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    Bank of Finland, Rauhankatu 19 B, Helsinki

Fabio Canova (BI Norwegian Business School): Dealing with misspecification in macroeconometrics

Co-author: Christian Matthes, Federal Reserve Bank of Richmond

Abstract

We describe how to use the composite likelihood to ameliorate estimation, computational and inferential problems in misspeci ed dynamic stochastic general equilibrium models. We show how to perform quasi-Bayesian inference, how to construct density forecasts and scenario analyses, and discuss differences with finite mixture models and Bayesian model averaging. We present situations where the methodology has the potential to reduce model misspecification and provide an example to illustrate its properties in practice.

 

 

Research seminars organised by the Bank of Finland's research unit are held on Thursdays at 10:30–11:45 in Rauhankatu 19, 3rd floor big meeting room (unless indicated otherwise). Seminars are held in English.

Research seminars are open to all economists (unless indicated otherwise). Please register in advance at research(at)bof.fi by noon of the preceding day. Visitors will be escorted from Rauhankatu 19 B (Kirjasto/Library) entrance to the seminar room 10 minutes before the seminar.