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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 |
|---|---|
| Autores principales: | , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
[Place of publication not identified] :
International Monetary Fund,
2016.
|
| Colección: | IMF working paper ;
WP/16/231. |
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Andrle, Michal, |e author. | |
| 245 | 1 | 0 | |a System Priors for Econometric Time Series / |c by Michal Andrle and Miroslav Plašil. |
| 260 | |a [Place of publication not identified] : |b International Monetary Fund, |c 2016. | ||
| 300 | |a 1 online resource (8 pages) | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a IMF Working papers ; |v 16/231 | |
| 504 | |a Includes bibliographical references. | ||
| 588 | 0 | |a Online resource; title from PDF file page (EBSCO, viewed August 26, 2019). | |
| 505 | 0 | |a Cover; CONTENTS; Abstract; I. Introduction; II. System Priors; III. Example -- System Priors for an AR(2) Process; IV. Conclusion; V. Appendix: Pseudo Code for the Posterior Kernel; PSEUDO CODE:; FIGURES; 1. Parameter regions for different priors; 2. Model properties for admissible regions. | |
| 520 | 3 | |a 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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| 650 | 0 | |a Econometrics. | |
| 650 | 6 | |a Économétrie. | |
| 650 | 7 | |a Econometrics |2 fast | |
| 700 | 1 | |a Plašil, Mirosla, |e author. | |
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| 830 | 0 | |a IMF working paper ; |v WP/16/231. | |
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