Economics Job Market Rumors Topic: How useful is Bayesian econometrics?
https://www.econjobrumors.com/topic/how-useful-is-bayesian-econometrics
Economics Job Market Rumors Topic: How useful is Bayesian econometrics?en-USMon, 08 Aug 2022 09:25:05 +0000http://bbpress.org/?v=1.0.2<![CDATA[Search]]>q
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Economist on "How useful is Bayesian econometrics?"
https://www.econjobrumors.com/topic/how-useful-is-bayesian-econometrics/page/5#post-8139593
Fri, 22 Jul 2022 15:13:30 +0000Economist8139593@https://www.econjobrumors.com/<p><a href="https://doi.org/10.1017/S0266466600008719" rel="nofollow">https://doi.org/10.1017/S0266466600008719</a></p>
<blockquote><p>Really? What can bayes add to TS that unit root testing, Granger Causality, and cointegration cannot answer?</p>
<blockquote><p>Depends. Useful for macro (time series + estimation of DSGE models) but other fields are not much into bayesian stuff.</blockquote></blockquote>Economist on "How useful is Bayesian econometrics?"
https://www.econjobrumors.com/topic/how-useful-is-bayesian-econometrics/page/5#post-7233856
Fri, 15 Oct 2021 01:48:30 +0000Economist7233856@https://www.econjobrumors.com/<blockquote><p>Also when the parameter space is large, classical techniques based on optimization are difficult to implement.
</p></blockquote>
<p>Lasso?
</p>Economist on "How useful is Bayesian econometrics?"
https://www.econjobrumors.com/topic/how-useful-is-bayesian-econometrics/page/5#post-7233846
Fri, 15 Oct 2021 01:46:18 +0000Economist7233846@https://www.econjobrumors.com/<p>Also when the parameter space is large, classical techniques based on optimization are difficult to implement.
</p>Economist on "How useful is Bayesian econometrics?"
https://www.econjobrumors.com/topic/how-useful-is-bayesian-econometrics/page/5#post-7233838
Fri, 15 Oct 2021 01:44:54 +0000Economist7233838@https://www.econjobrumors.com/<p>Very useful in macro, because there are loads of parameters and little data, so one needs to incorporate other (prior) information to obtain reasonably tight estimates.
</p>Economist on "How useful is Bayesian econometrics?"
https://www.econjobrumors.com/topic/how-useful-is-bayesian-econometrics/page/5#post-7178271
Mon, 27 Sep 2021 02:04:15 +0000Economist7178271@https://www.econjobrumors.com/<blockquote><p>Hierarchical bayes, once you substitute all the nested linear models for the beta parameters, end up as a standard linear model for the observed variables where you get very convoluted error structures, that introduce a lot of structure about the unobservable shock of the model, essentially a very complex random effect specification. This affects mostly to the efficiency, and if you are wrong you take the risk to get a very bad estimation. By contrast a fixed-effect OLS approach is simple and consistent (better from the Occam Razor perspective)</p></blockquote>
<p>But then again, fixed-effect OLS implies linearity with varying intercept. That's a pretty strong assumption if you think about it.
</p>Economist on "How useful is Bayesian econometrics?"
https://www.econjobrumors.com/topic/how-useful-is-bayesian-econometrics/page/5#post-6903600
Thu, 01 Jul 2021 00:16:29 +0000Economist6903600@https://www.econjobrumors.com/<blockquote><blockquote>any interesting papers in applied micro using bayesian techniques? a very good one i found was meager Understanding the Average Impact of Microcredit Expansions: A Bayesian Hierarchical Analysis of Seven Randomized Experiments.</p></blockquote>
<p>bump
</p></blockquote>
<p>Bayesian is popular in quant marketing, led by people like Peter Rossi at UCLA (formerly of Booth's Metrics & Stats) and Greg Allenby at OSU. Check out their Bayesm package and book: <a href="https://www.amazon.com/Bayesian-Statistics-Marketing-Peter-Rossi/dp/0470863676" rel="nofollow">https://www.amazon.com/Bayesian-Statistics-Marketing-Peter-Rossi/dp/0470863676</a>
</p>Economist on "How useful is Bayesian econometrics?"
https://www.econjobrumors.com/topic/how-useful-is-bayesian-econometrics/page/4#post-6901595
Wed, 30 Jun 2021 09:19:17 +0000Economist6901595@https://www.econjobrumors.com/<blockquote><p>Dead in academia, useful in industry
</p></blockquote>
<p>Oh yeah this is definitely true - totally useless in academia. No useful papers are published using Bayesian inference. None at all.
</p>Economist on "How useful is Bayesian econometrics?"
https://www.econjobrumors.com/topic/how-useful-is-bayesian-econometrics/page/4#post-6901553
Wed, 30 Jun 2021 08:30:57 +0000Economist6901553@https://www.econjobrumors.com/<p>Dead in academia, useful in industry
</p>Economist on "How useful is Bayesian econometrics?"
https://www.econjobrumors.com/topic/how-useful-is-bayesian-econometrics/page/4#post-6816695
Mon, 31 May 2021 05:52:28 +0000Economist6816695@https://www.econjobrumors.com/<blockquote><blockquote>When theorists build models of rational agents, they always assume agents are fully Bayesian. Because Bayesianism is the only rational course of action.<br />
When applied people do applied work, they are almost never Bayesian. I wonder why? Maybe they are not rational?
</p></blockquote>
<p>there is some non-Bayesian theoretical work but it is rare. There is also some bayesian applied work, but generally you are correct this is a huge divide between theory and applied.
</p></blockquote>
<p>yep, see Binmore's Rational Decisions book for an attack on Bayesian Rational choice theory. </p>
<p>Savage argued bayesian rationality is for "small" worlds but the economy is not one of those worlds.
</p>Economist on "How useful is Bayesian econometrics?"
https://www.econjobrumors.com/topic/how-useful-is-bayesian-econometrics/page/4#post-6816683
Mon, 31 May 2021 05:45:16 +0000Economist6816683@https://www.econjobrumors.com/<blockquote><p>any interesting papers in applied micro using bayesian techniques? a very good one i found was meager Understanding the Average Impact of Microcredit Expansions: A Bayesian Hierarchical Analysis of Seven Randomized Experiments.</p></blockquote>
<p>bump
</p>