#134 Bayesian Econometrics, State Space Models & Dynamic Regression, with David Kohns

Proudly sponsored by PyMC Labs, the Bayesian Consultancy. Book a call, or get in touch!

• Intro to Bayes Course (first 2 lessons free)
• Advanced Regression Course (first 2 lessons free)

Our theme music is « Good Bayesian », by Baba Brinkman (feat MC Lars and Mega Ran). Check out his awesome work!

Visit our Patreon page to unlock exclusive Bayesian swag ;)

Takeaways:

• Setting appropriate priors is crucial to avoid overfitting in models.
• R-squared can be used effectively in Bayesian frameworks for model evaluation.
• Dynamic regression can incorporate time-varying coefficients to capture changing relationships.
• Predictively consistent priors enhance model interpretability and performance.
• Identifiability is a challenge in time series models.
• State space models provide structure compared to Gaussian processes.
• Priors influence the model's ability to explain variance.
• Starting with simple models can reveal interesting dynamics.
• Understanding the relationship between states and variance is key.
• State-space models allow for dynamic analysis of time series data.
• AI can enhance the process of prior elicitation in statistical models.

Chapters:

10:09 Understanding State Space Models

14:53 Predictively Consistent Priors

20:02 Dynamic Regression and AR Models

25:08 Inflation Forecasting

50:49 Understanding Time Series Data and Economic Analysis

57:04 Exploring Dynamic Regression Models

01:05:52 The Role of Priors

01:15:36 Future Trends in Probabilistic Programming

01:20:05 Innovations in Bayesian Model Selection

Thank you to my Patrons for making this episode possible!

Yusuke Saito, Avi Bryant, Ero Carrera, Giuliano Cruz, Tim Gasser, James Wade, Tradd Salvo, William Benton, James Ahloy, Robin Taylor,, Chad Scherrer, Zwelithini Tunyiswa, Bertrand Wilden, James Thompson, Stephen Oates, Gian Luca Di Tanna, Jack Wells, Matthew Maldonado, Ian Costley, Ally Salim, Larry Gill, Ian Moran, Paul Oreto, Colin Caprani, Colin Carroll, Nathaniel Burbank, Michael Osthege, Rémi Louf, Clive Edelsten, Henri Wallen, Hugo Botha, Vinh Nguyen, Marcin Elantkowski, Adam C. Smith, Will Kurt, Andrew Moskowitz, Hector Munoz, Marco Gorelli, Simon Kessell, Bradley Rode, Patrick Kelley, Rick Anderson, Casper de Bruin, Philippe Labonde, Michael Hankin, Cameron Smith, Tomáš Frýda, Ryan Wesslen, Andreas Netti, Riley King, Yoshiyuki Hamajima,