Bayesian estimation of NOEM models: identification and inference in small samples

Enrique Martínez García (), Diego Vilán and Mark Wynne
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Diego Vilán: https://www.federalreserve.gov/econres/diego-vilan.htm
Authors registered in the RePEc Author Service: Diego Vilán

No 105, Globalization Institute Working Papers from Federal Reserve Bank of Dallas

Abstract: 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
Date: 2012
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.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

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Chapter: Bayesian Estimation of NOEM Models: Identification and Inference in Small Samples (2012)
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