Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/217128 
Year of Publication: 
2019
Citation: 
[Journal:] Quantitative Economics [ISSN:] 1759-7331 [Volume:] 9 [Issue:] 3 [Publisher:] The Econometric Society [Place:] New Haven, CT [Year:] 2018 [Pages:] 1265-1297
Publisher: 
The Econometric Society, New Haven, CT
Abstract: 
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.
Subjects: 
Impulse response function matching
Laplace-type estimators
quasi-marginal likelihood
JEL: 
C11
C32
C52
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc Logo
Document Type: 
Article

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