PhD course in Bayesian econometrics

Lecturer: Anthony Lancaster, Professor at Brown University

February 20-22, 2006


Lancaster, A. (2004): An Introduction to Modern Bayesian Econometrics, Blackwell.


E. T. Jaynes (1995), Probability theory: the logic of science, edited by G. Larry Bretthorst, Cambridge: Cambridge University Press [First 3 chapters; full book available from Amazon].



Tony Lancaster and Sung Jae Jun (2005): Bayesian Quantile Regression


Tony Lancaster (2003): A Note on Bootstraps and Robustness


F. P. Ramsey (1926), Truth and Probability, in Ramsey, 1931, The Foundations of Mathematics and other Logical Essays, Ch. VII, p.156-198, edited by R.B. Braithwaite, London: Kegan, Paul, Trench, Trubner & Co., New York: Harcourt, Brace and Company [1999 electronic edition].

Lecture notes


  • Generating Data:
Bivariate Normal distribution:
Autoregressive of order 1:

Programme and participants

Preparation material

Links to software

  • BUGS [Bayesian Inference Using Gibbs Sampling]
  • BACC [Bayesian Analysis, Computation and Communication]
  • R [The R system for statistical computation and graphics]

Organizers: Martin Browning, Daniel le Maire and Mirtha Saavedra.