-varying parameter VARs (TVP-VARs) and factor models. Empirical illustrations that show how these models can be used to address macroeconomic questions will be provided throughout the course.
Entry Requirements (not applicable to Visiting Students)
||Other requirements|| None
Course Delivery Information
|Academic year 2018/19, Not available to visiting students (SS1)
||Block 4 (Sem 2)
|Learning and Teaching activities (Further Info)
Lecture Hours 14,
Seminar/Tutorial Hours 4,
Formative Assessment Hours 2,
Summative Assessment Hours 2,
Programme Level Learning and Teaching Hours 2,
Directed Learning and Independent Learning Hours
|Additional Information (Learning and Teaching)
Project work 30 hours
|Assessment (Further Info)
|Additional Information (Assessment)
||Journal article review 50%, Empirical project 50%
|No Exam Information
On completion of this course, the student will be able to:
- Demonstrate a knowledge and understanding of the basics of Bayesian analysis, VARs, state space modelling and an ability to apply these methods to analyse macroeconomic models; grasp of appropriate computational techniques.
- Demonstrate and develop research and investigative skills such as problem framing and solving and the ability to assemble and evaluate complex evidence and arguments.
- Develop communication skills in order to critique, create and communicate understanding and to collaborate with and relate to others.
- Develop personal effectiveness through task-management, time-management, teamwork and group interaction, dealing with uncertainty and adapting to new situations, personal and intellectual autonomy through independent learning.
- Develope practical/technical skills such as, modelling skills (abstraction, logic, succinctness), qualitative and quantitative analysis and interpretation of data, programming of statistical packages.
|Koop, G. (2003). Bayesian Econometrics, published by Wiley.|
Koop, G. and Korobilis, D. (2009). Bayesian Multivariate Time Series Methods for Empirical Macroeconomics, monograph in the Foundations and Trends in Econometrics series.
|Graduate Attributes and Skills
|Additional Class Delivery Information
||14 hours of lectures plus 4 hours of computer tutorials
|Course organiser||Prof Mark Schaffer
|Course secretary||Miss Sophie Bryan
Tel: (0131 6)50 9905