BEX5410 - Bayesian Time Series Econometrics - 2018

0 points, SCA Band 3, 0.000 EFTSL

Postgraduate - Unit

Refer to the specific census and withdrawal dates for the semester(s) in which this unit is offered.


Business and Economics

Organisational Unit

Department of Econometrics and Business Statistics

Chief examiner(s)

Professor Gael Martin

Unit guides



  • First semester 2018 (On-campus)


This unit introduces students to both foundational and methodological aspects of Bayesian econometrics. Topics covered include a review of the philosophical and probabilistic foundations of Bayesian inference; the contrast between the Bayesian and frequentist (or classical) statistical paradigms; the use of prior information via the specification of objective, Jeffreys and subjective prior distributions; Bayesian linear regression; the use of simulation techniques in Bayesian inference, including Markov chain Monte Carlo algorithms; Bayesian analysis of Gaussian and non-Gaussian time series econometric models, including state space models; and the Kalman filter as a Bayesian updating rule.


The learning goals associated with this unit are to:

  1. appreciate the importance of Bayesian statistical techniques in econometric research and understand the differences between the Bayesian and frequentist statistical paradigms
  2. acquire the skills necessary to derive Bayesian results analytically, in simple models
  3. demonstrate an understanding of simulation methods and be able to implement these methods in empirically realistic econometric models
  4. understand the Kalman filter and its role in Bayesian inference in linear time series models.


Within semester assessment: 40% + Examination: 60%

Workload requirements

Minimum total expected workload to achieve the learning outcomes for this unit is 144 hours per semester typically comprising a mixture of scheduled learning activities and independent study. Independent study may include associated readings, assessment and preparation for scheduled activities. The unit requires on average three/four hours of scheduled activities per week. Scheduled activities may include a combination of teacher directed learning, peer directed learning and online engagement.

See also Unit timetable information