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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| Формат: | Журнал |
| Язык: | English |
| Опубликовано: |
Washington, D.C. :
International Monetary Fund,
2009.
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| Серии: | IMF Working Papers; Working Paper ;
No. 2009/202 |
| Online-ссылка: | Full text available on IMF |