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Posterior Analysis Of Klein'S Model

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  • van Dijk, H. K.
  • Kloek, T.

Abstract

This paper gives a posterior analysis of Klein's well known model I [Klein (1950)]. The underlying prior distribution of the parameters which are interesting for economists is uniform on finite intervals, which exclude "wrong" signs. Monte Carlo is used as a numerical integration method in order to compute posterior results which include posterior moments and marginal posterior densities for structural parameters and for short-run and long-run multipliers. Special attention is given to the problem of constructing a good importance function, which is required in the Monte Carlo procedure. In addition, the posterior probability that the model is of the damped oscillatory type is computed and found to be 0.97.

Suggested Citation

  • van Dijk, H. K. & Kloek, T., 1978. "Posterior Analysis Of Klein'S Model," Econometric Institute Archives 272173, Erasmus University Rotterdam.
    • Handle: RePEc:ags:eureia:272173
    DOI: 10.22004/ag.econ.272173
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    References listed on IDEAS

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    1. Dhrymes, Phoebus J, 1973. "Restricted and Unrestricted Reduced Forms: Asymptotic Distribution and Relative Efficiency," Econometrica, Econometric Society, vol. 41(1), pages 119-134, January.
    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. Dreze, Jacques H, 1976. "Bayesian Limited Information Analysis of the Simultaneous Equations Model," Econometrica, Econometric Society, vol. 44(5), pages 1045-1075, September.
    4. Hendry, D F, 1971. "Maximum Likelihood Estimation of Systems of Simultaneous Regression Equations with Errors Generated by a Vector Autoregressive Process," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 12(2), pages 257-272, June.
    5. Oberhofer, W & Kmenta, J, 1973. "Estimation of Standard Errors of the Characteristic Roots of a Dynamic Econometric Model," Econometrica, Econometric Society, vol. 41(1), pages 171-177, January.
    6. Schmidt, Peter, 1973. "The Asymptotic Distribution of Dynamic Multipliers," Econometrica, Econometric Society, vol. 41(1), pages 161-164, January.
    7. Gill, Leonard & Brissimis, Sophocles N., 1978. "Polynomial operators and the asymptotic distribution of dynamic multipliers," Journal of Econometrics, Elsevier, vol. 7(3), pages 373-384, April.
    8. Mizon, Grayham E, 1977. "Inferential Procedures in Nonlinear Models: An Application in a UK Industrial Cross Section Study of Factor Substitution and Returns to Scale," Econometrica, Econometric Society, vol. 45(5), pages 1221-1242, July.
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    Cited by:

    1. van Dijk, H. K. & Kloek, T., 1980. "Further experience in Bayesian analysis using Monte Carlo integration," Journal of Econometrics, Elsevier, vol. 14(3), pages 307-328, December.

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