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01882cas a2200253 a 4500 |
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AALejournalIMF006068 |
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|c 5.00 USD
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|z 9781451873498
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|a 1018-5941
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|a BD-DhAAL
|c BD-DhAAL
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|a Feldkircher, Martin.
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|a Benchmark Priors Revisited :
|b On Adaptive Shrinkage and the Supermodel Effect in Bayesian Model Averaging /
|c Martin Feldkircher, Stefan Zeugner.
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| 264 |
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|a Washington, D.C. :
|b International Monetary Fund,
|c 2009.
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| 300 |
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|a 1 online resource (39 pages)
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|a IMF Working Papers
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| 500 |
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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|a Default prior choices fixing Zellner's g are predominant in the Bayesian Model Averaging literature, but tend to concentrate posterior mass on a tiny set of models. The paper demonstrates this supermodel effect and proposes to address it by a hyper-g prior, whose data-dependent shrinkage adapts posterior model distributions to data quality. Analytically, existing work on the hyper-g-prior is complemented by posterior expressions essential to fully Bayesian analysis and to sound numerical implementation. A simulation experiment illustrates the implications for posterior inference. Furthermore, an application to determinants of economic growth identifies several covariates whose robustness differs considerably from previous results.
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| 538 |
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|a Mode of access: Internet
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|a Zeugner, Stefan.
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|a IMF Working Papers; Working Paper ;
|v No. 2009/202
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| 856 |
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/2009/202/001.2009.issue-202-en.xml
|z IMF e-Library
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