| Description |
1 online resource (39 pages) : color illustrations |
| Series |
IMF working paper, 2227-8885 ; WP/09/202 |
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IMF working paper ; WP/09/202.
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| Summary |
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 |
| Bibliography |
Includes bibliographical references (pages 20-22) |
| Notes |
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212 MiAaHDL |
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English |
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Print version record |
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digitized 2011 HathiTrust Digital Library committed to preserve pda MiAaHDL |
| Subject |
Bayesian statistical decision theory.
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Bayesian statistical decision theory
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Bayes-Statistik.
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| Form |
Electronic book
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| Author |
Zeugner, Stefan, author.
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International Monetary Fund. Finance Department
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| ISBN |
1451917716 |
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9781451917710 |
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1462344666 |
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9781462344666 |
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9786612844096 |
|
6612844094 |
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1452769230 |
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9781452769233 |
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1282844091 |
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9781282844094 |
|
