Fitting a distribution to survey data for the half-life of deviations from PPP

Mark Fisher

No 2015-15, FRB Atlanta Working Paper from Federal Reserve Bank of Atlanta

Abstract: This note presents a nonparametric Bayesian approach to fitting a distribution to the survey data provided in Kilian and Zha (2002) regarding the prior for the half-life of deviations from purchasing power parity (PPP). A point mass at infinity is included. The unknown density is represented as an average of shape-restricted Bernstein polynomials, each of which has been skewed according to a preliminary parametric fit. A sparsity prior is adopted for regularization.

Keywords: nonparametric Bayesian estimation; Bernstein polynomials; simplex regression; importance sampling; PPP half-life deviations (search for similar items in EconPapers)
JEL-codes: C11 C14 F31 (search for similar items in EconPapers)
Pages: 13 pages
Date: 2015-12-15
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