This course will provide an introduction to modern Bayesian methods in econometrics. Bayesian methods can be applied to any field of economics. The examples and exercises offered during the course will be drawn from various topics, including micro- and macroeconometrics, and finance. The main...

The course includes the topics: - Introduction to central concepts: vector autoregressive processes, error-correction models, non-stationary processes and cointegration. - Representation of cointegrated processes. - Estimation and testing in the cointegrated VAR model. - Identification and...