Flat Priors vs. Ignorance Priors in the Analysis of the AR(1) Model

In-Moo Kim and G S Maddala

Journal of Applied Econometrics, 1991, vol. 6, issue 4, 375-80

Abstract: This paper compares, by a Monte-Carlo study based on an AR(1) model, the performance of the flat prior and the ignorance prior suggested by Phillips. It argues that the ignorance prior gives heavy weight to values of the autoregressive parameter [rho] higher than 1, and hence distorts the sample evidence as summarized in the likelihood function. It yields bimodal posterior distributions, with the second mode at [rho] higher than 1, even when the true value of [rho] is substantially less than 1. Copyright 1991 by John Wiley & Sons, Ltd.

Date: 1991
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://links.jstor.org/sici?sici=0883-7252%2819911 ... 0.CO%3B2-G&origin=bc full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:jae:japmet:v:6:y:1991:i:4:p:375-80

Ordering information: This journal article can be ordered from
http://www3.intersci ... e.jsp?issn=0883-7252

Access Statistics for this article

Journal of Applied Econometrics is currently edited by M. Hashem Pesaran

More articles in Journal of Applied Econometrics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing () and Christopher F. Baum ().