Abstract
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.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 422-439 |
| Number of pages | 18 |
| Journal | Journal of Applied Econometrics |
| Volume | 35 |
| Issue number | 4 |
| DOIs | |
| State | Published - Jun 1 2020 |
All Science Journal Classification (ASJC) codes
- Social Sciences (miscellaneous)
- Economics and Econometrics
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