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Bayesian Econometrics

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    • Anwendung statistischer Methoden im Risikomanagement von Finanzinstituten
    • Bayesian Econometrics
    • Datenermittlung
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Bayesian Econometrics

Overview

This course is an introduction to Bayesian statistics. It focuses primarily on models­ that are used in economics. The course will give students the theoretical knowledge and practical skills to apply Bayesian techniques in a wide range of empirical applications. We will start with the foundations of Bayesian statistics and then cover estimation of linear and non-linear regression models as well as probit models and Bayesian vectorautoregressions. The course will also cover various numerical methods needed so estimate those models. Students will learn how to practically implement the covered methods using the software R.

At the end of the course, students can use the covered methods on their own and will understand academic papers that use Bayesian methods for empirical analyses. They will also be able to recognize and apply Bayesian reasoning in various contexts.

Organization

We teach this course in the winter semester (usually with three sessions per week from mid October to end of December). The course language is English. The course can be used as a module for the following Master programs:

  • Master in Economics
  • Master in Marketing
  • Master in Finance, Auditing, Controlling, Taxation (FACT)
  • Master in Labour Market and Human Resources
  • Master in Socioeconomics

The course consists of weekly lectures (2 SWS) and exercise sessions (2 SWS). The latter focus primarily on the implementation of econometric methods in R.

The course is worth 5 ECTS which can be earned by passing an oral exam (20 minutes) at the end of the semester.

Syllabus

More information about dates, grading, the software that is used, and the course in general can be found in the syllabus (version winter term 2024/25).

Friedrich-Alexander-Universität
Erlangen-Nürnberg

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90403 Nuremberg
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