Quantitative Economics

Journal Of The Econometric Society

Edited by: Stéphane Bonhomme • Print ISSN: 1759-7323 • Online ISSN: 1759-7331

Quantitative Economics: Nov, 2018, Volume 9, Issue 3

Quasi‐Bayesian model selection

Atsushi Inoue, Mototsugu Shintani

In this paper, we establish the consistency of the model selection criterion based on the quasi‐marginal likelihood (QML) obtained from Laplace‐type estimators. We consider cases in which parameters are strongly identified, weakly identified and partially identified. Our Monte Carlo results confirm our consistency results. Our proposed procedure is applied to select among New Keynesian macroeconomic models using US data.
Impulse response function matching Laplace‐type estimators quasi‐marginal likelihood C11 C32 C52

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