Dale, Poirier J; Tobias, Justin

Palgrave Handbook of Econometrics (February 2006): 841-870.

Basic principles of Bayesian statistics and econometrics are
reviewed. The topics covered include point and interval
estimation, hypothesis testing, prediction, model building and choice of prior. We also review in very general terms recent advances in computational
methods and illustrate the use of these techniques with an application.