Geweke Complete and Incomplete Econometric Models

Course Book
ISBN: 978-1-4008-3524-9
Verlag: De Gruyter
Format: EPUB
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 176 Seiten

Reihe: The Econometric and Tinbergen Institutes Lectures

No detailed description available for "Complete and Incomplete Econometric Models".

Autoren/Hrsg.

Geweke, John

Fachgebiete

• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Finanzsektor & Finanzdienstleistungen: Allgemeines
• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Wirtschaftsprognose
• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Ökonometrie

Inhaltsverzeichnis

Series Editors' Introduction vii

Preface ix

Chapter 1: Introduction 1

Chapter 2: The Bayesian Paradigm 7

2.1 Complete Models 10

2.2 Model Comparison and Averaging 16

2.3 Simulation 19

2.4 Model Evaluation 23

Chapter 3: Prior Predictive Analysis and Model Evaluation 34

3.1 Data and Models 35

3.2 Prior Predictive Analysis 47

3.3 Comparison with an Incomplete Model 71

3.4 Appendix: A Gaussian Copula for Evaluating Predictive Densities of

Vector Functions of Interest 84

Chapter 4: Incomplete Structural Models 86

4.1 The Essential Elements of DSGE Models 88

4.2 Strong Econometric Interpretation 95

4.3 Weak Econometric Interpretation 98

4.4 Minimal Econometric Interpretation 109

4.5 Implications for Structural Modeling 118

Chapter 5: An Incomplete Model Space 122

5.1 Context and Motivation 123

5.2 Pools of Two Models 130

5.3 Examples of Two-Model Pools 135

5.4 Pools of Multiple Models 142

5.5 Multiple-Model Pools: An Example 150

5.6 Pooling and Model Improvement 155

5.7 Consequences of an Incomplete Model Space 158

References 161

Über Autor(innen)

John Geweke is Distinguished Research Professor at the University of Technology Sydney, and research professor at the University of Colorado. He is the coeditor of the Journal of Econometrics and his most recent previous book is Contemporary Bayesian Econometrics and Statistics (Wiley).