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Virtual Open Day! 19 November @1PM GMT | Register Now!
Virtual Open Day! 19 November @1PM GMT | Register Now!
Virtual Open Day! 19 November @1PM GMT | Register Now!
Virtual Open Day! 19 November @1PM GMT | Register Now!
10 Credits

Bayesian Methods in Econometrics

This course will provide an introduction to simulation-based methods that are commonly used in microeconometrics. The emphasis will be Bayesian, although we will also contrast posterior analysis with maximum likelihood estimation.Despite the technical content, the course begins with an introduction to the Bayesian paradigm and introduces key concepts and vernacular

​This module can be taken as part of a PG Certificate, PG Diploma or Full Masters Program.

Bayesian Methods in Econometrics
  • 10 Credits
  • 100 hours of study
  • 15 contact hours
  • 85 hours for private study
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Qualifications accredited by Lancaster University
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Structure

Software

Module Programme

Introduction to Bayesian statistics and its differences versus the classical/frequentist approach

Session Content
  • Advantages of the Bayesian approach over the frequentist approach: general theory andsimple examples
  • Bayes’ rule: prior density, likelihood, posterior density and posterior density kernel
  • Informative versus non-informative priors
  • Bayesian analysis of model with Bernoulli/binomial distribution under uniform prior

Prior specification in simple econometric models, Gibbs sampling

Session Content
  • Conjugate priors
  • Bayesian analysis of model with Bernoulli/binomial distribution under conjugate (beta) priordistribution
  • Bayesian analysis of model with Geometric distribution
  • Proper versus improper priors
  • Bayesian analysis of model with normal distribution with known and unknown variance(under normal and flat prior distributions)
  • Markov chain Monte Carlo (MCMC) methods: burn-in, Gibbs sampling method

Metropolis-Hastings algorithms (methods and applications in econometric models)

Session Content
  • Markov chain Monte Carlo (MCMC) methods: random walk Metropolis(-Hastings) method,candidate distribution, diagnostic checks, acceptance percentage
  • Bayesian estimation of (G)ARCH models
  • Bayesian estimation of Poisson regression model
  • Markov chain Monte Carlo (MCMC) methods: independence chain Metropolis-Hastingsmethod, candidate distribution, diagnostic checks, acceptance percentage

Posterior model probabilities, normal linear regression model, Bayesian Model Averaging for forecast combination of autoregressive models

Session Content
  • Posterior model probabilities: posterior odds ratio, prior odds ratio, Bayes factor, marginallikelihood
  • Monte Carlo methods: importance sampling method, acceptance-rejection method
  • Bayesian analysis of model with normal distribution with unknown variance under flat prior:Student-t marginal posterior of the mean
  • Bayesian analysis of normal linear regression model under flat prior: Student-t marginalposterior of the coefficients, symmetry and differences between Bayesian andclassical/frequentist results
  • Savage-Dickey density ratio for computing the Bayes factor of nested models
  • Posterior predictive density in autoregressive (AR) models
  • Bayesian Model Averaging (BMA) for forecast combination
  • Jeffreys-Lindley-Bartlett paradox and the need for proper priors in BMA

Gibbs sampling with data augmentation (method and applications in econometric models), hierarchical prior, Jeffreys prior, numerical standard errors

Session Content
  • Markov chain Monte Carlo (MCMC) methods: Gibbs sampling with data augmentation
  • Bayesian estimation of a mixture model with known/fixed number of components
  • Bayesian estimation of a mixture model with unknown/flexible number of components:hierarchical priors, sparse finite mixture
  • Bayesian estimation of probit, tobit models
  • Jeffreys prior
  • Numerical precision of simulation results: numerical standard errors, relative numericalefficiency

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Prerequisites

English Language Requirements

Both Programmes are open to applicants anywhere in the world. We may ask applicants to provide a recognised English language qualification, dependent upon their nationality and where they have studied/worked previously.

 The requirement is an IELTS (Academic) Test with an overall score of at least 6.5, and a minimum of 6.0 in each element of the test. We will also consider other English language qualifications. If their score is below our requirements, they may be eligible for one of Lancaster University's pre-sessional English language programmes.

Academic Requirements

Applicants to the Postgraduate Certificate of Achievement, Postgraduate Certificate, Postgraduate Diploma or full MSc in either programme require either an upper second-class degree in economics, econometrics or related subjects.

Learning Outcomes

Key Skills
  • The basis and motivation for Bayesian Econometrics
  • The distinction between inference and estimation in Bayesian versus classical methods
  • How to construct posterior distributions of unknown parameters
  • The application of Bayesian methods to problems in microeconometrics
Desired Skills
  • Communicate and present complex arguments in oral and written form with clarity
  • Appreciate instances where the application of Bayesian methods is appropriate
  • Work with R and/or python to operationalize Bayesian methods

Frequently Asked Questions

Are the courses within either programme conducted synchronously or asynchronously?

All sessions are conducted live and online at a scheduled time, but are also recorded. Students may attend live and watch the recordings back to recap the material or watch the recordings only if unable to attend live. We always advise students to attend live where possible as this will allow them the best opportunity to engage with the content and ask the lecturer's questions.

Is all examination undertaken online or in-person?

All modules are examined through online coursework submissions, you will have the support of your module lecturer/tutor in this poccess.

Do I need to buy any statistical/econometric software?

No, all necessary software is provided to students.

What do I do if I can't attend a course live?

All courses are recorded and available on the LUMS internet platform throughout the current academic year. They can therefore be viewed 24 hours a day.

A Collaboration Like No Other

Timberlake Consultants and Lancaster University Management School (LUMS) Economics department have a longstanding partnership; combining 40+ years of industry expertise with over 50 years of academic excellence. We are delighted to build on this with our micro-credential postgraduate courses.

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