Contemporary Bayesian Econometrics and Statistics

Preface. 1. Introduction. 1.1 Two Examples. 1.1.1 Public School Class Sizes. 1.1.2 Value at Risk. 1.2 Observables, Unobservables, and Objects of Interest. 1.3 Conditioning and Updating. 1.4 Simulators. 1.5 Modeling. 1.6 Decisionmaking. 2. Elements of Bayesian Inference. 2.1 Basics. 2.2 Sufficiency, Ancillarity, and Nuisance Parameters. 2.2.1 Sufficiency. 2.2.2 Ancillarity. 2.2.3 Nuisance Parameters. 2.3 Conjugate Prior Distributions. 2.4 Bayesian Decision Theory and Point Estimation. 2.5 Credible Sets. 2.6 Model Comparison. 2.6.1 Marginal Likelihoods. 2.6.2 Predictive Densities. 3. Topics in Bayesian Inference. 3.1 Hierarchical Priors and Latent Variables. 3.2 Improper Prior Distributions. 3.3 Prior Robustness…