J**Y
发帖数: 34 | 1 In Bayesian econometrics, we need estimate the moments of functions of
interests, for example, the expecttation of f(a): E[f(a)|D], where
a is a random number and D is observed data.
E[f(a)|D]=Integrate[(f(a)*p(a|d)),{a}]. Where p(a|D) is posterior
density of a. Generally, we can not find
the closed form of the integration, so some numeriacl methods is neccessary.
The first method is Laplace's method. This method changes the problem
to a numerical derivative, which is much easier. However, this | J**Y
发帖数: 34 | 2 I will use Bayesian approach in my thesis. Tony Lancaster just came to
our department and did a presentation "Orthogonal parameters and panel data".
I don't know his work in Bayesian. I just know some big names such as
Zellner, Geweke. In addition, a professor in our department-Dale Poirier,
who just just transfered to UCI from U. Toronto, is very famous
in this field. |
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