Bayesian econometrics
Stata does econometrics. And Stata does Bayesian statistics. Stata 17 now does Bayesian econometrics. Want to use probabilistic statements to answer economic questions, for example, Are those who participate in a job-training program more likely to stay employed for the next five years? Want to incorporate prior knowledge of an economic process? Stata’s new Bayesian econometrics features can help. Fit many Bayesian models such as cross-sectional, panel-data, multilevel, and time-series models. Compare models using Bayes factors. Obtain predictions and forecasts. And more!
One of the appeals for using Bayesian methods in econometric modeling is to incorporate the external information about model parameters often available in practice. This information may come from historical data, or it may come naturally from the knowledge of an economic process. Either way, a Bayesian approach allows us to combine that external information with what we observe in the current data to form a more realistic view of the economic process of interest.
Stata 17 offers several new features in the area of Bayesian econometrics:
- Bayesian VAR models
- Bayesian IRF and FEVD analysis
- Bayesian dynamic forecasting
- Bayesian longitudinal/panel-data models
- Bayesian linear and nonlinear DSGE models
