ECON 7305

Introduction to Bayesian Methods and Applications in Macroeconomics

Course Description

Course information provided by the Courses of Study 2014-2015.

This course is composed of two parts. In the first half, we will cover an introduction to Bayesian Econometrics and standard methods such as Metropolis, Metropolis-Hasting, and Gibbs sampling. During the second half of the course, we will study how Bayesian methods have been used in the macroeconometric literature to handle DSGE's, VAR's, Markov-switching-VAR's, Time-Varying VAR's, with a special focus on general equilibrium models subject to parameter instability and the role of agents' beliefs.

When Offered Spring. (Weeks 8-14).

Prerequisites/Corequisites Prerequisites: ECON 6130, ECON 6140, ECON 6190, and ECON 6200.

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