| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15684 |
| DP15684 Estimating macro models and the potentially misleading nature of Bayesian estimation | |
| David Meenagh; Patrick Minford; Michael R. Wickens | |
| 发表日期 | 2021-01-18 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | 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 flexibility; 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. |
| 主题 | Monetary Economics and Fluctuations |
| 关键词 | Bayesian Maximum likelihood indirect inference Estimation bias |
| URL | https://cepr.org/publications/dp15684 |
| 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/544693 |
| 推荐引用方式 GB/T 7714 | David Meenagh,Patrick Minford,Michael R. Wickens. DP15684 Estimating macro models and the potentially misleading nature of Bayesian estimation. 2021. |
| 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。
