IDENTIFICATION ISSUES IN LIMITED‐INFORMATION BAYESIAN ANALYSIS OF STRUCTURAL MACROECONOMIC MODELS (replication data)

DOI

The likelihood of the parameters in structural macroeconomic models typically has non-identification regions over which it is constant. When sufficiently diffuse priors are used, the posterior piles up in such non-identification regions. Use of informative priors can lead to the opposite, so both can generate spurious inference. We propose priors/posteriors on the structural parameters that are implied by priors/posteriors on the parameters of an embedding reduced-form model. An example of such a prior is the Jeffreys prior. We use it to conduct Bayesian limited-information inference on the new Keynesian Phillips curve with a VAR reduced form for US data.

Identifier
DOI https://doi.org/10.15456/jae.2022321.0715104395
Metadata Access https://www.da-ra.de/oaip/oai?verb=GetRecord&metadataPrefix=oai_dc&identifier=oai:oai.da-ra.de:775629
Provenance
Creator Kleibergen, Frank; Mavroeidis, Sophocles
Publisher ZBW - Leibniz Informationszentrum Wirtschaft
Publication Year 2014
Rights Creative Commons Attribution 4.0 (CC-BY); Download
OpenAccess true
Contact ZBW - Leibniz Informationszentrum Wirtschaft
Representation
Language English
Resource Type Collection
Discipline Economics