Events

Tinbergen Institute Econometrics Lectures 2009

Peter Rossi: Semi-Parametric Bayesian Inference in Econometrics

Professor Rossi (University of Chicago) has given the Tinbergen Institute Econometrics Lectures 2009. These Lectures are part of the Princeton University Press Lectures, a joint project of Princeton University Press (PUP), the Econometric Institute at Erasmus University Rotterdam, and Tinbergen Institute.

Peter E. Rossi studies pricing and promotion, target marketing, direct marketing, micro-marketing, limited dependent variable models, and Bayesian statistical methods. He has published widely in marketing, economics, statistics, and econometrics. His article, "Bayesian Analysis of Stochastic Volatility Models," was named one of the most influential articles in the 20th anniversary issue of the Journal of Business and Economic Statistics.

This intensive three-day PhD course consisted of three parts. The three lectures of Professor Peter Rossi constituted the main ingredient of this course. These were complemented by a set of introductory lectures by Professor Richard Paap and Dr. Dennis Fok. The third part of this course was a workshop with top researchers in the same area.

Date: May 27-29, 2009
Venue: Erasmus University Rotterdam, Burg. Oudlaan 50, J1-41

Lecture Scheme

Wednesday May 27, 2009 (2 lectures)
10:00 - 12:00 Introduction Bayesian Statistics
Dennis Fok or Richard Paap
  1. Introduction Bayesian Econometrics
  2. Introduction Markov Chain Monte Carlo Methods
13:30 - 17:00 Bayesian Applications of Mixture of Normal Distributions
Peter Rossi
  1. Mixture of Normals for Density Estimation
  2. Random Coefficient Models with Mixture of Normals Priors
  3. Generalizing Mixtures of Normals - Dirichlet Process Priors
Thursday May 28, 2009 (2 lectures)
10:00 - 12:00 Introduction to IV Estimation
Dennis Fok or Richard Paap
  1. Frequentist Instrumental Variable Estimation
  2. Weak Instruments
13:30 - 16:30 Bayesian Parametric IV Estimation
Peter Rossi
  1. Regression with Dirichlet Process errors
  2. Bayesian Instrument Variable Approach
Friday May 29, 2009
Workshop on Advanced Bayesian Inference
Titles to be announced
10:00 - 11:00Peter Rossi
Bayesian Analysis of Aggregate Share Models
11:00 - 11:15Break
11:15 - 11:45PhD student
11:45 - 12:30Gary Koop
12:30 - 14.00Break
14:00 - 14:45Silvia Frühwirth-Schnatter
14:45 - 15:15PhD Student
15:15 - 15:45Break
15:45 - 16:30Mattias Villani