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...
| 1. Verfasser: | |
|---|---|
| Weitere Verfasser: | |
| Format: | Zeitschrift |
| Sprache: | English |
| Veröffentlicht: |
Washington, D.C. :
International Monetary Fund,
2009.
|
| Schriftenreihe: | IMF Working Papers; Working Paper ;
No. 2009/202 |
| Online Zugang: | Full text available on IMF |