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Autore: | Feldkircher Martin |
Titolo: | Benchmark priors revisited : on adaptive shrinkage and the supermodel effect in Bayesian Model averaging / / prepared by Martin Feldkircher and Stefan Zeugner |
Pubblicazione: | [Washington, DC], : International Monetary Fund, Finance Dept., c2009 |
Edizione: | 1st ed. |
Descrizione fisica: | 39 p. : col. ill |
Disciplina: | 332.015195 |
Soggetto topico: | Bayesian statistical decision theory |
Economic development - Mathematical models | |
Altri autori: | ZeugnerStefan |
Note generali: | "September 2009." |
Nota di bibliografia: | Includes bibliographical references. |
Nota di contenuto: | 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. |
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.: | 9910812315003321 |
Lo trovi qui: | Univ. Federico II |
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