01882cas a2200253 a 4500 AALejournalIMF006068 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451873498 1018-5941 BD-DhAAL BD-DhAAL Feldkircher, Martin. Benchmark Priors Revisited : On Adaptive Shrinkage and the Supermodel Effect in Bayesian Model Averaging / Martin Feldkircher, Stefan Zeugner. Washington, D.C. : International Monetary Fund, 2009. 1 online resource (39 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students Default prior choices fixing Zellner's g are predominant in the Bayesian Model Averaging literature, but tend to concentrate posterior mass on a tiny set of models. The paper demonstrates this supermodel effect and proposes to address it by a hyper-g prior, whose data-dependent shrinkage adapts posterior model distributions to data quality. Analytically, existing work on the hyper-g-prior is complemented by posterior expressions essential to fully Bayesian analysis and to sound numerical implementation. A simulation experiment illustrates the implications for posterior inference. Furthermore, an application to determinants of economic growth identifies several covariates whose robustness differs considerably from previous results. Mode of access: Internet Zeugner, Stefan. IMF Working Papers; Working Paper ; No. 2009/202 Full text available on IMF http://elibrary.imf.org/view/journals/001/2009/202/001.2009.issue-202-en.xml IMF e-Library