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System Priors for Econometric Time Series

Michal Andrle and Miroslav Plašil

Working Papers from Czech National Bank

Abstract: This paper introduces "system priors" into Bayesian analysis of econometric time series and provides a simple and illustrative application. Unlike priors on individual parameters, system priors offer a simple and efficient way of formulating well-defined and economically meaningful priors about model properties that determine the overall behavior of the model. The generality of system priors is illustrated using an AR(2) process with a prior that its dynamics comes mostly from business-cycle frequencies.

Keywords: Bayesian analysis; system priors; time series (search for similar items in EconPapers)
JEL-codes: C11 C18 C22 C51 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-dcm, nep-ecm, nep-ets and nep-ore
Date: 2017-05
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Working Paper: System Priors for Econometric Time Series (2016) Downloads
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