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CNB > Economic research > Research publications > CNB Working paper series > 2017 > System Priors for Econometric Time Series

System Priors for Econometric Time Series

Michal Andrle, Miroslav Plašil

This paper introduces “system priors” into Bayesian analysis of econometric time series and provides a simple and illustrative application. Unlike priors on individual parameters, system priors offer a simple and efficient way of formulating well-defined and economically meaningful priors about model properties that determine the overall behavior of the model. The generality of system priors is illustrated using an AR(2) process with a prior that its dynamics comes mostly from business-cycle frequencies.

JEL codes: C11, C18, C22, C51

Keywords: Bayesian analysis, system priors, time series

Issued: May 2017

Download: CNB WP No. 1/2017 (pdf, 383 kB)