Seminar: Bayesian Econometrics

Course content

This seminar will allow students to gain practical experience with Bayesian econometric methods.

 

Bayesian methods offer a fresh perspective to econometrics, as they allow to tackle complicated estimation problems in a tractable way. These approaches rely on simulation methods and can therefore have an advantage over classical methods. For instance, unobserved variables (like latent utilities or random effects) may be difficult to integrate out of a likelihood function in a classical way, but are generally straightforward to simulate in a Bayesian framework.

 

Students will be able to choose the topic they want to explore, which can be either empirical or theoretical. It will also be possible to replicate the results of an article published in a scientific journal. To be able to tackle more interesting research questions, work in groups of two students will be highly encouraged.

 

Education

MSc programme in Economics

The seminar is primarily for students at the MSc of Economics

Learning outcome

Additional for the learning outcome specified in the Curriculum, the learning outcome of the seminar is to be able to

Knowledge:

  • Have reviewed the relevant literature related to the topic they have chosen, and understand the state of the art as well as the limitations of the current approaches.
  • Have a grasp of simulation methods, understand their principle and how they can be used to make inference.
  •  

Skills:

  • Demonstrate an ability to select the most appropriate method for the topic they have chosen.
  • Be able to implement Markov chain Monte Carlo methods, both theoretically (analytical derivation of the algorithm) and practically (programming).
  • Demonstrate technical skills in writing code to implement Bayesian methods.

 

Competencies:

  • Conduct a full Bayesian analysis: (1) formulate an economic model, (2) organize prior knowledge about the model (prior), (3) use relevant data to express the observed information in the model (likelihood), (4) use Bayes' theorem to update beliefs (posterior), (5) derive an appropriate algorithm to compute the posterior distribution, (6) write code to implement the algorithm, (7) interpret the results and criticize the model.

 

Kick-off meeting, research and writing process of the seminar paper, sessions with presentation of own paper and critical evaluation/feedback to another student´s paper, actively participating in discussions at class.


Before the session a "so-finalized-as-possible"-version of the paper must be uploaded in Absalon. After the presentations, the student submit an edited version of the paper in the Digital Exam portal as the final exam paper. The aim is that students use the presentation sessions as an opportunity to receive and use the constructive feedback to improve the paper.

  • Lynch, Scott M. (2007). Introduction to Applied Bayesian Statistics and Estimation for Social Scientists. Springer. ISBN 978-0-387-71264-2.
  • Lancaster, Tony (2004). An Introduction to Modern Bayesian Econometrics. Blackwell Publishing. ISBN 978-1-405-11720-3.
  • Other references and scientific articles will be suggested to the students based on the subject they decide to study.

     

 

It is recommended to have followed one of the following courses: Advanced Microeconometrics (AØKA08084U), Summer School in Bayesian Econometrics (AØKK08359U) or any other similar introductory course in Bayesian econometrics, before or at the same time as this seminar.


The student should have some programming skills (e.g., MATLAB, or the R programming language, which provides many freely available packages implementing Bayesian methods, Python, etc). A list of tutorials will be provided before the start of the semester for those who need to refresh their programming skills.

BSc in Economics or similar

Schedule:
• Kick-off meeting: September 3th 2018, 13-15 (General introduction to the seminar, discussion of possible topics.)
• Deadline commitmentpaper: September 21th, not later than 5 p.m. Before that you can arrange a meeting with the supervisor to discuss topics and related literature.
• Midterm poster session with feedback: in week 41 (to be determined at kick-
off meeting).
• Deadline of pre-paper uploadet to Absalon: One week before presentations
• Presentations/Workshops: Week 46 or 47 (dates to be determined at the kick-off meeting).

ECTS
7,5 ECTS
Type of assessment
Written assignment
- a seminar paper in English that meets the formal requirements for written papers stated in the curriculum of the Master programme and at KUNet for seminars.
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Aid
All aids allowed

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Marking scale
7-point grading scale
Censorship form
External censorship
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Criteria for exam assessment

Students are assessed on the extent to which they master the learning outcome for the seminar and can make use of the knowledge, skills and competencies listed in the learning outcomes in the Curriculum  of the Master programme.

 

To receive the top grade, the student must with no or only a few minor weaknesses be able to demonstrate an excellent performance displaying a high level of command of all aspects of the relevant material.

  • Category
  • Hours
  • Seminar
  • 20
  • Project work
  • 186
  • English
  • 206