Bayesian Econometrics for Business and Economics - Period 2

STEM in Amsterdam Program
Amsterdam, Netherlands

Dates: 8/20/22 - 12/24/22

STEM in Amsterdam

Bayesian Econometrics for Business and Economics - Period 2

Bayesian Econometrics for Business and Economics - Period 2 Course Overview

OVERVIEW

CEA CAPA Partner Institution: Vrije Universiteit Amsterdam
Location: Amsterdam, Netherlands
Primary Subject Area: Economics
Instruction in: English
Course Code: E_EOR3_BEBE
Transcript Source: Partner Institution
Course Details: Level 300
Recommended Semester Credits: 3
Contact Hours: 84
Prerequisites: Programming, Econometrics I, Numerical Methods.

DESCRIPTION

This course will cover Bayesian statistics where the topics include the prior and posterior density, Bayesian hypothesis testing, Bayesian prediction, and Bayesian Model Averaging for forecast combination. Several models will be considered, including the Bernoulli/binomial distribution, the Poisson distribution and the normal distribution. Obviously, attention will be paid to the Bayesian analysis of linear regression models. Also simple time series models will be considered. An important part of the courses is the treatment of simulation-based methods such as Markov chain Monte Carlo (Gibbs sampling, data augmentation, Metropolis-Hastings method) and Importance Sampling, that are often needed to compute Bayesian estimates and predictions and to perform Bayesian tests.

Contact hours listed under a course description may vary due to the combination of lecture-based and independent work required for each course therefore, CEA's recommended credits are based on the ECTS credits assigned by VU Amsterdam. 1 ECTS equals 28 contact hours assigned by VU Amsterdam.


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