Bayesian estimation of NOEM models: identification and inference in small samples
Diego Vilan and
Mark Wynne ()
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Enrique Martinez-Garcia: https://www.dallasfed.org/research/economists/martinez-garcia.cfm
Authors registered in the RePEc Author Service: Enrique Martínez García ()
No 105, Globalization Institute Working Papers from Federal Reserve Bank of Dallas
This paper studies the (potential) weak identification of these relationships in the context of a fully specified structural model using Bayesian estimation techniques. We trace the problems to sample size, rather than misspecification bias. We conclude that standard macroeconomic time series with a coverage of less than forty years are subject to potentially serious identification issues, and also to model selection errors. We recommend estimation with simulated data prior to bringing the model to the actual data as a way of detecting parameters that are susceptible to weak identification in short samples.
JEL-codes: C11 C13 F41 (search for similar items in EconPapers)
Pages: 88 pages
New Economics Papers: this item is included in nep-cba, nep-ecm and nep-mac
Note: Published as: Martínez-García, Enrique, Diego Vilán and Mark A. Wynne (2012), "Bayesian Estimation of NOEM Models: Identification and Inference in Small Samples," in DSGE Models in Macroeconomics: Estimation, Evaluation, and New Development, ed. Nathan Balke, Fabio Canova, Fabio Milani and Mark A. Wynne (Bingley, UK: Emerald Group Publishing Limited), 137-199.
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Persistent link: https://EconPapers.repec.org/RePEc:fip:feddgw:105
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