Complementary Bayesian method of moments strategies | Zendy

Gallant A. Ronald | Zendy

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Complementary Bayesian method of moments strategies

Author(s) -

Gallant A. Ronald

Publication year - 2020

Publication title -

journal of applied econometrics

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 2.878

H-Index - 99

eISSN - 1099-1255

pISSN - 0883-7252

DOI - 10.1002/jae.2758

Subject(s) - econometrics , generalized method of moments , inference , bayesian probability , representation (politics) , normality , risk aversion (psychology) , bayesian inference , endowment , computer science , economics , mathematical economics , mathematics , statistics , expected utility hypothesis , artificial intelligence , panel data , politics , political science , law , philosophy , epistemology

Summary 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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