| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7478 |
| DP7478 The Political Economy of Ethnolinguistic Cleavages | |
| Romain Wacziarg; Klaus Desmet; Ignacio Ortuño-Ortin | |
| 发表日期 | 2009-09-27 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | We show that in weakly identified models (1) the posterior mode will not be a consistent estimator of the true parameter vector, (2) the posterior distribution will not be Gaussian even asymptotically, and (3) Bayesian credible sets and frequentist confidence sets will not coincide asymptotically. This means that Bayesian DSGE estimation should not be interpreted merely as a convenient device for obtaining asymptotically valid point estimates and confidence sets from the posterior distribution. As an alternative, we develop new frequentist confidence sets for structural DSGE model parameters that remain asymptotically valid regardless of the strength of the identification. |
| 主题 | International Macroeconomics |
| 关键词 | Bayes factor Bayesian estimation Confidence set Dsge models Identification Inference Likelihood ratio |
| URL | https://cepr.org/publications/dp7478 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/536315 |
| 推荐引用方式 GB/T 7714 | Romain Wacziarg,Klaus Desmet,Ignacio Ortuño-Ortin. DP7478 The Political Economy of Ethnolinguistic Cleavages. 2009. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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