互补贝叶斯矩方法策略

Complementary Bayesian method of moments strategies

Journal of Applied Econometrics · 2020
被引 7
人大 AABS 3

中文导读

提出一种方法,解决贝叶斯推断中广义矩方法似然表示的两个问题:缺失的雅可比项和正态性假设,并通过禀赋经济模型的应用加以说明。

Abstract

Summary Methodology is proposed that addresses two problems that arise in application of the generalized method of moments representation of the likelihood in Bayesian inference: (1) a missing Jacobian term and (2) a normality assumption. The proposals are illustrated by application to the seminal application of the generalized method of moments methodology in the econometric literature: an endowment economy whose representative agent has constant relative risk aversion utility.

贝叶斯推断广义矩方法雅可比项正态性假设