Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/100771 
Year of Publication: 
2001
Series/Report no.: 
Working Paper No. 2001-23
Publisher: 
Federal Reserve Bank of Atlanta, Atlanta, GA
Abstract: 
This paper studies the properties of the Bayesian approach to estimation and comparison of dynamic equilibrium economies. Both tasks can be performed even if the models are nonnested, misspecified, and nonlinear. First, the authors show that Bayesian methods have a classical interpretation: asymptotically the parameter point estimates converge to their pseudotrue values, and the best model under the Kullback-Leibler will have the highest posterior probability. Second, they illustrate the strong small sample behavior of the approach using a well-known application: the U.S. cattle cycle. Bayesian estimates outperform maximum likelihood results, and the proposed model is easily compared with a set of BVARs.
Subjects: 
Econometric models
Document Type: 
Working Paper

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