System Priors for Econometric Time Series

Michal Andrle and Miroslav Plašil

No 2016/231, IMF Working Papers from International Monetary Fund

Abstract: The paper introduces “system priors”, their use in Bayesian analysis of econometric time series, and provides a simple and illustrative application. System priors were devised by Andrle and Benes (2013) as a tool to incorporate prior knowledge into an economic model. Unlike priors about individual parameters, system priors offer a simple and efficient way of formulating well-defined and economically-meaningful priors about high-level model properties. The generality of system priors are illustrated using an AR(2) process with a prior that most of its dynamics comes from business-cycle frequencies.

Keywords: WP; time series (search for similar items in EconPapers)
Pages: 18
Date: 2016-11-17
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Citations: View citations in EconPapers (3)

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Working Paper: System Priors for Econometric Time Series (2017)
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