Quasi-Bayesian model selection

• 成果类型: Article
• 署名作者: Inoue, Atsushi; Shintani, Mototsugu
• 署名单位: Vanderbilt University; University of Tokyo; University of Tokyo
• 刊物名称: QUANTITATIVE ECONOMICS
• ISSN/ISSBN: 1759-7323
• DOI: 10.3982/QE587
• 发表日期: 2018
• 页码: 1265-1297
• 关键词: Impulse response function matching; Laplace-type estimators; quasi-marginal likelihood

摘要

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.