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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...
| Clasificación: | Libro Electrónico |
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| Autores principales: | , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
[Place of publication not identified] :
International Monetary Fund,
2016.
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| Colección: | IMF working paper ;
WP/16/231. |
| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | 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 |
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| Descripción Física: | 1 online resource (8 pages) |
| Bibliografía: | Includes bibliographical references. |
| ISBN: | 1475555911 9781475555912 1475555822 9781475555820 |