System Priors for Econometric Time Series / by Michal Andrle and Miroslav Plašil.

By:

Andrle, Michal [author.]

Contributor(s):

Plašil, Mirosla [author.]

Material type: Text

TextSeries: IMF working paper ; WP/16/231.Publication details: [Place of publication not identified] : International Monetary Fund, 2016.Description: 1 online resource (8 pages)Content type:

text

Media type:

computer

Carrier type:

online resource

ISBN:

1475555911
9781475555912
1475555822
9781475555820

Subject(s):

Genre/Form:

Electronic books.

Additional physical formats: No titleDDC classification:

330.015195 23

LOC classification:

HB139

Online resources:

Click here to access online

Contents:

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.

Abstract: 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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Item type	Home library	Collection	Call number	Materials specified	Status	Date due	Barcode
Electronic-Books	OPJGU Sonepat- Campus	E-Books EBSCO			Available

Includes bibliographical references.

Online resource; title from PDF file page (EBSCO, viewed August 26, 2019).

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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