Artikel
Quasi-Bayesian model selection
In this paper, we establish the consistency of the model selection criterion based on the quasi-marginal likelihood (QML) obtained from Laplace-type estimators. We consider cases in which parameters are strongly identified, weakly identified and partially identified. Our Monte Carlo results confirm our consistency results. Our proposed procedure is applied to select among New Keynesian macroeconomic models using US data.
- Sprache
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Englisch
- Erschienen in
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Journal: Quantitative Economics ; ISSN: 1759-7331 ; Volume: 9 ; Year: 2018 ; Issue: 3 ; Pages: 1265-1297 ; New Haven, CT: The Econometric Society
- Klassifikation
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Wirtschaft
Bayesian Analysis: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Model Evaluation, Validation, and Selection
- Thema
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Impulse response function matching
Laplace-type estimators
quasi-marginal likelihood
- Ereignis
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Geistige Schöpfung
- (wer)
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Inoue, Atsushi
Shintani, Mototsugu
- Ereignis
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Veröffentlichung
- (wer)
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The Econometric Society
- (wo)
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New Haven, CT
- (wann)
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2019
- DOI
-
doi:10.3982/QE587
- Handle
- Letzte Aktualisierung
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20.09.2024, 08:21 MESZ
Datenpartner
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Objekttyp
- Artikel
Beteiligte
- Inoue, Atsushi
- Shintani, Mototsugu
- The Econometric Society
Entstanden
- 2019