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Limited information likelihood and Bayesian analysis

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  • Kim, Jae-Young
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    Article provided by Elsevier in its journal Journal of Econometrics.

    Volume (Year): 107 (2002)
    Issue (Month): 1-2 (March)
    Pages: 175-193

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    Handle: RePEc:eee:econom:v:107:y:2002:i:1-2:p:175-193

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    Web page: http://www.elsevier.com/locate/jeconom

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    References

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    1. Christopher A. Sims, 1988. "Bayesian skepticism on unit root econometrics," Discussion Paper / Institute for Empirical Macroeconomics 3, Federal Reserve Bank of Minneapolis.
    2. Guido W Imbens, Phillip Johnson & Richard H Spady, . "Information theoretic approaches to inference in moment condition model," Economics Papers W12., Economics Group, Nuffield College, University of Oxford.
    3. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, Econometric Society, vol. 50(4), pages 1029-54, July.
    4. Donald W.K. Andrews & Christopher J. Monahan, 1990. "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," Cowles Foundation Discussion Papers 942, Cowles Foundation for Research in Economics, Yale University.
    5. Imbens, Guido W, 1997. "One-Step Estimators for Over-Identified Generalized Method of Moments Models," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 64(3), pages 359-83, July.
    6. Zellner, Arnold & Highfield, Richard A., 1988. "Calculation of maximum entropy distributions and approximation of marginalposterior distributions," Journal of Econometrics, Elsevier, Elsevier, vol. 37(2), pages 195-209, February.
    7. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, Econometric Society, vol. 59(3), pages 817-58, May.
    8. Imbens, G.W. & Johnson, P. & Spady, R.H., 1995. "Information Theoretic Approaches to Inference in Movement Condition Models," Economics Papers 99, Economics Group, Nuffield College, University of Oxford.
    9. Chen, S. X., 1994. "Empirical Likelihood Confidence Intervals for Linear Regression Coefficients," Journal of Multivariate Analysis, Elsevier, vol. 49(1), pages 24-40, April.
    10. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Publishing House "SINERGIA PRESS", Publishing House "SINERGIA PRESS", vol. 33(1), pages 125-132.
    11. Smith, Richard J, 1997. "Alternative Semi-parametric Likelihood Approaches to Generalised Method of Moments Estimation," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 107(441), pages 503-19, March.
    12. Kwan, Yum K., 1998. "Asymptotic Bayesian analysis based on a limited information estimator," Journal of Econometrics, Elsevier, Elsevier, vol. 88(1), pages 99-121, November.
    13. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, Econometric Society, vol. 50(1), pages 1-25, January.
    14. Zellner, Arnold, 1998. "The finite sample properties of simultaneous equations' estimates and estimators Bayesian and non-Bayesian approaches," Journal of Econometrics, Elsevier, Elsevier, vol. 83(1-2), pages 185-212.
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    Cited by:
    1. Atkinson, Scott E. & Dorfman, Jeffrey H., 2005. "Bayesian measurement of productivity and efficiency in the presence of undesirable outputs: crediting electric utilities for reducing air pollution," Journal of Econometrics, Elsevier, Elsevier, vol. 126(2), pages 445-468, June.
    2. Komunjer, Ivana & Ragusa, Giuseppe, 2009. "Existence and Uniqueness of Semiparametric Projections," University of California at San Diego, Economics Working Paper Series qt0wg3j51c, Department of Economics, UC San Diego.
    3. Shinya Sugawara & Yasuhiro Omori, 2013. "An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection," CIRJE F-Series CIRJE-F-882, CIRJE, Faculty of Economics, University of Tokyo.
    4. Alin Mirestean & Charalambos G. Tsangarides & Huigang Chen, 2009. "Limited Information Bayesian Model Averaging for Dynamic Panels with Short Time Periods," IMF Working Papers 09/74, International Monetary Fund.
    5. Liao, Yuan & Simoni, Anna, 2012. "Semi-parametric Bayesian Partially Identified Models based on Support Function," MPRA Paper 43262, University Library of Munich, Germany.
    6. Atkinson, Scott E. & Dorfman, Jeffrey H., 2005. "Feasible Estimation of Firm-Specific Allocative Inefficiency through Bayesian Numerical Methods," 2005 Annual meeting, July 24-27, Providence, RI 19402, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    7. Charalambos G. Tsangarides, 2004. "A Bayesian Approach to Model Uncertainty," IMF Working Papers 04/68, International Monetary Fund.
    8. Giuseppe Ragusa, 2007. "Bayesian Likelihoods for Moment Condition Models," Working Papers 060714, University of California-Irvine, Department of Economics.
    9. Chernozhukov, Victor & Hong, Han, 2003. "An MCMC approach to classical estimation," Journal of Econometrics, Elsevier, Elsevier, vol. 115(2), pages 293-346, August.
    10. Martin M. Andreasen & Jesús Fernández-Villaverde & Juan Rubio-Ramírez, 2013. "The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications," NBER Working Papers 18983, National Bureau of Economic Research, Inc.
    11. Agee, Mark D. & Atkinson, Scott E. & Crocker, Thomas D. & Williams, Jonathan W., 2014. "Non-separable pollution control: Implications for a CO2 emissions cap and trade system," Resource and Energy Economics, Elsevier, vol. 36(1), pages 64-82.
    12. George Assaf, A. & Matousek, Roman & Tsionas, Efthymios G., 2013. "Turkish bank efficiency: Bayesian estimation with undesirable outputs," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 506-517.
    13. Liao, Yuan & Jiang, Wenxin, 2011. "Posterior consistency of nonparametric conditional moment restricted models," MPRA Paper 38700, University Library of Munich, Germany.
    14. Huigang Chen & Alin Mirestean & Charalambos G. Tsangarides, 2011. "Limited Information Bayesian Model Averaging for Dynamic Panels with An Application to a Trade Gravity Model," IMF Working Papers 11/230, International Monetary Fund.
    15. Pablo A Guerron-Quintana & James M Nason, 2012. "Bayesian Estimation of DSGE Models," CAMA Working Papers 2012-10, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    16. Theo S. Eicher & Alex Lenkoski & Adrian Raftery, 2009. "Bayesian Model Averaging and Endogeneity Under Model Uncertainty: An Application to Development Determinants," Working Papers UWEC-2009-19-FC, University of Washington, Department of Economics.
    17. Kim, Jae-Young, 2014. "An alternative quasi likelihood approach, Bayesian analysis and data-based inference for model specification," Journal of Econometrics, Elsevier, Elsevier, vol. 178(P1), pages 132-145.
    18. Lehmann, Bruce N., 2009. "The role of beliefs in inference for rational expectations models," Journal of Econometrics, Elsevier, Elsevier, vol. 150(2), pages 322-331, June.
    19. Bruce N. Lehmann, 2005. "The Role of Beliefs in Inference for Rational Expectations Models," NBER Working Papers 11758, National Bureau of Economic Research, Inc.

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