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Posterior Moments Of The Klein-Goldberger Model

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  • van Dijk, H. K.
  • Kloek, T.

Abstract

Bayesian analysis is applied to the structural form of the revised Klein-Goldberger model; see Klein (1969). The evaluation of the posterior moments involves thirty-dimensional numerical integration. For computational purposes use is made of the method of mixed integration; see van Dijk and Kloek (1981). The results suggest that the local approximation of the covariance matrix around the posterior mode differs considerably from the covariance matrix around the posterior mean for a subset of parameters of interest. The results also indicate strong collinearity in several equations. As a consequence precise estimation of the lag structure of these equations appears difficult.

Suggested Citation

  • van Dijk, H. K. & Kloek, T., 1982. "Posterior Moments Of The Klein-Goldberger Model," Econometric Institute Archives 272269, Erasmus University Rotterdam.
    • Handle: RePEc:ags:eureia:272269
    DOI: 10.22004/ag.econ.272269
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    References listed on IDEAS

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    1. Dreze, Jacques H. & Richard, Jean-Francois, 1983. "Bayesian analysis of simultaneous equation systems," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 1, chapter 9, pages 517-598, Elsevier.
    2. Kloek, Tuen & van Dijk, Herman K, 1978. "Bayesian Estimates of Equation System Parameters: An Application of Integration by Monte Carlo," Econometrica, Econometric Society, vol. 46(1), pages 1-19, January.
    3. Brown, Bryan W, 1981. "Sample Size Requirements in Full Information Maximum Likelihood Estimation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 22(2), pages 443-459, June.
    4. Dagenais, Marcel G, 1978. "The Computation of FIML Estimates as Iterative Generalized Least Squares Estimates in Linear and Nonlinear Simultaneous Equations Models," Econometrica, Econometric Society, vol. 46(6), pages 1351-1362, November.
    5. Klein, Lawrence R, 1969. "Estimation on Interdependent Systems in Macroeconometrics," Econometrica, Econometric Society, vol. 37(2), pages 171-192, April.
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    1. Van Dijk, Herman K. & Kloek, Teun & Boender, C. Guus E., 1985. "Posterior moments computed by mixed integration," Journal of Econometrics, Elsevier, vol. 29(1-2), pages 3-18.
    2. van Dijk, H. K., 1987. "Some Advances In Bayesian Estimation Methods Using Monte Carlo Integration," Econometric Institute Archives 272361, Erasmus University Rotterdam.
    3. Jean-Marie Viaene, 1992. "Real effects of the 1992 financial deregulation," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 128(4), pages 615-638, December.
    4. van Dijk, H. K. & Kloek, T., 1983. "Experiments With Some Alternatives For Simple Importance Sampling In Monte Carlo Integration," Econometric Institute Archives 272281, Erasmus University Rotterdam.

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