The following is an overview of the book Contemporary Bayesian Econometrics and statistics written by John Geweke and published by Wiley in 2005.
This publication provides
readers with a thorough understanding of Bayesian analysis that is grounded in
the theory of inference and optimal decision-making. Contemporary Bayesian
Econometrics and Statistics provides readers with state-of-the-art simulation
methods and models that are used to solve complex real-world problems. Armed
with a strong foundation in both theory and practical problem-solving tools,
readers discover how to optimize decision-making when faced with problems that
involve limited or imperfect data.
The book begins by examining the theoretical and mathematical foundations of
Bayesian statistics to help readers understand how and why it is used in problem
solving. The author then describes how modern simulation methods make Bayesian
approaches practical using widely available mathematical applications software.
In addition, the author details how models can be applied to specific problems,
including:
Linear models and policy choices
Modeling with latent variables and missing data
Time series models and prediction
Comparison and evaluation of models
The publication has been developed and fine tuned through a decade of classroom experiences, and readers will find the author's approach very engaging and accessible. There are nearly 200 examples and exercises to help readers see how effective use of Bayesian statistics enables them to make optimal decisions. Matlab and Splus computer programs are integrated throughout the book. An accompanying web site provides readers with datasets and computer code for many examples.
This publication is
tailored for research professionals who use econometrics and similar statistical
methods in their work. With its emphasis on practical problem solving and
extensive use of examples and exercises, this is also an excellent textbook for
graduate-level students in a broad range of fields, including economics,
statistics, the social sciences, business, and public policy.
JOHN GEWEKE, PhD, is
Harlan McGregor Chair in Economic Theory and Professor of Economics and
Statistics at the University of Iowa. He is an elected Fellow of the
Econometrics Society and the
American Statistical Association, former
President of the International Society for
Bayesian Analysis, and editor of the
Journal of Econometrics.