Benchmark Priors Revisited.

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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Détails bibliographiques
Cote:Libro Electrónico
Auteur principal: Feldkircher, Martin
Autres auteurs: Zeugner, Stefan
Format: Électronique eBook
Langue:Inglés
Publié: Washington : International Monetary Fund, 2009.
Collection:IMF Working Papers.
Sujets:
Bayesian statistical decision theory.
Economic development > Mathematical models.
Théorie de la décision bayésienne.
Développement économique > Modèles mathématiques.
Bayesian statistical decision theory
Economic development > Mathematical models
Accès en ligne:Texto completo
Table des matières:
  • Cover Page; Title Page; Copyright Page; Contents; I Introduction; II Bayesian Model Averaging under Zellner's g Prior; II. 1 Popular Settings for Zellner's g; III The Hyper-g Prior: A Beta Prior on the Shrinkage Factor; IV A Simulation Study; V Growth Determinants Revisited; VI Concluding Remarks; A Technical Appendix; A. 1 Consistency of the Hyper-g Prior; A. 2 Relationship between Hyper-g Prior and EBL; A. 3 The Shrinkage Factor and Goodness-of-Fit; A. 4 The Posterior Predictive Distribution and the Hyper-g Prior; A. 5 The Beta-binomial Prior over the Model Space; A. 6 Charts and Tables.

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