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Fitting a distribution to survey data for the half-life of deviations from PPP

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  • Mark Fisher

Abstract

This note presents a nonparametric Bayesian approach to fitting a distribution to the survey data provided in Kilian and Zha (2002) regarding the prior for the half-life of deviations from purchasing power parity (PPP). A point mass at infinity is included. The unknown density is represented as an average of shape-restricted Bernstein polynomials, each of which has been skewed according to a preliminary parametric fit. A sparsity prior is adopted for regularization.

Suggested Citation

  • Mark Fisher, 2015. "Fitting a distribution to survey data for the half-life of deviations from PPP," FRB Atlanta Working Paper 2015-15, Federal Reserve Bank of Atlanta.
    • Handle: RePEc:fip:fedawp:2015-15
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    References listed on IDEAS

    as
    1. Lutz Kilian & Tao Zha, 2002. "Quantifying the uncertainty about the half-life of deviations from PPP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(2), pages 107-125.
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    More about this item

    Keywords

    nonparametric Bayesian estimation; Bernstein polynomials; simplex regression; importance sampling; PPP half-life deviations;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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