【主讲】Tao Zeng Assistant Professor of Economics (Wuhan University)
【主题】A Bayesian Specification Test
【时间】2016年12月2日 (周五) 15：30-17：00
【地点】上海财经大学经济学院楼701室
【语言】英文
【摘要】A Bayesian test statistic is proposed to assess the model specification after themodel is estimated by Bayesian MCMC methods. The proposed approach does notrequire an alternative model to be specified and is applicable to a variety of models,including latent variable models for which frequentist methods are difficult to use. Theproperties of the test statistic are established and its implementation is discussed. Thetest is easy to use and the test statistic can be calculated from MCMC outputs evenwhen there are latent variables. The finite sample properties are investigated usingsimulated data. The method is illustrated in a linear regression model, a dynamicfactor model, and a stochastic volatility model using real data.
