Wednesday, February 24, 2016

Bayesian Econometrics Textbook

Zahid Asghar has found for me a very nice textbook, which covers the same material that I have covered in the past few lectures. It is also at about the same level of mathematical difficulty. Chapter 8 covers Bayesian inference in the Beta-Binomial model, while Chapter 9 compares the conventional frequentist inference to Bayesian. This is the reverse order of what I did in class. ALSO, the chapters go into much more detail which I have omitted in the lectures.

It would be very useful for the students to go through these two chapters. Both chapters have exercises at the end. I would like to assign these exercises to the class as a whole. DIVIDE up the exercises among yourselves and produce solutions. Each student should do one exercise, so that the class as a whole creates a solution to all the exercises. You can cooperate and collaborate, but everyone should participate. YOU ONLY learn by solving problems, NOT by watching others solve them.

I have attached the two relevant chapters to the webpage with the associated lectures:

See: BLO4: Conventional Inference for Random Sampling for Bayesian Statistics Chapter 9 which compares conventional and Bayesian Inference.

See BL06: Bayesian Inference in Beta-Binomial Model  for Bayesian Statistics Chapter 8 which covers exactly this topic.

Probably you should read these chapters in the proper sequence (first 8 then 9) which is the opposite of the sequence followed in the course. READ and try to understand these chapters because they develop more details of the issues that I could only cover very briefly in the lectures. ONE ESSENTIAL skill required for doing research is the ability to read and understand material on your own. WITHOUT this skill, there is NO chance of your completing a research thesis at either M Phil or Ph.D. level. WITH this skill, the sky is the limit. 

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