Home About Latest Browse RSS Advanced Search

Federal Reserve Bank of Atlanta
FRB Atlanta Working Paper
Fitting a distribution to survey data for the half-life of deviations from PPP
Mark Fisher
Abstract

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.


Download Full text
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.
More from this series
JEL Classification:
Subject headings:
Keywords: nonparametric Bayesian estimation; Bernstein polynomials; simplex regression; importance sampling; PPP half-life deviations
For corrections, contact Elaine Clokey ()
Fed-in-Print is the central catalog of publications within the Federal Reserve System. It is managed and hosted by the Economic Research Division, Federal Reserve Bank of St. Louis.

Privacy Legal