Abstract
The modified harmonic mean is widely used for estimating the marginal likelihood. We investigate the empirical performance of two versions of this estimator: one based on the observed-data likelihood and the other on the complete-data likelihood. Through an empirical example using US and UK inflation, we show that the version based on the complete-data likelihood has a substantial bias and tends to select the wrong model, whereas the version based on the observed-data likelihood works well.
Original language | English |
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Pages (from-to) | 29-33 |
Number of pages | 5 |
Journal | Economics Letters |
Volume | 131 |
DOIs | |
Publication status | Published - 1 Jun 2015 |