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System Priors for Econometric Time Series

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  • Michal Andrle
  • Miroslav Plašil

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.

Suggested Citation

  • Michal Andrle & Miroslav Plašil, 2016. "System Priors for Econometric Time Series," IMF Working Papers 2016/231, International Monetary Fund.
    • Handle: RePEc:imf:imfwpa:2016/231
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    References listed on IDEAS

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    Cited by:

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    2. Bruno Perdigão, 2019. "“Still" an Agnostic Procedure to Identify Monetary Policy Shocks with Sign Restrictions," Working Papers Series 494, Central Bank of Brazil, Research Department.
    3. Milan Szabo & Zlatuse Komarkova & Martin Casta, 2020. "Vulnerable growth: Bayesian GDP-at-Risk," Occasional Publications - Chapters in Edited Volumes,, Czech National Bank.

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    More about this item

    Keywords

    WP; time series;

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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