Ed Herbst

Much of this material stems from courses I took at the University of Pennsylvania, in particular Frank Schorfheide’s Econ 706 and 722.

Time Series Basics

1. Introduction to Time Series ·
2. Models with Trends ·
3. Kalman Filter ·

Bayesian Inference

1. Introduction to Bayesian Inference ·
2. More on Priors ·
3. More Bayesian Regression ·
4. Uninformative Priors