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

Mark Fisher

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.

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Year of publication:	2015
Authors:	Fisher, Mark
Publisher:	Atlanta, Ga. : Federal Reserve Bank of Atlanta
Subject:	nonparametric Bayesian estimation \| Bernstein polynomials \| simplex regression \| importance sampling \| PPP half-life deviations \| Statistische Verteilung \| Statistical distribution \| Kaufkraftparität \| Purchasing power parity \| Maximum-Likelihood-Schätzung \| Maximum likelihood estimation \| Schätzung \| Estimation \| Schätztheorie \| Estimation theory \| OECD-Staaten \| OECD countries \| Stichprobenerhebung \| Sampling \| Bayes-Statistik \| Bayesian inference

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Extent:	Online-Ressource (12 S.) graph. Darst.
Series:	Working papers / Federal Reserve Bank of Atlanta. - Atlanta, Ga. : [Verlag nicht ermittelbar], ISSN 1936-5225, ZDB-ID 2171117-3. - Vol. 2015-15
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Other identifiers:	hdl:10419/130625 [Handle]
Classification:	C11 - Bayesian Analysis ; C14 - Semiparametric and Nonparametric Methods ; F31 - Foreign Exchange
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011403123