Econometrics with system priors

Michal Andrle and Miroslav Plašil

Economics Letters, 2018, vol. 172, issue C, 134-137

Abstract: This paper introduces “system priors” into Bayesian econometrics and provides an illustrative application. Unlike priors on individual parameters, system priors offer and efficient way of formulating economically-meaningful priors about model properties. Illustrative example restricts output gap dynamics to business-cycle frequencies.

Keywords: Bayesian analysis; System priors; Time series (search for similar items in EconPapers)
JEL-codes: C11 C18 C22 C51 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:172:y:2018:i:c:p:134-137

DOI: 10.1016/j.econlet.2018.08.038

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