Complete and Incomplete Econometric Models

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Princeton University Press, Feb 8, 2010 - Business & Economics - 176 pages
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Econometric models are widely used in the creation and evaluation of economic policy in the public and private sectors. But these models are useful only if they adequately account for the phenomena in question, and they can be quite misleading if they do not. In response, econometricians have developed tests and other checks for model adequacy. All of these methods, however, take as given the specification of the model to be tested. In this book, John Geweke addresses the critical earlier stage of model development, the point at which potential models are inherently incomplete.


Summarizing and extending recent advances in Bayesian econometrics, Geweke shows how simple modern simulation methods can complement the creative process of model formulation. These methods, which are accessible to economics PhD students as well as to practicing applied econometricians, streamline the processes of model development and specification checking. Complete with illustrations from a wide variety of applications, this is an important contribution to econometrics that will interest economists and PhD students alike.

 

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Contents

1 Introduction
1
2 The Bayesian Paradigm
7
3 Prior Predictive Analysis and Model Evaluation
34
4 Incomplete Structural Models
86
5 An Incomplete Model Space
122
References
161
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Complete and Incomplete Econometric Models
John Geweke
No preview available - 2010

Common terms and phrases

Absolute return alternative ancillary statistic approximation Bayes factor Bayesian model Bayesian model comparison Bayesian paradigm bear market chapter conditional dˆT decision denote dominant DSGE models econometric model equity premium erp y tiuq example excess kurtosis Figure frequentist GARCH model Gaussian model Geweke growth rate implied incomplete model indicated Kydland Labadie model likelihood likelihood function log predictive score log score long-memory parameter LS(Y marginal likelihoods Mehra–Prescott model evaluation model space models A1 Months in bear non-Bayesian optimal pool p(Aj p(yt p(z Tio panel pool A1 population moments posterior predictive prediction models prior distribution prior predictive analysis prior predictive density prior predictive distributions Proposition provides Rietz model risk-free rate sample moments scoring rule specification standard deviation statistic SV model t-GARCH tion Tsionas model two-model pools utility function variance weak econometric interpretation Weight on model

About the author (2010)

John Geweke is Distinguished Research Professor at the University of Technology Sydney, and research professor at the University of Colorado. He is the coeditor of the Journal of Econometrics and his most recent previous book is Contemporary Bayesian Econometrics and Statistics (Wiley).

Bibliographic information

QR code for Complete and Incomplete Econometric Models
TitleComplete and Incomplete Econometric Models
The Econometric and Tinbergen Institutes Lectures
AuthorJohn Geweke
Editionillustrated
PublisherPrinceton University Press, 2010
ISBN1400835240, 9781400835249
Length176 pages
Subjects ›  › 

Business & Economics / Econometrics
Business & Economics / Finance / General
Business & Economics / Forecasting
Business & Economics / Statistics
  
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