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- W1037838086 abstract "We discuss estimation of autoregressive models with a prior about initial growth rates of the modeled series. This prior allows to specify prior beliefs about the behavior of time series in a natural way and it serves to replace arbitrary assumptions on initial conditions. To implement this prior we develop a technique for translating priors about observables into priors about coecients. The posterior mean is attractive even from the frequentist point of view: it is often less biased than the OLS estimate and has better frequentist risk than bias corrected estimates. We apply our prior to some empirical studies from the literature and nd that it makes a big dierence for the estimated" @default.
- W1037838086 created "2016-06-24" @default.
- W1037838086 creator A5066087465 @default.
- W1037838086 date "2010-01-01" @default.
- W1037838086 modified "2023-09-23" @default.
- W1037838086 title "Translating Priors about Observables in Autoregressions and the Role of Initial Conditions in Small Samples" @default.
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- W1037838086 hasPublicationYear "2010" @default.
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