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System Priors for Econometric Time Series

System Priors for Econometric Time Series PDF Author: Michal Andrle
Publisher: International Monetary Fund
ISBN: 1475555849
Category : Business & Economics
Languages : en
Pages : 18

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Book Description
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.