Arbeitspapier
Estimating macro models and the potentially misleading nature of Bayesian estimation
We ask whether Bayesian estimation creates a potential estimation bias as compared with standard estimation techniques based on the data, such as maximum likelihood or indirect estimation. We investigate this with a Monte Carlo experiment in which the true version of a New Keynesian model may either have high wage/price rigidity or be close to pure áexibility; we treat each in turn as the true model and create Bayesian estimates of it under priors from the true model and its false alternative. The Bayesian estimation of macro models may thus give very misleading results by placing too much weight on prior information compared to observed data; a better method may be Indirect estimation where the bias is found to be low.
- Language
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Englisch
- Bibliographic citation
-
Series: Cardiff Economics Working Papers ; No. E2021/22
- Classification
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Wirtschaft
Bayesian Analysis: General
General Aggregative Models: Keynes; Keynesian; Post-Keynesian
- Subject
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Bayesian
Maximum Likelihood
Indirect Inference
Estimation Bias
- Event
-
Geistige Schöpfung
- (who)
-
Meenagh, David
Minford, Patrick
Wickens, Michael R.
- Event
-
Veröffentlichung
- (who)
-
Cardiff University, Cardiff Business School
- (where)
-
Cardiff
- (when)
-
2021
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Meenagh, David
- Minford, Patrick
- Wickens, Michael R.
- Cardiff University, Cardiff Business School
Time of origin
- 2021
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