Bayesian econometrics

Bayesian econometrics is a branch of econometrics which applies Bayesian principles to economic modelling.

The Bayesian principle is based on Bayes Theorem which states that the probability of B conditional on A is the ratio of joint probability of A and B divided by probability of B. Bayesian econometricians assume that coefficients in the model have prior distributions.

This approach was first propagated by Arnold Zellner.

Sources

Tony Lancaster. An Introduction to Modern Bayesian Econometrics. Link Gary Koop et al. Bayesian Econometric Methods Link