A bayesian approach to calibration

David N. DeJong, Beth Fisher Ingram, Charles H. Whiteman

Research output: Contribution to journalArticle

42 Scopus citations

Abstract

We develop a Bayesian approach to calibration that enables the incorporation of uncertainty regarding the parameters of the theoretical model under investigation. Our procedure involves the specification of prior distributions over parameter values, which in turn induce distributions over the statistical properties of artificial data simulated from the model. These distributions are compared with their empirical counterparts to assess the model’s fit. The business-cycle model of King, Plosser, and Rebelo is used to demonstrate our procedure. We find that modest prior uncertainty regarding deep parameters enhances the plausibility of the model’s description of the actual data.

Original languageEnglish (US)
Pages (from-to)1-9
Number of pages9
JournalJournal of Business and Economic Statistics
Volume14
Issue number1
DOIs
StatePublished - Jan 1996

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Social Sciences (miscellaneous)
  • Economics and Econometrics
  • Statistics, Probability and Uncertainty

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