Complementary Bayesian method of moments strategies |
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Authors: | A Ronald Gallant |
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Institution: | Department of Economics, Penn State University, University Park, Pennsylvania |
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Abstract: | 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. |
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