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

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Paper ; No. 2015-15

Classification and Topics

• Classification: Wirtschaft ; Bayesian Analysis: General ; Semiparametric and Nonparametric Methods: General ; Foreign Exchange
• Subject: nonparametric Bayesian estimation ; Bernstein polynomials ; simplex regression ; importance sampling ; PPP half-life deviations

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Fisher, Mark
• Event: Veröffentlichung
• (who): Federal Reserve Bank of Atlanta
• (where): Atlanta, GA
• (when): 2015

Further information

• Handle: http://hdl.handle.net/10419/130625
• Last update: 10.03.2025, 11:44 AM CET