Bayesian Inference in Dynamic Econometric Models

This book offers an up-to-date coverage of the basic principles and of the tools of Bayesian inference in econometrics. Bayesian inference is a branch of statistics that integrates explicitly both data and prior (possibly subjective) information in model building, estimation, and evaluation. The book then shows how to use Bayesian methods in a range of models especially suited to the analysis of macroeconomic and financial time series.