This page provides links to example programs for Bayesian Econometrics, by Gary Koop (2003, Wiley). These were all included in our recent Bayesian Econometrics course (see Econometrics Courses), which goes into the technical details of the calculations, and also adds coverage of Bayesian analysis of vector autoregressions.
The following lists the examples and the topic that they illustrate. Note that many of these require version 7.3. You can get most of them to work with earlier 7.x's by sourcing in the glue.src file (available here), which includes several additional functions.
Use the menu below to view the examples from a different textbook:
The Zip file listed first in the table below includes all the sample programs, data files (when available), and, in some cases, files containing RATS procedures used by the examples. If you want to actually run any of the examples, you should download the Zip file.
If you prefer just to view the code for a particular example, just click on the example name (the files are referenced by page number). Again, if you actually want to run these, you should download the zip file listed first to get the required data and procedure files.
Note that all of the textbook example, data, and procedure files currently available on our website are also included on the CD with the current release of the RATS software.
|koop_bp.zip||Zip file with programs and data files|
|koop_bp028.rpf||Linear model, single variable|
|koop_bp047a.rpf||Multiple linear regression, conjugate prior, analytical|
|koop_bp047b.rpf||Multiple linear regression, conjugate prior, simulations|
|koop_bp047c.rpf||Multiple linear regression, conjugate prior, with restrictions|
|koop_bp073.rpf||Multiple linear regression, independent prior, Gibbs sampling|
|koop_bp107a.rpf||Non-linear regression, Random Walk Metropolis-Hastings|
|koop_bp107b.rpf||Non-linear regression, Independence Metropolis-Hastings|
|koop_bp123.rpf||Heteroscedastic errors with known functional form|
|koop_bp129.rpf||Heteroscedastic errors with unknown form|
|koop_bp136.rpf||Linear regression with AR(1) errors|
|koop_bp141.rpf||Seemingly unrelated regression|
|koop_bp162FE.rpf||Panel data, fixed effects|
|koop_bp162RC.rpf||Panel data, random coefficients|
|koop_bp162RE.rpf||Panel data, random effects|
|koop_bp191.rpf||State-space model, local level|
|koop_bp200.rpf||State-space model, time-varying coefficients|