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Record Nr. |
UNINA9910812315003321 |
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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 / / prepared by Martin Feldkircher and Stefan Zeugner |
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Pubbl/distr/stampa |
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[Washington, DC], : International Monetary Fund, Finance Dept., c2009 |
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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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Edizione |
[1st ed.] |
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Descrizione fisica |
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Collana |
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IMF working paper ; ; WP/09/202 |
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Altri autori (Persone) |
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Disciplina |
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Soggetti |
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Bayesian statistical decision theory |
Economic development - Mathematical models |
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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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Nota di contenuto |
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Cover Page -- Title Page -- Copyright Page -- Contents -- I Introduction -- II Bayesian Model Averaging under Zellner's g Prior -- II. 1 Popular Settings for Zellner's g -- III The Hyper-g Prior: A Beta Prior on the Shrinkage Factor -- IV A Simulation Study -- V Growth Determinants Revisited -- VI Concluding Remarks -- A Technical Appendix -- A. 1 Consistency of the Hyper-g Prior -- A. 2 Relationship between Hyper-g Prior and EBL -- A. 3 The Shrinkage Factor and Goodness-of-Fit -- A. 4 The Posterior Predictive Distribution and the Hyper-g Prior -- A. 5 The Beta-binomial Prior over the Model Space -- A. 6 Charts and Tables -- References -- Footnotes. |
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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 |
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