A comparative analysis of prior families for distributed lags

A unified structure for recommended families of prior distributions for the coefficients of a distributed lag model is discussed. It enables us to highlight the essential similarities and differences between these families. We also examine theextent to which the families are adequate approximations to the opinions of a potential user.

[1]  P. Frost.  Some Properties of the Almon Lag Technique When One Searches for Degree of Polynomial and Lag , 1975 .

[2]  Robert M. Solow,et al.  On a Family of Lag Distributions , 1960 .

[3]  A. Young.  A Bayesian approach to prediction using polynomials , 1977 .

[4]  K. Wallis,et al.  Statistical Methods of Econometrics. , 1967 .

[5]  Pravin K. Trivedi,et al.  Estimation of a Distributed Lag Model under Quadratic Loss , 1978 .

[6]  Note on a short-cut method for calculating distributed lags , 1936 .

[7]  Edward Leamer.  A Class of Informative Priors and Distributed Lag Analysis , 1972 .

[8]  J. Cooper.  Two Approaches to Polynomial Distributed Lags Estimation: An Expository Note and Comment , 1972 .

[9]  R. Bellman,et al.  DISTRIBUTED LAGS: A SURVEY , 1967 .

[10]  D. Poskitt,et al.  Testing the Restrictions of the Almon Lag Technique , 1975 .

[11]  Shirley Almon.  The Distributed Lag Between Capital Appropriations and Expenditures , 1965 .

[12]  G. C. Tiao,et al.  Bayes's theorem and the use of prior knowledge in regression analysis , 1964 .

[13]  H. Guitton,et al.  Distributed Lags and Investment Analysis , 1955 .

[14]  P. Schmidt,et al.  The Almon Lag Technique and the Monetary Versus Fiscal Policy Debate , 1973 .

[15]  T. Teräsvirta.  The polynomial distributed lag revisited , 1980 .

[16]  R. A. Meyer,et al.  Some Time and Frequency Domain Distributed Lag Estimators: A Comparative Monte Carlo Study , 1974 .

[17]  M. Mouchart,et al.  Polynomial approximation of distributed lags and linear restrictions: A Bayesian approach , 1976 .

[18]  D. Lindley,et al.  Bayes Estimates for the Linear Model , 1972 .

[19]  T. Amemiya,et al.  Selecting the Optimal Order of Polynomial in the Almon Distributed Lag , 1974 .

[20]  P. Trivedi,et al.  POLYNOMIAL DISTRIBUTED LAGS: A UNIFIED TREATMENT , 1979 .

[21]  M. Pagano,et al.  On fitting distributed lag models subject to polynomial restrictions , 1981 .

[22]  A. Ullah,et al.  A polynomial distributed lag model with stochastic coefficients and priors , 1980 .

[23]  R. Shiller.  A DISTRIBUTED LAG ESTIMATOR DERIVED FROM SMOOTHNESS PRIORS , 1973 .

[24]  A. Zellner,et al.  Analysis of Distributed Lag Models with Application to Consumption Function Estimation , 1970 .