{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,4,12]],"date-time":"2026-04-12T06:14:46Z","timestamp":1775974486188,"version":"3.50.1"},"reference-count":67,"publisher":"The Econometric Society","issue":"2","license":[{"start":{"date-parts":[[2021,1,1]],"date-time":"2021-01-01T00:00:00Z","timestamp":1609459200000},"content-version":"unspecified","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by-nc\/4.0\/"}],"funder":[{"DOI":"10.13039\/501100003329","name":"Ministerio de Econom\u00eda y Competitividad","doi-asserted-by":"publisher","id":[{"id":"10.13039\/501100003329","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100012637","name":"University of the East","doi-asserted-by":"publisher","id":[{"id":"10.13039\/501100012637","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["QE"],"abstract":"<jats:p>We consider a set of potentially misspecified structural models, geometrically combine their likelihood functions, and estimate the parameters using composite methods. In a Monte Carlo study, composite estimators dominate likelihood\u2010based estimators in mean squared error and composite models are superior to individual models in the Kullback\u2013Leibler sense. We describe Bayesian quasi\u2010posterior computations and compare our approach to Bayesian model averaging, finite mixture, and robust control procedures. We robustify inference using the composite posterior distribution of the parameters and the pool of models. We provide estimates of the marginal propensity to consume and evaluate the role of technology shocks for output fluctuations.<\/jats:p>","DOI":"10.3982\/qe1413","type":"journal-article","created":{"date-parts":[[2021,4,20]],"date-time":"2021-04-20T12:52:55Z","timestamp":1618923175000},"page":"313-350","source":"Crossref","is-referenced-by-count":8,"title":["Dealing with misspecification in structural macroeconometric models"],"prefix":"10.3982","volume":"12","author":[{"given":"Fabio","family":"Canova","sequence":"first","affiliation":[{"name":"Department of Economics, Norwegian Business School"},{"name":"CAMP"},{"name":"CEPR"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Christian","family":"Matthes","sequence":"additional","affiliation":[{"name":"Department of Economics, Indiana University"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"2359","published-online":{"date-parts":[[2021]]},"reference":[{"key":"quan200130-bib-0001","volume-title":"Forecast Handbook","author":"Aiolfi","year":"2010"},{"key":"quan200130-bib-0002","doi-asserted-by":"crossref","first-page":"103","DOI":"10.1016\/S0165-1765(97)00061-X","volume":"55","author":"Alessi","year":"1997","journal-title":"Economic Letters"},{"key":"quan200130-bib-0003","doi-asserted-by":"crossref","first-page":"1341","DOI":"10.1111\/1468-0262.00082","volume":"67","author":"Andrews","year":"1999","journal-title":"Econometrica"},{"key":"quan200130-bib-0004","doi-asserted-by":"crossref","first-page":"522","DOI":"10.1162\/rest_a_00778","volume":"101","author":"Barnichon","year":"2019","journal-title":"Review of Economics and Statistics"},{"key":"quan200130-bib-0005","unstructured":"Batthacharya, A., D. Pati, N. Pillai, and D. Dunson (2012), \u201cBayesian shrinkage.\u201d Available at https:\/\/arxiv.org\/pdf\/10212.6088.pdf."},{"key":"quan200130-bib-0006","doi-asserted-by":"crossref","first-page":"1873","DOI":"10.1257\/aer.20151569","volume":"109","author":"Baumeister","year":"2019","journal-title":"American economic Review"},{"key":"quan200130-bib-0007","doi-asserted-by":"crossref","first-page":"213","DOI":"10.1016\/j.jeconom.2013.04.009","volume":"177","author":"Billio","year":"2013","journal-title":"Journal of Econometrics"},{"key":"quan200130-bib-0008","doi-asserted-by":"crossref","first-page":"1103","DOI":"10.1111\/rssb.12158","volume":"78","author":"Bissiri","year":"2016","journal-title":"Journal of the royal Statistical Society, Ser B"},{"key":"quan200130-bib-0009","doi-asserted-by":"crossref","first-page":"113","DOI":"10.1016\/0304-3932(90)90048-9","volume":"25","author":"Caballero","year":"1990","journal-title":"Journal of Monetary Economics"},{"key":"quan200130-bib-0010","doi-asserted-by":"crossref","DOI":"10.1515\/9781400841028","volume-title":"Methods for Applied Macroeconomic Research","author":"Canova","year":"2007"},{"key":"quan200130-bib-0011","doi-asserted-by":"crossref","DOI":"10.1111\/iere.12418","volume":"61","author":"Canova","year":"2020","journal-title":"International Economic Review"},{"key":"quan200130-bib-0012","unstructured":"Canova, F. and C. Matthes (2019), \u201cSolving computational and estimation problems in dynamic structural models: A composite likelihood approach.\u201d Manuscript. Available at https:\/\/sites.google.com\/view\/fabio-canova-homepage\/home\/current-research."},{"key":"quan200130-bib-0013","doi-asserted-by":"crossref","unstructured":"Canova, F., C. Matthes (2021), \u201cSupplement to \u2018dealing with misspecification in structural macroeconometric models\u2019.\u201d Quantitative Economics Supplemental Material, 12, https:\/\/doi.org\/10.3982\/QE1413.","DOI":"10.3982\/QE1413"},{"key":"quan200130-bib-0014","doi-asserted-by":"crossref","first-page":"431","DOI":"10.1016\/j.jmoneco.2009.03.014","volume":"56","author":"Canova","year":"2009","journal-title":"Journal of Monetary Economics"},{"key":"quan200130-bib-0015","doi-asserted-by":"crossref","first-page":"977","DOI":"10.3982\/QE694","volume":"8","author":"Carroll","year":"2017","journal-title":"Quantitative Economics"},{"key":"quan200130-bib-0016","doi-asserted-by":"crossref","first-page":"272","DOI":"10.2307\/2077863","volume":"27","author":"Chah","year":"1995","journal-title":"Journal of Money, Credit and Banking"},{"key":"quan200130-bib-0017","doi-asserted-by":"crossref","first-page":"509","DOI":"10.1002\/jae.2617","volume":"33","author":"Chan","year":"2018","journal-title":"Journal of Applied Econometrics"},{"key":"quan200130-bib-0018","doi-asserted-by":"crossref","first-page":"781","DOI":"10.1111\/j.1468-0262.2007.00768.x","volume":"75","author":"Chari","year":"2007","journal-title":"Econometrica"},{"key":"quan200130-bib-0019","doi-asserted-by":"crossref","first-page":"443","DOI":"10.1016\/j.jeconom.2015.02.019","volume":"186","author":"Cheng","year":"2015","journal-title":"Journal of Econometrics"},{"key":"quan200130-bib-0020","doi-asserted-by":"crossref","first-page":"293","DOI":"10.1016\/S0304-4076(03)00100-3","volume":"115","author":"Chernozhukov","year":"2003","journal-title":"Journal of Econometrics"},{"key":"quan200130-bib-0021","volume-title":"Model Selection and Model Averaging","author":"Claeskens","year":"2008"},{"key":"quan200130-bib-0022","volume-title":"Bayesian Theory and Applications","author":"Cleydec","year":"2013"},{"key":"quan200130-bib-0023","first-page":"492","volume":"85","author":"Cogley","year":"1995","journal-title":"American Economic Review"},{"key":"quan200130-bib-0024","doi-asserted-by":"crossref","first-page":"2101","DOI":"10.1257\/aer.98.5.2101","volume":"98","author":"Cogley","year":"2008","journal-title":"American Economic Review"},{"key":"quan200130-bib-0025","volume-title":"Elements of Information Theory","author":"Cover","year":"2006"},{"key":"quan200130-bib-0026","doi-asserted-by":"crossref","unstructured":"Curdia, V. and R. Reis (2010), \u201cCorrelated disturbances and US business cycles.\u201d Manuscript, Columbia University.","DOI":"10.3386\/w15774"},{"key":"quan200130-bib-0027","doi-asserted-by":"crossref","first-page":"391","DOI":"10.1016\/j.jeconom.2016.02.006","volume":"192","author":"Del Negro","year":"2016","journal-title":"Journal of Econometrics"},{"key":"quan200130-bib-0028","doi-asserted-by":"crossref","first-page":"643","DOI":"10.1111\/j.1468-2354.2004.00139.x","volume":"45","author":"Del Negro","year":"2004","journal-title":"International Economic Review"},{"key":"quan200130-bib-0029","doi-asserted-by":"crossref","first-page":"1191","DOI":"10.1016\/j.jmoneco.2008.09.006","volume":"55","author":"Del Negro","year":"2008","journal-title":"Journal of Monetary Economics"},{"key":"quan200130-bib-0030","doi-asserted-by":"crossref","first-page":"1415","DOI":"10.1257\/aer.99.4.1415","volume":"99","author":"Del Negro","year":"2009","journal-title":"American Economic Review"},{"key":"quan200130-bib-0031","unstructured":"Den Haan, W. and T. Drechsel (2018), \u201cAgnostic structural disturbances (ASDS): Detecting and reducing misspecification in empirical macroeconomic models.\u201d CEPR Working Paper 13145."},{"key":"quan200130-bib-0032","doi-asserted-by":"crossref","first-page":"35","DOI":"10.1016\/0304-4076(82)90102-6","volume":"20","author":"Domowitz","year":"1982","journal-title":"Journal of Econometrics"},{"key":"quan200130-bib-0033","unstructured":"Engle, R. F., N. Shephard, and K. Sheppard (2008), \u201cFitting vast dimensional time-varying covariance models.\u201d Manuscript, Oxford University."},{"key":"quan200130-bib-0034","doi-asserted-by":"crossref","first-page":"153","DOI":"10.1016\/j.jeconom.2003.10.031","volume":"123","author":"Fernandez Villaverde","year":"2004","journal-title":"Journal of Econometrics"},{"key":"quan200130-bib-0035","doi-asserted-by":"crossref","first-page":"249","DOI":"10.1257\/aer.89.1.249","volume":"89","author":"Gali","year":"1999","journal-title":"American Economic Review"},{"key":"quan200130-bib-0036","doi-asserted-by":"crossref","first-page":"739","DOI":"10.1353\/mcb.2004.0064","volume":"36","author":"Gali","year":"2004","journal-title":"Journal of Money, Credit and Banking"},{"key":"quan200130-bib-0037","doi-asserted-by":"crossref","first-page":"130","DOI":"10.1016\/j.jeconom.2011.02.017","volume":"164","author":"Geweke","year":"2011","journal-title":"Journal of Econometrics"},{"key":"quan200130-bib-0038","unstructured":"Giacomini, R. and T. Kitigawa (2017), \u201cRobust inference in partially identified VARs.\u201d UCL manuscript."},{"key":"quan200130-bib-0039","unstructured":"Gneiting, T. and R. Rajan (2010), \u201cCombining predictive distributions.\u201d GE research manuscript."},{"key":"quan200130-bib-0040","doi-asserted-by":"crossref","first-page":"1069","DOI":"10.1214\/17-BA1085","volume":"12","author":"Grunwald","year":"2017","journal-title":"Bayesian Analysis"},{"key":"quan200130-bib-0041","doi-asserted-by":"crossref","DOI":"10.1515\/9781400829385","volume-title":"Robustness","author":"Hansen","year":"2008"},{"key":"quan200130-bib-0042","doi-asserted-by":"crossref","DOI":"10.23943\/princeton\/9780691161082.001.0001","volume-title":"Bayesian Estimation of DSGE Models","author":"Herbst","year":"2015"},{"key":"quan200130-bib-0043","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1016\/j.jmoneco.2019.01.003","volume":"110","author":"Inoue","year":"2020","journal-title":"Journal of Monetary Economics"},{"key":"quan200130-bib-0044","doi-asserted-by":"crossref","first-page":"1205","DOI":"10.1016\/S0165-1889(03)00080-0","volume":"28","author":"Ireland","year":"2004","journal-title":"Journal of Economic Dynamics and Control"},{"key":"quan200130-bib-0045","doi-asserted-by":"crossref","first-page":"1589","DOI":"10.1257\/aer.96.5.1589","volume":"96","author":"Johnson","year":"2006","journal-title":"American Economic Review"},{"key":"quan200130-bib-0046","doi-asserted-by":"crossref","first-page":"132","DOI":"10.1016\/j.jmoneco.2009.12.008","volume":"57","author":"Justiniano","year":"2010","journal-title":"Journal of Monetary Economics"},{"key":"quan200130-bib-0047","doi-asserted-by":"crossref","first-page":"175","DOI":"10.1016\/S0304-4076(01)00119-1","volume":"108","author":"Kim","year":"2002","journal-title":"Journal of Econometrics"},{"key":"quan200130-bib-0048","doi-asserted-by":"crossref","first-page":"354","DOI":"10.1214\/12-EJS675","volume":"6","author":"Kleijn","year":"2012","journal-title":"Electronic Journal of Statistics"},{"key":"quan200130-bib-0049","doi-asserted-by":"crossref","unstructured":"Kocherlakota, N. (2007), \u201cModel fit and model selection.\u201d Review, Federal Reserve Bank of St. Louis, July, 349\u2013360.","DOI":"10.20955\/r.89.349-360"},{"key":"quan200130-bib-0050","doi-asserted-by":"crossref","first-page":"1345","DOI":"10.2307\/1913386","volume":"50","author":"Kydland","year":"1982","journal-title":"Econometrica"},{"key":"quan200130-bib-0051","unstructured":"Lee, L. F. and W. Griffith (1979), \u201cThe prior likelihood and the best linear unbiased prediction in stochastic coefficients linear models.\u201d http:\/\/citeseerx.ist.psu.edu\/viewdoc\/download?doi=10.1.1.518.5107&rep=rep1&type=pdf."},{"key":"quan200130-bib-0052","doi-asserted-by":"crossref","first-page":"1167","DOI":"10.1007\/s11222-011-9288-2","volume":"22","author":"Marin","year":"2012","journal-title":"Statistics and Computing"},{"key":"quan200130-bib-0053","doi-asserted-by":"crossref","first-page":"1805","DOI":"10.3982\/ECTA9097","volume":"81","author":"Mueller","year":"2013","journal-title":"Econometrica"},{"key":"quan200130-bib-0054","doi-asserted-by":"crossref","first-page":"219","DOI":"10.1111\/j.1468-0262.2004.00482.x","volume":"72","author":"Newey","year":"2004","journal-title":"Econometrica"},{"key":"quan200130-bib-0055","doi-asserted-by":"crossref","first-page":"2530","DOI":"10.1257\/aer.103.6.2530","volume":"103","author":"Parker","year":"2013","journal-title":"American Economic Review"},{"key":"quan200130-bib-0056","doi-asserted-by":"crossref","first-page":"916","DOI":"10.1162\/rest_a_00718","volume":"100","author":"Qu","year":"2018","journal-title":"Review of Economics and Statistics"},{"key":"quan200130-bib-0057","doi-asserted-by":"crossref","first-page":"406","DOI":"10.1080\/07474938.2011.553541","volume":"30","author":"Ragusa","year":"2011","journal-title":"Econometric Review"},{"key":"quan200130-bib-0058","doi-asserted-by":"crossref","first-page":"195","DOI":"10.1111\/j.1467-937X.2006.00374.x","volume":"73","author":"Ravn","year":"2006","journal-title":"Review of Economic Studies"},{"key":"quan200130-bib-0059","first-page":"813","volume":"22","author":"Ribatet","year":"2012","journal-title":"Statistica Sinica"},{"key":"quan200130-bib-0060","unstructured":"Roche, A. (2016), \u201cComposite Bayesian inference.\u201d CHUV, Siemens Healthcare, EPFL manuscript."},{"key":"quan200130-bib-0061","unstructured":"Scalone, V. (2018), \u201cEstimating nonlinear DSGEs with approximate Bayesian computations: An application to the zero lower bound.\u201d Manuscript, Banque de France."},{"key":"quan200130-bib-0062","doi-asserted-by":"crossref","first-page":"586","DOI":"10.1257\/aer.97.3.586","volume":"97","author":"Smets","year":"2007","journal-title":"American Economic Review"},{"key":"quan200130-bib-0063","unstructured":"Thryphonides, A. (2016), \u201cRobust inference for dynamic economies with an application to financial frictions.\u201d Manuscript, Humboldt University."},{"key":"quan200130-bib-0064","first-page":"5","volume":"21","author":"Varin","year":"2011","journal-title":"Statistica Sinica"},{"key":"quan200130-bib-0065","first-page":"329","volume":"146","author":"Waggoner","year":"2012","journal-title":"Journal of Econometrics"},{"key":"quan200130-bib-0066","doi-asserted-by":"crossref","first-page":"1621","DOI":"10.1016\/j.jspi.2013.05.013","volume":"143","author":"Walker","year":"2012","journal-title":"Journal of statistical planning and inference"},{"key":"quan200130-bib-0067","doi-asserted-by":"crossref","first-page":"1","DOI":"10.2307\/1912526","volume":"50","author":"White","year":"1982","journal-title":"Econometrica"}],"container-title":["Quantitative Economics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.3982\/QE1413","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,5,2]],"date-time":"2021-05-02T03:09:34Z","timestamp":1619924974000},"score":1,"resource":{"primary":{"URL":"http:\/\/qeconomics.org\/ojs\/index.php\/qe\/article\/view\/QE1413"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2021]]},"references-count":67,"journal-issue":{"issue":"2","published-online":{"date-parts":[[2021]]}},"alternative-id":["10.3982\/QE1413"],"URL":"https:\/\/doi.org\/10.3982\/qe1413","relation":{},"ISSN":["1759-7323"],"issn-type":[{"value":"1759-7323","type":"print"}],"subject":[],"published":{"date-parts":[[2021]]}}}