Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/130625
Authors: 
Fisher, Mark
Year of Publication: 
2015
Series/Report no.: 
Working Paper, Federal Reserve Bank of Atlanta 2015-15
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.
Subjects: 
nonparametric Bayesian estimation
Bernstein polynomials
simplex regression
importance sampling
PPP half-life deviations
JEL: 
C11
C14
F31
Document Type: 
Working Paper

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