Textbook Example Files

Koop's Bayesian Econometrics

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Examples From Koop's Bayesian Econometrics

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.

File Name Description

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

koop_bp213.rpf Tobit model

koop_bp216.rpf Probit model

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