Bayesian econometrics: past, present, and future

Abstract

After briefly reviewing the past history of Bayesian econometrics and Alan Greenspan's (2004) recent description of his use of Bayesian methods in managing policy-making risk, some of the issues and needs that he mentions are discussed and linked to past and present Bayesian econometric research. Then a review of some recent Bayesian econometric research and needs is presented. Finally, some thoughts are presented that relate to the future of Bayesian econometrics.

Citation

Zellner, A. (2008), "Bayesian econometrics: past, present, and future", Chib, S., Griffiths, W., Koop, G. and Terrell, D. (Ed.) Bayesian Econometrics (Advances in Econometrics, Vol. 23), Emerald Group Publishing Limited, Leeds, pp. 11-60. https://doi.org/10.1016/S0731-9053(08)23001-X