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.
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|Size: ||1.2 MB|
|Publisher: ||INTERNATIONAL MONETARY FUND|
|Date published: || 2016|
|ISBN: ||9781475555844 (DRM-EPUB)|
|Read Aloud: ||not allowed|