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Quasi-Bayesian Model Selection

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Author Info

  • Atsushi Inoue

    ()
    (Southern Methodist University)

  • Mototsugu Shintania

    ()
    (Vanderbilt University)

Abstract

In this paper we establish the consistency of the model selection criterion based on the quasi-marginal likelihood obtained from Laplace-type estimators (LTE). 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 monetary macroeconomic models using US data.

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File URL: ftp://ftp1.economics.smu.edu/WorkingPapers/2014/INOUE/INOUE-2014-02.pdf
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Bibliographic Info

Paper provided by Southern Methodist University, Department of Economics in its series Departmental Working Papers with number 1402.

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Date of creation: Feb 2014
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Handle: RePEc:smu:ecowpa:1402

Contact details of provider:
Postal: Department of Economics, P.O. Box 750496, Southern Methodist University, Dallas, TX 75275-0496
Phone: 214-768-2715
Fax: 214-768-1821
Web page: http://www.smu.edu/economics

Related research

Keywords: Consistent Model Selection; Laplace-Type Estimators; Marginal Likelihood.;

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References

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  1. Sin, Chor-Yiu & White, Halbert, 1996. "Information criteria for selecting possibly misspecified parametric models," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 207-225.
  2. Blanchard, Olivier Jean & Quah, Danny, 1989. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," American Economic Review, American Economic Association, vol. 79(4), pages 655-73, September.
  3. Inoue, Atsushi & Kilian, Lutz, 2003. "On the Selection of Forecasting Models," CEPR Discussion Papers 3809, C.E.P.R. Discussion Papers.
  4. Hyungsik Roger Moon & Frank Schorfheide, 2012. "Bayesian and Frequentist Inference in Partially Identified Models," Econometrica, Econometric Society, vol. 80(2), pages 755-782, 03.
  5. Vuong, Quang H, 1989. "Likelihood Ratio Tests for Model Selection and Non-nested Hypotheses," Econometrica, Econometric Society, vol. 57(2), pages 307-33, March.
  6. Marco Del Negro & Frank Schorfheide, 2002. "Priors from general equilibrium models for VARs," Working Paper 2002-14, Federal Reserve Bank of Atlanta.
  7. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
  8. Nason, James M & Cogley, Timothy, 1994. "Testing the Implications of Long-Run Neutrality for Monetary Business Cycle Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 9(S), pages S37-70, Suppl. De.
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