Links Plus Chapter-Specific Data and Programs:
- Errata
- Table of Contents
- Links to Other Bayesian Books
- Chapter 11: Basics of Bayesian Computation
- 11.2: Drawing from Standard Distributions
- 11.3: Monte Carlo Integration in a Regression Problem
- 11.4: Importance Sampling
- 11.5: Importance Sampling: Prior Sensitivity
- 11.7: Gibbs Sampling from Bivariate Normal
- 11.10: Gibbs Sampling in a SUR Model
- 11.11: Unknown Change Point
- 11.12: Count Model with Unknown Change Point
- 11.13: Error Diagnostics
- 11.15 Gibbs in a Regression model with inequality Constraints
- 11.16: Checking for Errors: Geweke (2004)
- 11.18: Metropolis-Hastings Algorithm #2
- 11.22: Using Acceptance/Rejection Sampling #1
- 11.24: Using Acceptance / Rejection Sampling #2
- Chapter 12: Hierarchical Models
- Chapter 13: The Linear Regression Model with General Covariance Matrix
- Chapter 14: Latent Variable Models
- 14.2: Parameter Identification in Probit
- 14.3: Probit Model: Application
- 14.5: Ordered Probit #1
- 14.6: Ordered Probit #2 (NOTE: Run Program for 14.5 first!)
- 14.7: Multinomial Probit
- 14.9: A Tobit with 2-Sided Censoring
- 14.12: A Model of Potential Outcomes #2
- 14.13: Ordered Treatment, Ordered Outcome Model
- 14.14: Bayesian Analysis of Stochastic Frontier Model
- 14.15: Posterior Simulation in Two-Part Model
- 14.19: Missing Data #2
- Chapter 15: Mixture Models
- Chapter 16: Bayesian Model Averaging and Selection
- Chapter 17: Some Stationary Time Series models
- GDP Data (Needed for 17.1-17. NOTE: Title may need to be changed to run programs below)
- 17.1: Using the AR(p) Model
- 17.2: The Threshold Autoregressive (TAR) Model
- 17.3: Extensions of Basic TAR Model #1 (Part b)
- 17.4: Extension of Basic TAR #2 (Part b)
- 17.5: Autoregressive Conditional Heteroscedasticity (ARCH)
- Chapter 18: Some Nonstationary Time Series Models
Bayesian Econometric Methods
Preliminary Stuff:
Step #1: There are several m-files that we know are called upon in order to implement some of the exercises in the various chapters. Many of these have been written by us, though some may overlap with those perviously found in Jim LeSage's website, LeSage's MATLAB m-files. (Many of these can be found under the "view functions" link). The miscellanous m-files that you will need in order to excecute the chapter-specfic programs can be obtained from the three links below:
IMPORTANT NOTE #1: You can save the downloaded files in the "work" folder within the MATLAB directory. Alternatively, you could save them to a different folder and then add the location of that folder to MATLAB's PATH.
IMPORTANT NOTE #2: It has been called to our attention that some of the programs included below did not work when executed. This seems to be related to the updating of some of the files on Jim LeSage's website (see above), so that our existing code is not directly compatible with the newest version of these files. It is our recommendation, therefore, that you first only download the m-files in the three links above in order to execute the chapter-specific programs listed below. If you do visit and download files from LeSage's website, either do not overwrite the files provided in the three links above, or recognize that if you do overwrite these files, some "re-tooling" may be necessary in order to get the programs below to work. If difficulties still exist, please contact us.
Step #3: Links to M-files for Exercises by Book Chapter:
NOTE: When clicking on the various exercises located in the navigation bar to the left, the MATLAB m-files MAY automatically load into your MATLAB editor if you have MATLAB installed on your computer. (If given the option, choose "open with the default application.") Otherwise, the files may open as text files in the browser. If this is the case, choose to save the file in the desired location and then view/ edit / execute the program after loading MATLAB. Finally, if you encounter an error when running a program, the most likely source of the error is that you have not downloaded all of the necessary m-files. Please see the three links above to obtain these supporting files. Contact us if problems persist or an error in the code is suspected.
Finally, note that we make no claims regarding the efficiency of the code provided. Our primary goal with these m-files is to provide (hopefully)
error-free code that is reasonably transparent and well-documented. Those researchers who are interested in implementing the posterior simulators can then understand what is involved with the programs and refine them as necessary or desired.