Preface
1. Linear Regressions
2. Markov Chain Monte Carlo Methods
2.1 Discrete-state MH Sampler
2.2 MH Sampler in the General Form
2.3 The Gibbs Sampler
2.4 Hamiltonian Monte Carlo
2.5 Multiple-try MH Sampler
2.6 Trans-dimensional MCMC Methods
2.7 Pseudo-marginal MH Sampler
2.8 Big Data MCMC: Divide and Conquer
2.9 Big Data MCMC: Subsampling
3. Shrinkage and Variable Selection
4. Correlation, Heteroscedasticity and Non-Gaussian Regressions
5. Limited Dependent Variable Models
6. Linear State Space Models
7. Nonlinear State Space Models
8. Applications of State Space Models
8.1 ARMA Models
8.2 Unobserved Component Models
8.3 Vector Auto Regressions
8.4 Dynamic Factor Models
8.5 Time-varying-parameter Regressions
8.6 Panel Data Analysis
8.7 From GARCH to Stochastic Volatility
8.8 Linear DSGE Models
8.9 Nonlinear DSGE Models
Bibliography
Biography
Hang Qian is the principal engineer of the Econometrics Toolbox for MATLAB and has been dedicated to statistical software development at MathWorks since 2012. He earned his PhD in economics, specializing in Bayesian statistics, big data analysis, and computational finance. His research has been published in journals such as Bayesian Analysis, Journal of Business & Economic Statistics, and Journal of Econometrics.
