System Priors for Econometric Time Series
Michal Andrle and
Working Papers from Czech National Bank
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
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https://www.cnb.cz/export/sites/cnb/en/economic-re ... wp/cnbwp_2017_01.pdf
Working Paper: System Priors for Econometric Time Series (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:cnb:wpaper:2017/01
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