System Priors for Econometric Time Series
Author | : Michal Andrle |
Publisher | : International Monetary Fund |
Total Pages | : 18 |
Release | : 2016-11-17 |
ISBN-10 | : 9781475555820 |
ISBN-13 | : 1475555822 |
Rating | : 4/5 (20 Downloads) |
Download or read book System Priors for Econometric Time Series written by Michal Andrle and published by International Monetary Fund. This book was released on 2016-11-17 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.