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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.
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| Colección: | IMF working paper ;
WP/16/231. |
| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- 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.