Quasi‐Bayesian model selection

Atsushi Inoue, Mototsugu Shintani

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.

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Year of publication:	2019
Authors:	Inoue, Atsushi ; Shintani, Mototsugu
Published in:	Quantitative economics : QE ; journal of the Econometric Society. - Oxford [u.a.] : Wiley, ISSN 1759-7331, ZDB-ID 2569569-1. - Vol. 9.2018, 3, p. 1265-1297
Subject:	Impulse response function matching \| Laplace‐type estimators \| quasi‐marginal likelihood \| Schätztheorie \| Estimation theory \| Zeitreihenanalyse \| Time series analysis \| Matching