Geweke J. Complete and Incomplete Econometric Models

Princeton: Princeton University Press, 2010. — 176 p. — ISBN: 0691140022.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.Series Editors' IntroductionThe Bayesian Paradigm
Complete Models
Model Comparison and Averaging
Simulation
Model Evaluation
Prior Predictive Analysis and Model Evaluation
Data and Models
Prior Predictive Analysis
Comparison with an Incomplete Model
Appendix: A Gaussian Copula for Evaluating Predictive Densities of
Vector Functions of Interest
Incomplete Structural Models
The Essential Elements of DSGE Models
Strong Econometric Interpretation
Weak Econometric Interpretation
Minimal Econometric Interpretation
Implications for Structural Modeling
An Incomplete Model Space
Context and Motivation
Pools of Two Models
Examples of Two-Model Pools
Pools of Multiple Models
Multiple-Model Pools: An Example
Pooling and Model Improvement
Consequences of an Incomplete Model Space