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Record Nr. |
UNINA9910788226903321 |
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Autore |
Feldkircher Martin |
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Titolo |
Benchmark Priors Revisited : : On Adaptive Shrinkage and the Supermodel Effect in Bayesian Model Averaging / / Martin Feldkircher, Stefan Zeugner |
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Pubbl/distr/stampa |
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Washington, D.C. : , : International Monetary Fund, , 2009 |
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ISBN |
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1-4623-4466-6 |
1-4518-7349-2 |
9786612844096 |
1-4527-6923-0 |
1-282-84409-1 |
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Descrizione fisica |
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Collana |
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Altri autori (Persone) |
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Soggetti |
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Bayesian statistical decision theory |
Economic development - Mathematical models |
Econometrics |
Inflation |
Labor |
Public Finance |
Data Processing |
Bayesian Analysis: General |
Data Collection and Data Estimation Methodology |
Computer Programs: General |
National Government Expenditures and Related Policies: Infrastructures |
Other Public Investment and Capital Stock |
Human Capital |
Skills |
Occupational Choice |
Labor Productivity |
Price Level |
Deflation |
Bayesian inference |
Data capture & analysis |
Public finance & taxation |
Labour |
income economics |
Macroeconomics |
Bayesian models |
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Data processing |
Public investment and public-private partnerships (PPP) |
Human capital |
Econometric models |
Electronic data processing |
Public-private sector cooperation |
Prices |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Nota di bibliografia |
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Includes bibliographical references. |
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Sommario/riassunto |
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Default prior choices fixing Zellner's g are predominant in the Bayesian Model Averaging literature, but tend to concentrate posterior mass on a tiny set of models. The paper demonstrates this supermodel effect and proposes to address it by a hyper-g prior, whose data-dependent shrinkage adapts posterior model distributions to data quality. Analytically, existing work on the hyper-g-prior is complemented by posterior expressions essential to fully Bayesian analysis and to sound numerical implementation. A simulation experiment illustrates the implications for posterior inference. Furthermore, an application to determinants of economic growth identifies several covariates whose robustness differs considerably from previous results. |
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