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.

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Year of publication:	2014-02
Authors:	Inoue, Atsushi ; Shintania, Mototsugu
Institutions:	Southern Methodist University, Department of Economics
Subject:	Consistent Model Selection \| Laplace-Type Estimators \| Marginal Likelihood

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Extent:	application/pdf
Series:	Departmental Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 1402
Classification:	C32 - Time-Series Models ; c36 ; C52 - Model Evaluation and Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010746937