Gary Koop

Overview

Gary Koop is a Bayesian econometrician (University of Strathclyde) and a leading figure in Bayesian macroeconometrics — large Bayesian VARs, time-varying-parameter models, cointegration, model uncertainty, and nonlinear time series. He is the author of widely used textbooks on Bayesian econometrics.

Key Contributions / Features

• Koop (1992a): "objective" Bayesian posterior-odds tests for unit roots with reference priors.
• Bayesian approaches to cointegration (Koop-Strachan-van Dijk-Villani 2005), Bayes factors and nonlinearity (Koop-Potter 1999), model uncertainty in the consumption-wealth relationship, and large/time-varying BVARs.
• Bayesian semiparametrics (Koop-Poirier 2004): natural-conjugate smoothness-prior methods for the partial linear model without MCMC.

Related

• Unit Root Inference
• Bayesian VAR
• Cointegration
• Bayesian SVAR Identification
• Koop (1992a) 'Objective' Bayesian Unit Root Tests
• Koop (1992b) Aggregate Shocks and Macroeconomic Fluctuations: A Bayesian Approach
• Bayesian Semiparametric Regression
• Koop-Poirier (2004) Bayesian Variants of Some Classical Semiparametric Regression Techniques
• Koop-Poirier-Tobias (2003) Bayesian Semiparametric Inference in Multiple Equation Models
• Dale J. Poirier
• Justin L. Tobias
• Change-Point Analysis
• Koop-Potter (2004) Estimation of Multiple Change-point Models with an Unknown Number of Change-points
• Koop-Potter (2006) Forecasting and Estimating Multiple Change-point Models with an Unknown Number of Change-points
• Simon M. Potter