Editorial

Sompong Dhompongsa, Hung T. Nguyen

Abstract

This special issue is devoted to some research in Applied Econometricsusing exclusively the Bayesian approach to statistical inference. This approach has become more and more popular in view of the computationaldevice known as MCMC (Markov Chain Monte Carlo). Rather than summarizing the essentials of results presented in the issue, we choose to elaborate a bit, for the benefit of a mathematical audience, on two fundamentaland useful questions in applying Bayesian statistics.