A Bayesian specification test

A Bayesian specification test

A Bayesian test statistic is proposed to assess the model specification after the model is estimated by Bayesian MCMC methods. The proposed approach does not require an alternative model to be specified and is applicable to a variety of models, including latent variable models, structural dynamic ch...

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Bibliographic Details
Main Authors: LI, Yong, ZENG, Tao, Jun YU
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2015
Subjects:
EM algorithm
Specification test
Latent variable models
Markov chain
Monte Carlo
Dynamic factor
DSGE
Stochastic volatility
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/1798
https://ink.library.smu.edu.sg/context/soe_research/article/2797/viewcontent/P_ID_50755_BaynesiaSpecificationTest27_2015May26.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/1798
https://ink.library.smu.edu.sg/context/soe_research/article/2797/viewcontent/P_ID_50755_BaynesiaSpecificationTest27_2015May26.pdf

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