Benchmark Priors Revisited : : On Adaptive Shrinkage and the Supermodel Effect in Bayesian Model Averaging / / Martin Feldkircher, Stefan Zeugner

• Autore: Feldkircher Martin
• Pubblicazione: Washington, D.C. : , : International Monetary Fund, , 2009
• Descrizione fisica: 39 p. : col. ill
• Soggetto topico: 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; Data processing; Public investment and public-private partnerships (PPP); Human capital; Econometric models; Electronic data processing; Public-private sector cooperation; Prices
• Altri autori: ZeugnerStefan
• Note generali: "September 2009."
• Nota di bibliografia: Includes bibliographical references.
• Sommario/riassunto: 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.
• Titolo autorizzato: Benchmark Priors Revisited
• ISBN: 1-4623-4466-6; 1-4518-7349-2; 9786612844096; 1-4527-6923-0; 1-282-84409-1
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910788226903321
• Lo trovi qui: Univ. Federico II
• Serie: IMF Working Papers; Working Paper ; ; No. 2009/202