The tutorials will take place on Friday the 13th of December 2013 at room B01 of the Clore Management Center, Birkbeck University of London. The registration for the tutorials will take place at the Clore Basement Foyer. The number of participants to the tutorials is limited and restricted only to those who attend the conference. For further information send an email to info@CMStatistics.org.
Summary: Likelihood-based procedures commonly used for parametric inference are reviewed and analysed in terms of accuracy and conditionality. Two main approaches are considered: the parametric bootstrap and procedures based on refined analytic approximation of the distributional properties of likelihood quantities. Particular focus will be on elucidation of:
Prof. Herman K. van Dijk, dr. Lennart Hoogerheide, and dr. Nalan Basturk (Econometric Institute Erasmus University Rotterdam, Econometrics Department Vrije Universiteit Amsterdam and Tinbergen Institute), The Netherlands. Email: Contact
Summary: This one afternoon set of lectures assumes basic background in simulation based Bayesian econometric inference. The focus is on more advanced, recently developed simulation methods and filtering methods that may be useful for the analysis of flexible dynamic time series models like GARCH processes, time varying parameter models, dynamic mixture models and further for Bayesian model averaging involving marginal and predictive likelihoods. Applications are in fields of economics, neuro-imaging and DNA analysis.
The focus is on the following three topics: