Arbeitspapier
Fitting a distribution to survey data for the half-life of deviations from PPP
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 2015-15
- Klassifikation
-
Wirtschaft
Bayesian Analysis: General
Semiparametric and Nonparametric Methods: General
Foreign Exchange
- Thema
-
nonparametric Bayesian estimation
Bernstein polynomials
simplex regression
importance sampling
PPP half-life deviations
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Fisher, Mark
- Ereignis
-
Veröffentlichung
- (wer)
-
Federal Reserve Bank of Atlanta
- (wo)
-
Atlanta, GA
- (wann)
-
2015
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Fisher, Mark
- Federal Reserve Bank of Atlanta
Entstanden
- 2015
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