Quasi-Bayesian Model Selection
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.
|Date of creation:||Feb 2014|
|Date of revision:|
|Contact details of provider:|| Postal: Department of Economics, P.O. Box 750496, Southern Methodist University, Dallas, TX 75275-0496|
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