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dc.contributor.author Fernández-Villaverde, J
dc.contributor.author Rubio-Ramírez, JF
dc.date.accessioned 2010-03-09T15:29:23Z
dc.date.issued 2004-11-01
dc.identifier.citation Journal of Econometrics, 2004, 123 (1), pp. 153 - 187
dc.identifier.issn 0304-4076
dc.identifier.uri http://hdl.handle.net/10161/1903
dc.description.abstract This paper studies the properties of the Bayesian approach to estimation and comparison of dynamic equilibrium economies. Both tasks can be performed even if the models are nonnested, misspecified, and nonlinear. First, we show that Bayesian methods have a classical interpretation: asymptotically, the parameter point estimates converge to their pseudotrue values, and the best model under the Kullback-Leibler distance will have the highest posterior probability. Second, we illustrate the strong small sample behavior of the approach using a well-known application: the U.S. cattle cycle. Bayesian estimates outperform maximum likelihood results, and the proposed model is easily compared with a set of BVARs. © 2003 Elsevier B.V. All rights reserved.
dc.format.extent 153 - 187
dc.format.mimetype application/pdf
dc.language.iso en_US
dc.relation.ispartof Journal of Econometrics
dc.relation.isversionof 10.1016/j.jeconom.2003.10.031
dc.title Comparing dynamic equilibrium models to data: A Bayesian approach
dc.type Journal Article
dc.department Economics
pubs.issue 1
pubs.organisational-group /Duke
pubs.organisational-group /Duke/Faculty
pubs.publication-status Published
pubs.volume 123

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