Choosing Prior Hyperparameters

• Published in: Federal Reserve Bank of Richmond. Working Paper Series Vol. 16; no. 9; p. 1
• Main Authors: Amir-Ahmadi, Pooyan, Matthes, Christian, Wang, Mu-Chun
• Format: Web Resource
• Language: English
• Published: Richmond Federal Reserve Bank of Richmond 01.08.2016
• Subjects: Algorithms; Bayesian analysis; Economic models; Researchers; Time series; Volatility; United States > US; Minnesota

Bayesian inference is common in models with many parameters, such as large VAR models, models with time-varying parameters, or large DSGE models. A common practice is to focus on prior distributions that themselves depend on relatively few hyperparameters. The choice of these hyperparameters is cruc...