POSTERIOR MOMENTS OF THE KLEIN-GOLDBERGER MODEL

Herman van Dijk and T. Kloek

No 272269, Econometric Institute Archives from Erasmus University Rotterdam

Abstract: Bayesian analysis is applied to the structural form of the revised Klein-Goldberger model; see Klein (1969). The evaluation of the posterior moments involves thirty-dimensional numerical integration. For computational purposes use is made of the method of mixed integration; see van Dijk and Kloek (1981). The results suggest that the local approximation of the covariance matrix around the posterior mode differs considerably from the covariance matrix around the posterior mean for a subset of parameters of interest. The results also indicate strong collinearity in several equations. As a consequence precise estimation of the lag structure of these equations appears difficult.

Keywords: Agricultural and Food Policy; Research Methods/Statistical Methods (search for similar items in EconPapers)
Pages: 20
Date: 1982-09
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:ags:eureia:272269

DOI: 10.22004/ag.econ.272269

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