
Complete and Incomplete Econometric Models
John Geweke(Author)
Princeton University Press
1st Edition
Published on 28. February 2010
Book
Hardback
176 pages
978-0-691-14002-5 (ISBN)
Description
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.
Reviews / Votes
"This book is original and powerful. It develops a Bayesian paradigm that embraces the reality of applied modeling, in which 'discoveries' of things previously unimagined are made regularly. It will be of immediate interest to all economists and statisticians who want to push Bayesian principles toward innovative practice (and who doesn't?)."-Francis X. Diebold, University of Pennsylvania "How do we know whether a statistical model is good enough for a particular economic research problem? To answer this question, John Geweke introduces the concept of incomplete models, showing how they can be effective tools for model building. This book is a significant contribution to econometrics-and a pleasure to read."-Richard Paap, Erasmus University Rotterdam "This excellent book seamlessly links many important econometric methods, models, and concepts."-Gary Koop, University of StrathclydeMore details
Series
Language
English
Place of publication
New Jersey
United States
Target group
College/higher education
Professional and scholarly
Product notice
Trade binding
Illustrations
23 line illus. 12 tables.
Dimensions
Height: 225 mm
Width: 149 mm
Thickness: 22 mm
Weight
355 gr
ISBN-13
978-0-691-14002-5 (9780691140025)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
Additional editions

John Geweke
Complete and Incomplete Econometric Models
E-Book
02/2010
1st Edition
Princeton University Press
€81.99
Available for download
Person
John Geweke is Distinguished Research Professor at the University of Technology Sydney, and research professor at the University of Colorado. He is the coeditor of the "Journal of Econometrics" and his most recent previous book is "Contemporary Bayesian Econometrics and Statistics" (Wiley).
Content
Series Editors' Introduction vii Preface ix Chapter 1: Introduction 1 Chapter 2: The Bayesian Paradigm 7 2.1 Complete Models 10 2.2 Model Comparison and Averaging 16 2.3 Simulation 19 2.4 Model Evaluation 23 Chapter 3: Prior Predictive Analysis and Model Evaluation 34 3.1 Data and Models 35 3.2 Prior Predictive Analysis 47 3.3 Comparison with an Incomplete Model 71 3.4 Appendix: A Gaussian Copula for Evaluating Predictive Densities of Vector Functions of Interest 84 Chapter 4: Incomplete Structural Models 86 4.1 The Essential Elements of DSGE Models 88 4.2 Strong Econometric Interpretation 95 4.3 Weak Econometric Interpretation 98 4.4 Minimal Econometric Interpretation 109 4.5 Implications for Structural Modeling 118 Chapter 5: An Incomplete Model Space 122 5.1 Context and Motivation 123 5.2 Pools of Two Models 130 5.3 Examples of Two-Model Pools 135 5.4 Pools of Multiple Models 142 5.5 Multiple-Model Pools: An Example 150 5.6 Pooling and Model Improvement 155 5.7 Consequences of an Incomplete Model Space 158 References 161