System Priors for Econometric Time Series /
The paper introduces 'system priors', their use in Bayesian analysis of econometric time series, and provides a simple and illustrative application. System priors were devised by Andrle and Benes (2013) as a tool to incorporate prior knowledge into an economic model. Unlike priors about in...
| 1. Verfasser: | |
|---|---|
| Weitere Verfasser: | |
| Format: | Zeitschrift |
| Sprache: | English |
| Veröffentlicht: |
Washington, D.C. :
International Monetary Fund,
2016.
|
| Schriftenreihe: | IMF Working Papers; Working Paper ;
No. 2016/231 |
| Schlagworte: | |
| Online Zugang: | Full text available on IMF |
| Zusammenfassung: | The paper introduces 'system priors', their use in Bayesian analysis of econometric time series, and provides a simple and illustrative application. System priors were devised by Andrle and Benes (2013) as a tool to incorporate prior knowledge into an economic model. Unlike priors about individual parameters, system priors offer a simple and efficient way of formulating well-defined and economically-meaningful priors about high-level model properties. The generality of system priors are illustrated using an AR(2) process with a prior that most of its dynamics comes from business-cycle frequencies. |
|---|---|
| Beschreibung: | <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required |
| Beschreibung: | 1 online resource (18 pages) |
| Format: | Mode of access: Internet |
| ISSN: | 1018-5941 |
| Zugangseinschränkungen: | Electronic access restricted to authorized BRAC University faculty, staff and students |