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Quasi‐Bayesian model selection

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  • Atsushi Inoue
  • Mototsugu Shintani

Abstract

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.

Suggested Citation

  • Atsushi Inoue & Mototsugu Shintani, 2018. "Quasi‐Bayesian model selection," Quantitative Economics, Econometric Society, vol. 9(3), pages 1265-1297, November.
    • Handle: RePEc:wly:quante:v:9:y:2018:i:3:p:1265-1297
    DOI: 10.3982/QE587
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    Cited by:

    1. Colciago, Andrea & Fasani, Stefano & Rossi, Lorenza, 2025. "Firm entry, endogenous wage moderation, and labor market dynamics," European Economic Review, Elsevier, vol. 172(C).
    2. Fernández-Villaverde, J. & Rubio-Ramírez, J.F. & Schorfheide, F., 2016. "Solution and Estimation Methods for DSGE Models," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 527-724, Elsevier.
    3. Yasufumi Gemma & Takushi Kurozumi & Mototsugu Shintani, 2023. "Trend Inflation and Evolving Inflation Dynamics:A Bayesian GMM Analysis," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 51, pages 506-520, December.
    4. Iwasaki, Yuto & Muto, Ichiro & Shintani, Mototsugu, 2021. "Missing wage inflation? Estimating the natural rate of unemployment in a nonlinear DSGE model," European Economic Review, Elsevier, vol. 132(C).
    5. Takashi Kano, 2026. "Distribution-Matching Posterior Inference for Incomplete Structural Models," Papers 2601.01077, arXiv.org.
    6. Li, Yong & Yu, Jun & Zeng, Tao, 2020. "Deviance information criterion for latent variable models and misspecified models," Journal of Econometrics, Elsevier, vol. 216(2), pages 450-493.
    7. Prosper Dovonon & Firmin Doko Tchatoka & Michael Aguessy, 2019. "Relevant moment selection under mixed identification strength," School of Economics and Public Policy Working Papers 2019-04, University of Adelaide, School of Economics and Public Policy.
    8. KANO, Takashi, 2023. "Posterior Inferences on Incomplete Structural Models : The Minimal Econometric Interpretation," Discussion paper series HIAS-E-128, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
    9. Shibata, Akihisa & Shintani, Mototsugu & Tsuruga, Takayuki, 2019. "Current account dynamics under information rigidity and imperfect capital mobility," Journal of International Money and Finance, Elsevier, vol. 92(C), pages 153-176.
    10. Andrey Polbin & Sergey Sinelnikov-Murylev, 2024. "Developing and impulse response matching estimation of the DSGE model for the Russian economy," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 73, pages 5-34.
    11. Hirano, Keisuke & Wright, Jonathan H., 2022. "Analyzing cross-validation for forecasting with structural instability," Journal of Econometrics, Elsevier, vol. 226(1), pages 139-154.

    More about this item

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C36 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Instrumental Variables (IV) Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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