Munich Personal RePEc Archive

Orbital Priors for Time-Series Models

Kociecki, Andrzej (2012): Orbital Priors for Time-Series Models.

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Abstract

We propose the unified approach to construct the non–informative prior for time–series econometric models that are invariant under some group of transformations. We show that this invariance property characterizes some of the most popular models hence the applicability of the proposed framework is quite general. The suggested prior enjoys many desirable properties both from the Bayesian and non–Bayesian perspective. We provide detailed derivations of our prior in many standard time–series models including, AutoRegressions (AR), Vector AutoRegressions (VAR), Structural VAR and Error Correction Models (ECM).

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