Flat Priors vs. Ignorance Priors in the Analysis of the AR(1) Model.
This paper compares, by a Monte-Carlo study based on an AR(1) model, the performance of the flat prior and the ignorance prior suggested by Phillips. It argues that the ignorance prior gives heavy weight to values of the autoregressive parameter [rho] higher than 1, and hence distorts the sample evidence as summarized in the likelihood function. It yields bimodal posterior distributions, with the second mode at [rho] higher than 1, even when the true value of [rho] is substantially less than 1. Copyright 1991 by John Wiley & Sons, Ltd.
Year of publication: |
1991
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Authors: | Kim, In-Moo ; Maddala, G S |
Published in: |
Journal of Applied Econometrics. - John Wiley & Sons, Ltd.. - Vol. 6.1991, 4, p. 375-80
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Publisher: |
John Wiley & Sons, Ltd. |
Saved in:
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