Bayesian Econometrics

Subject ECOM90010 (2016)

Note: This is an archived Handbook entry from 2016.

Credit Points: 12.5
Level: 9 (Graduate/Postgraduate)
Dates & Locations:

This subject is not offered in 2016.

Time Commitment: Contact Hours: Three hours of classes per week plus three hours of seminars during the semester
Total Time Commitment:

Estimated total time commitment of 120 hours per semester


ECOM40006 Econometric Techniques / ECOM90013 Econometric Techniques

Study Period Commencement:
Credit Points:


Recommended Background Knowledge:


Non Allowed Subjects:

ECOM40002 Bayesian Econometrics

Core Participation Requirements:

For the purposes of considering request for Reasonable Adjustments under the Disability Standards for Education (Cwth 2005), and Student Support and Engagement Policy, academic requirements for this subject are articulated in the Subject Overview, Learning Outcomes, Assessment and Generic Skills sections of this entry.

It is University policy to take all reasonable steps to minimise the impact of disability upon academic study, and reasonable adjustments will be made to enhance a student's participation in the University's programs. Students who feel their disability may impact on meeting the requirements of this subject are encouraged to discuss this matter with a Faculty Student Adviser and Student Equity and Disability Support:


MBS @ Berkeley Street
Level 4, 198 Berkeley Street
Telephone: +61 3 8344 1670

Subject Overview:

The overall aim of this subject is to introduce students to the essential concepts and techniques/tools used in Bayesian inference and to apply Bayesian inference
to a number of econometric models. Basic concepts and tools introduced include joint, conditional and marginal probability distributions, prior, posterior and predictive
distributions, marginal likelihood and Bayes theorem. Key tools and techniques introduced include Markov chain Monte Carlo (MCMC) techniques, such as the Gibbs and Metropolis Hastings algorithms, for model estimation and model comparison and the estimation of integrals via simulation methods. Throughout the course we will implement Bayesian estimation for various models such as the traditional regression model, panel models and limited dependent variable models using the Matlab programming environment.

Learning Outcomes:

On successful completion of this subject students should be able to:

  • Explain the concepts of joint, conditional and marginal probability density functions and their relevance for Bayesian inference;
  • Derive posterior density functions for common econometric models including the traditional regression model, discrete outcome models and panel models;
  • Explain the relevance of Markov chain Monte Carlo techniques for Bayesian inference;
  • Program Gibbs samplers and Metropolis-Hastings algorithms for a number of models including the traditional regression model, discrete outcome and panel models;
  • Interpret results from Bayesian inference; and
  • Estimate marginal likelihoods for model comparison.
  • Two hour end-of-semester examination (60%); and
  • Three assignments due between weeks 6 and 12: Assignment 1 (15%) approx. 8-10 pages (not including computer code in matlab); Assignment 2 (15%) approx. 8-10 pages (not including computer code in matlab); Assignment 3 (10%) approx. 8-10 pages
Prescribed Texts:

You will be advised of prescribed texts by your lecturer.

Breadth Options:

This subject is not available as a breadth subject.

Fees Information: Subject EFTSL, Level, Discipline & Census Date
Generic Skills:

On successful completion of this subject, students should have improved the following generic skills:

  • Evaluation of ideas, views and evidence;
  • Synthesis of ideas, views and evidence;
  • Strategic thinking;
  • Critical thinking;
  • Application of theory to economic policy and business decision making;
  • Summary and interpretation of information;
  • Application of Windows software;
  • Using and designing computer programs;
  • Statistical reasoning;
  • Problem solving skills;
  • Collaborative learning and teamwork;
  • Written communication; and
  • Oral communication.

Students may not gain credit for both ECOM90010 Bayesian Econometrics and ECOM40002 Bayesian Econometrics.

Related Course(s): Master of Commerce (Actuarial Science)
Master of Economics

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