Federal Reserve Bank of Atlanta
FRB Atlanta Working Paper
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.
Cite this item
Mark Fisher, Fitting a distribution to survey data for the half-life of deviations from PPP, Federal Reserve Bank of Atlanta, FRB Atlanta Working Paper 2015-15, 15 Dec 2015.
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- F31 - International Economics - - International Finance - - - Foreign Exchange
Keywords: nonparametric Bayesian estimation; Bernstein polynomials; simplex regression; importance sampling; PPP half-life deviations
This item with handle RePEc:fip:fedawp:2015-15
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