Economics - Research Publications
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ItemFood Price Elasticities for Policy Interventions: Estimates from a Virtual Supermarket Experiment in a Multistage Demand Analysis with (Expert) Prior Information(WILEY, 2021-12)Food price elasticities (PEs) are essential for evaluating the impacts of food pricing interventions to improve dietary and health outcomes. This paper innovates the use of experimental purchasing data from a recent New Zealand virtual supermarket experiment to estimate PEs for a large set of disaggregated foods across major food groups relevant for food policies in a Bayesian multistage demand framework. We propose the use of available prior information to elicit prior demand parameter assumptions that are consistent with published PEs and economic assumptions and are weighted according to expert knowledge, increasing precision in PE inference and policy predictions, and yielding somewhat stronger price effects.
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ItemEfficient selection of hyperparameters in large Bayesian VARs using automatic differentiation(Wiley, 2020-09-01)Large Bayesian vector autoregressions with the natural conjugate prior are now routinely used for forecasting and structural analysis. It has been shown that selecting the prior hyperparameters in a data‐driven manner can often substantially improve forecast performance. We propose a computationally efficient method to obtain the optimal hyperparameters based on automatic differentiation, which is an efficient way to compute derivatives. Using a large US data set, we show that using the optimal hyperparameter values leads to substantially better forecast performance. Moreover, the proposed method is much faster than the conventional grid‐search approach, and is applicable in high‐dimensional optimization problems. The new method thus provides a practical and systematic way to develop better shrinkage priors for forecasting in a data‐rich environment.