Complete and Incomplete Econometric Models

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丛书名：The Econometric and Tinbergen Institutes Lectures
作者：John Geweke
文件大小：2.38MB
文件类型：文字PDF
语言：英语
出版：Princeton University Press，2010年
页数：176
书签：有

内容简介：
Econometric models are widely used in the creation and evaluation of economic policy in the public and private sectors. But these models are useful only if they adequately account for the phenomena in question, and they can be quite misleading if they do not. In response, econometricians have developed tests and other checks for model adequacy. All of these methods, however, take as given the specification of the model to be tested. In this book, John Geweke addresses the critical earlier stage of model development, the point at which potential models are inherently incomplete. Summarizing and extending recent advances in Bayesian econometrics, Geweke shows how simple modern simulation methods can complement the creative process of model formulation. These methods, which are accessible to economics PhD students as well as to practicing applied econometricians, streamline the processes of model development and specification checking. Complete with illustrations from a wide variety of applications, this is an important contribution to econometrics that will interest economists and PhD students alike.

目录：
Contents
1 Introduction
2 The Bayesian Paradigm
2.1 Complete Models
2.2 Model Comparison and Averaging
2.3 Simulation
2.4 Model Evaluation
3 Prior Predictive Analysis and Model Evaluation
3.1 Data and Models
3.2 Prior Predictive Analysis
3.3 Comparison with an Incomplete Model
3.4 Appendix: A Gaussian Copula for Evaluating Predictive Densities of Vector Functions of Interest
4 Incomplete Structural Models
4.1 The Essential Elements of DSGE Models
4.2 Strong Econometric Interpretation
4.3 Weak Econometric Interpretation
4.4 Minimal Econometric Interpretation
4.5 Implications for Structural Modeling
5 An Incomplete Model Space
5.1 Context and Motivation
5.2 Pools of Two Models
5.3 Examples of Two-Model Pools
5.4 Pools of Multiple Models
5.5 Multiple-Model Pools: An Example
5.6 Pooling and Model Improvement
5.7 Consequences of an Incomplete Model Space
References

地址：
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