Bayesian methods in applied econometrics
October 11, 2011 § Leave a comment
Christopher Simms, of recent Nobel fame, has a presentation [pdf] up on his website from 2007 that is a pretty good introduction to the difference between frequentist and Bayesian approaches to economics, and ultimately why a Bayesian approach is most prudent for economists.
This from his introduction sets up the basic premises of his presentation –
- The ﬁrst part of the talk makes some unoriginal claims about the role of Bayesian thinking.
- Despite being unoriginal, and obvious to me and to a minority of econometricians, they are unfamiliar, thought-provoking, or outrageous to quite a few econometricians.
- A summer seminar talk seems a good place to restate claims that are both obvious and outrageous and that therefore (for one of these reasons or the other) are usually excluded from journal articles.
- The latter part of the talk discusses some areas of econometric application where frequentist asymptotics seems particularly persistent and suggests how Bayesian approaches might become more practical and prevalent.