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Beyond The Model Specification Problem: Model And Parameter Averaging Using Bayesian Techniques

  • Bryant, Henry L.
  • Davis, George C.

The model specification problem is perhaps the Achilles heel of applied econometrics. Rather than test down to a single model as is usually done, we estimate 72 different demand systems and use Bayesian averaging procedures over all 72 systems to generate meta estimates of the parameters (e.g., elasticities) of interest.

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File URL: http://purl.umn.edu/20689
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Paper provided by American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association) in its series 2001 Annual meeting, August 5-8, Chicago, IL with number 20689.

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Date of creation: 2001
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Handle: RePEc:ags:aaea01:20689
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  1. Carmen Fernandez & E Ley & Mark F J Steel, 2004. "Benchmark priors for Bayesian models averaging," ESE Discussion Papers 66, Edinburgh School of Economics, University of Edinburgh.
  2. Neves, Pedro Duarte, 1994. "A class of differential demand systems," Economics Letters, Elsevier, vol. 44(1-2), pages 83-86.
  3. Kinnucan, Henry W. & Chang, Hui-Shung (Christie) & Venkateswaran, Meenakshi, 1993. "Generic Advertising Wearout," Review of Marketing and Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 61(03), December.
  4. William McCausland, 1999. "Using the BACC Software for Bayesian Inference," Computing in Economics and Finance 1999 833, Society for Computational Economics.
  5. Carmen Fernández & Eduardo Ley & Mark F. J. Steel, . "Benchmark priors for Bayesian Model averaging," Working Papers 98-06, FEDEA.
  6. Davis, George C., 1997. "The Formal Logic Of Testing Structural Change In Meat Demand: A Methodological Analysis," Faculty Paper Series 23975, Texas A&M University, Department of Agricultural Economics.
  7. John D. Jackson, 1997. "Effects of Health Information and Generic Advertising on U.S. Meat Demand," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 79(1), pages 13-23.
  8. Koop, Gary, 1999. "Bayesian Analysis, Computation and Communication Software," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(6), pages 677-89, Nov.-Dec..
  9. McGuirk, Anya M. & Driscoll, Paul J. & Alwang, Jeffrey Roger & Huang, Huilin, 1995. "System Misspecification Testing And Structural Change In The Demand For Meats," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 20(01), July.
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