Bayesian Estimation Teaching

[DiegoHidaFl]

Econometrics teaching notes using Dynare Julia

I have updated my econometrics lecture notes to use Dynare on Julia for ML and Bayesian estimation of a linearized mode. There is some comparison to other estimation methods, too: GMM, Bayesian GMM, and forms of simulated moments estimation. The short story, using a very simple theoretical model, is that the linearization/ML/Bayesian approach gives fairly accurate point estimates, but the reliability of confidence intervals is in some doubt. The use of Dynare is in Chapters 15 and 17, in case th…

It might be of your interest, in particular chapter 17.