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Comparing dynamic equilibrium models to data : a Bayesian approach
| Content Provider | Semantic Scholar |
|---|---|
| Author | Fern, Jesse Villaverde, J. F. Rubio -Ram Andez - |
| Copyright Year | 2003 |
| Abstract | This paper studies the properties of the Bayesian approach to estimation and comparison of dynamic equilibrium economies. Both tasks can be performed even if the models are nonnested, misspeci5ed, and nonlinear. First, we show that Bayesian methods have a classical interpretation: asymptotically, the parameter point estimates converge to their pseudotrue values, and the best model under the Kullback–Leibler distance will have the highest posterior probability. Second, we illustrate the strong small sample behavior of the approach using a well-known application: the U.S. cattle cycle. Bayesian estimates outperform maximum likelihood results, and the proposed model is easily compared with a set of BVARs. c © 2003 Elsevier B.V. All rights reserved. JEL classi-cation: C11; C15; C51; C52 |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | https://econ.duke.edu/uploads/assets/People/Rubio-Ramirez/Refereed%20Publications/journal-of-econometrics-2004.pdf |
| Alternate Webpage(s) | http://www.dklevine.com/archive/refs4506439000000000309.pdf |
| Alternate Webpage(s) | http://www.ssc.upenn.edu/~jesusfv/ver40.pdf |
| Alternate Webpage(s) | http://economics.sas.upenn.edu/~jesusfv/ver40.pdf |
| Alternate Webpage(s) | http://econ.duke.edu/uploads/assets/People/Rubio-Ramirez/Refereed%20Publications/journal-of-econometrics-2004.pdf |
| Language | English |
| Access Restriction | Open |
| Subject Keyword | C11 (C standard revision) Cation Exchange Resins Cations Converge Estimated Kind of quantity - Equilibrium Kullback–Leibler divergence Nonlinear system Population Parameter |
| Content Type | Text |
| Resource Type | Article |
