System Priors for Econometric Time Series

Author/Editor:

Michal Andrle ; Miroslav Plašil

Publication Date:

November 17, 2016

Electronic Access:

Free Full Text. Use the free Adobe Acrobat Reader to view this PDF file

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary:

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.

Series:

Working Paper No. 16/231

Subject:

English

Publication Date:

November 17, 2016

ISBN/ISSN:

9781475555820/1018-5941

Stock No:

WPIEA2016231

Price:

$18.00 (Academic Rate:$18.00)

Format:

Paper

Pages:

18

Please address any questions about this title to publications@imf.org