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Benchmark Priors Revisited : On Adaptive Shrinkage and the Supermodel Effect in Bayesian Model Averaging / Martin Feldkircher, Stefan Zeugner.
- Format:
- Book
- Government document
- Author/Creator:
- Feldkircher, Martin.
- Series:
- IMF Working Papers; Working Paper ; No. 2009/202
- IMF Working Papers
- Language:
- English
- Subjects (All):
- Bayesian statistical decision theory.
- Economic development--Mathematical models.
- Economic development.
- Physical Description:
- 39 p. : col. ill.
- Edition:
- 1st ed.
- Place of Publication:
- Washington, D.C. : International Monetary Fund, 2009.
- Language Note:
- English
- 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.
- Contents:
- 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.
- Notes:
- "September 2009."
- Includes bibliographical references.
- Description based on print version record.
- ISBN:
- 9786612844096
- 9781462344666
- 1462344666
- 9781451873498
- 1451873492
- 9781452769233
- 1452769230
- 9781282844094
- 1282844091
- OCLC:
- 648819742
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