03320nam 2200613Ia 450 991081231500332120200520144314.01-4623-4466-61-4518-7349-297866128440961-4527-6923-01-282-84409-1(CKB)3170000000055349(SSID)ssj0000940071(PQKBManifestationID)11491949(PQKBTitleCode)TC0000940071(PQKBWorkID)10946531(PQKB)11326867(OCoLC)648819742(IMF)WPIEE2009202(MiAaPQ)EBC1608830(EXLCZ)99317000000005534920100719d2009 uf 0engurcn|||||||||txtccrBenchmark priors revisited on adaptive shrinkage and the supermodel effect in Bayesian Model averaging /prepared by Martin Feldkircher and Stefan Zeugner1st ed.[Washington, DC] International Monetary Fund,Finance Dept.c200939 p. col. illIMF working paper ;WP/09/202"September 2009."1-4519-1771-6 Includes bibliographical references.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.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.IMF working paper ;WP/09/202.Bayesian statistical decision theoryEconomic developmentMathematical modelsBayesian statistical decision theory.Economic developmentMathematical models.332.015195Feldkircher Martin1614874Zeugner Stefan1614875International Monetary Fund.Finance Dept.MiAaPQMiAaPQMiAaPQBOOK9910812315003321Benchmark Priors Revisited3944847UNINA