Benchmark Priors Revisited : : On Adaptive Shrinkage and the Supermodel Effect in Bayesian Model Averaging / / Martin Feldkircher, Stefan Zeugner
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| Autore: |
Feldkircher Martin
|
| Titolo: |
Benchmark Priors Revisited : : On Adaptive Shrinkage and the Supermodel Effect in Bayesian Model Averaging / / Martin Feldkircher, Stefan Zeugner
|
| Pubblicazione: | Washington, D.C. : , : International Monetary Fund, , 2009 |
| Edizione: | 1st ed. |
| Descrizione fisica: | 39 p. : col. ill |
| Disciplina: | 332.015195 |
| 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. |
| 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 |
| Opac: | Controlla la disponibilità qui |
Serie:
IMF Working Papers; Working Paper ; ; No. 2009/202