BEYOND THE MODEL SPECIFICATION PROBLEM: MODEL AND PARAMETER AVERAGING USING BAYESIAN TECHNIQUES

Abstract

The model specification problem is perhaps the Achilles heel of applied econometrics. Rather than test down to a single model as is usually done, we estimate 72 different demand systems and use Bayesian averaging procedures over all 72 systems to generate meta estimates of the parameters (e.g., elasticities) of interest.Research Methods/ Statistical Methods,