Benchmark Priors Revisited : On Adaptive Shrinkage and the Supermodel Effect in Bayesian Model Averaging /

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...

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Tác giả chính: Feldkircher, Martin
Tác giả khác: Zeugner, Stefan
Định dạng: Tạp chí
Ngôn ngữ:English
Được phát hành: Washington, D.C. : International Monetary Fund, 2009.
Loạt:IMF Working Papers; Working Paper ; No. 2009/202
Truy cập trực tuyến:Full text available on IMF
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245 1 0 |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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300 |a 1 online resource (39 pages) 
490 1 |a IMF Working Papers 
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500 |a <strong>On-Campus Access:</strong> No User ID or Password Required 
506 |a Electronic access restricted to authorized BRAC University faculty, staff and students 
520 3 |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. 
538 |a Mode of access: Internet 
700 1 |a Zeugner, Stefan. 
830 0 |a IMF Working Papers; Working Paper ;  |v No. 2009/202 
856 4 0 |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