Gateway to Think Tanks
来源类型 | Discussion paper |
规范类型 | 论文 |
来源ID | DP13511 |
DP13511 Dealing with misspecification in structural macroeconometric models | |
Fabio Canova; Christian Matthes | |
发表日期 | 2019-02-05 |
出版年 | 2019 |
语种 | 英语 |
摘要 | We consider a set of potentially misspecified structural models, geometrically combine their likelihood functions, and estimate the parameters using composite methods. Composite estimators may be preferable to likelihood-based estimators in the mean squared error. Composite models may be superior to individual models in the Kullback-Leibler sense. We describe Bayesian quasi-posterior computations and compare the approach to Bayesian model averaging, finite mixture methods, and robustness procedures. We robustify inference using the composite posterior distribution of the parameters and the pool of models. We provide estimates of the marginal propensity to consume and evaluate the role of technology shocks for output fluctuations. |
主题 | Monetary Economics and Fluctuations |
关键词 | Model misspecification Composite likelihood Bayesian model averaging Finite mixture |
URL | https://cepr.org/publications/dp13511 |
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/542328 |
推荐引用方式 GB/T 7714 | Fabio Canova,Christian Matthes. DP13511 Dealing with misspecification in structural macroeconometric models. 2019. |
条目包含的文件 | 条目无相关文件。 |
除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。