Collaborative Research: Likelihood Principle Analysis of Economic Time Series

本研究的目的是开发可能性原理的几种应用，用于调查难以使用经典方法解决的宏观计量经济学问题。此外，将设计方法来评估这些程序在重复样本中的性能，并说明各种不同假设对结果的影响。首先要考虑的是宏观经济时间序列数据是否最好描述为综合数据还是趋势平稳数据。经典积分和协整检验的性能将与趋势平稳替代方案进行比较。此外，将设计一种方法，从贝叶斯的角度检查宏观经济模型的表现，并寻求对经典结果的适当解释。最后，将动态博弈理论扩展到相关模型结构不确定的模型。这项研究很重要，因为它将为分析时间序列数据提供更好的方法，时间序列数据是经济学和其他社会科学的实证研究中使用的数据类型。

The purpose of this research is to develop several applications of the Likelihood Principle for investigating macroeconometric problems that have been difficult to address using classical methods. Further, methods will be devised for evaluating the performance of these procedures in repeated samples, and for illustrating the impact of a broad range of different assumptions on the results. The first consideration is whether macroeconomic time-series-data are best described as integrated or trend- stationary. The performance of Classical integration and co- integration tests will be compared against trend-stationary alternatives. In addition, a method will be devised for examining the performance of macroeconomic models from a Bayesian perspective, and to seek the appropriate interpretation of classically obtained results. Finally, the theory of dynamic games will be extended to models in which the structure of the relevant model is not known with certainty. This research is important because it will provide better methods for analyzing time-series-data, which is the type of data used in much of the empirical research in economics and the other social sciences.