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System Priors for Econometric Time Series

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by Michal Andrle & Pla
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System Priors for Econometric Time Series by Michal Andrle & Pla

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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Ebook Details
Pages: 18
Size: 1.2 MB
Publisher: INTERNATIONAL MONETARY FUND
Date published:   2016
ISBN: 9781475555844 (DRM-EPUB)
9781475555912 (DRM-PDF)

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This product is listed in the following categories:

Nonfiction > Business & Economics > Economics
Nonfiction > Business & Economics > International > Economics
Nonfiction > Business & Economics > Economics > Macroeconomics

These authors have products in the following categories:

Nonfiction > Business & Economics > Economics > Macroeconomics
Nonfiction > Business & Economics
Nonfiction > Business & Economics > Economics
Nonfiction > Business & Economics > International > Economics
Nonfiction > Business & Economics > Inflation
Nonfiction > Business & Economics > International

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06/23/2017
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