System Priors for Econometric Time Series
IMF Working Papers, November 17, 2016
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- System Priors for Econometric Time Series
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Bibliographic details
- Authors: Michal Andrle, Miroslav Plašil
- Published: November 17, 2016
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781475555820.001
Overview and Purpose
- Introduces “system priors” and their use in Bayesian analysis of econometric time series.
- 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.
Illustrative Application
- Demonstrates the generality of system priors using an AR(2) process.
- Specifies a prior that most of the AR(2) dynamics comes from business-cycle frequencies.
Key Findings and Conceptual Contributions
- System priors enable incorporation of prior knowledge at the level of model behavior rather than individual parameters.
- They provide an economically meaningful and well-defined approach to prior specification in time-series econometrics.
- The AR(2) example illustrates how system priors can target frequency-domain features (business-cycle frequencies).
Publication and Metadata
- Authors: Michal Andrle, Miroslav Plašil
- Date: November 17, 2016
- Series: Working Paper No. 2016/231
- Issue: 231
- Volume: 2016
- Pages: 18
- DOI: https://doi.org/10.5089/9781475555820.001
- Stock No: WPIEA2016231
- ISBN: 9781475555820
- ISSN: 1018-5941
- Subject: Business cycles
- Keywords: time series, WP
Access and Formats
- Listed as an IMF Working Paper with a PDF available.
- Citation example provided in Chicago format: Michal Andrle, and Miroslav Plašil. "System Priors for Econometric Time Series", IMF Working Papers 2016, 231 (2016), accessed 9/17/2026, https://doi.org/10.5089/9781475555820.001
Disclaimer Highlight
- "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."
Source: IMF Working Paper "System Priors for Econometric Time Series" (Working Paper No. 2016/231) by Michal Andrle and Miroslav Plašil, November 17, 2016.
Content in this bundle
- System Priors for Econometric Time Series