POSTERIOR ANALYSIS OF KLEIN'S MODEL

Herman van Dijk and T. Kloek

No 272173, Econometric Institute Archives from Erasmus University Rotterdam

Abstract: This paper gives a posterior analysis of Klein's well known model I [Klein (1950)]. The underlying prior distribution of the parameters which are interesting for economists is uniform on finite intervals, which exclude "wrong" signs. Monte Carlo is used as a numerical integration method in order to compute posterior results which include posterior moments and marginal posterior densities for structural parameters and for short-run and long-run multipliers. Special attention is given to the problem of constructing a good importance function, which is required in the Monte Carlo procedure. In addition, the posterior probability that the model is of the damped oscillatory type is computed and found to be 0.97.

Keywords: Agricultural and Food Policy; Research Methods/Statistical Methods (search for similar items in EconPapers)
Pages: 31
Date: 1978-11
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:ags:eureia:272173

DOI: 10.22004/ag.econ.272173

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