Introduction to Bayesian Analysis Procedures

SAS Econometrics software provides Bayesian capabilities in three procedures: CQLIM, CNTSELECT, and SMC. The CQLIM and CNTSELECT procedures provide Bayesian analyses in addition to the standard frequentist analyses that they have always performed. PROC CQLIM enables you to perform Bayesian analysis of limited dependent variable models, and PROC CNTSELECT enables you to perform Bayesian analysis of count regression models. PROC SMC enables you to perform Bayesian analysis of nonlinear time series models by using sequential Monte Carlo methods.

This chapter provides an overview of Bayesian statistics; describes specific sampling algorithms used in these procedures; and discusses posterior inference and convergence diagnostics computations. Sources that provide in-depth treatment of Bayesian statistics can be found at the end of this chapter, in the section A Bayesian Reading List. Additional chapters contain syntax, details, and examples for the individual procedures CQLIM (see Chapter 12, CQLIM Procedure), CNTSELECT (see Chapter 10, CNTSELECT Procedure), and SMC (see Chapter 27, SMC Procedure).