A common problem in estimating dynamic stochastic general equilibrium models is that the structural parameters of economic interest are only weakly identified. As a result, classical confidence sets and Bayesian credible sets will not coincide even asymptotically, and the mean, mode, or median...

Model selection and model averaging are popular approaches for handling modeling uncertainties. The existing literature offers a unified framework for variable selection via penalized likelihood and the tuning parameter selection is vital for consistent selection and optimal estimation. Few...