Introduction to Modern Bayesian Econometrics

“This book conveys the revolution in Bayesian statistics brought about by modern computing and simulation methods from a perspective that econometricians will find familiar. It works through the implications for econometric practice using practical examples and accessible computer software. Graduate students in economics will find it highly accessible. Practitioners steeped in classical econometric methods will find much that is new, exciting, and useful here as well.” John Geweke, University of Iowa

“Lancaster's text gives an impressive overview of the Bayesian point of view, and should prove a valuable resource to econometricians of all persuasions.” Werner Ploberger, University of Rochester