Complementary Bayesian method of moments strategies

A. Ronald Gallant

Journal of Applied Econometrics, 2020, vol. 35, issue 4, 422-439

Abstract: Methodology is proposed that addresses two problems that arise in application of the generalized method of moments representation of the likelihood in Bayesian inference: (1) a missing Jacobian term and (2) a normality assumption. The proposals are illustrated by application to the seminal application of the generalized method of moments methodology in the econometric literature: an endowment economy whose representative agent has constant relative risk aversion utility.

Date: 2020
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