Econometrics with system priors

被引：4

作者：

Andrle, Michal ^{[1
]}

Plasil, Miroslav ^{[2
]}

机构：

[1] Int Monetary Fund, Res Dept, 700 19th St NW, Washington, DC 20431 USA

[2] Czech Natl Bank, Financial Stabil Div, Prikope 28, Prague 11530 1, Czech Republic

来源：

ECONOMICS LETTERS | 2018年 / 172卷

关键词：

Bayesian analysis; System priors; Time series; TREND INFLATION; TIME-VARIATION; MODELS; ECONOMY;

D O I：

10.1016/j.econlet.2018.08.038

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper introduces "system priors" into Bayesian econometrics and provides an illustrative application. Unlike priors on individual parameters, system priors offer and efficient way of formulating economically meaningful priors about model properties. Illustrative example restricts output gap dynamics to business cycle frequencies. (C) 2018 Elsevier B.V. All rights reserved.

引用

页码：134 / 137

页数：4

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