(This is more general econometric question) While I am writing a thesis on how the cyclicality of fiscal policy evolve over time in certain countries using Bayesian time varying regression. There are some questions that I would like to ask.
I know that Bayesian regression requires prior distribution (which is chosen by the model maker) and I have no idea what the prior distribution should be. Should I use non-informative prior?
How does Bayesian time varying regression really works? Is it similar to rolling window method in normal regression or is there a method where I can do time varying coefficient model in Bayesian regression?(This is more general econometric question) While I am writing a thesis on how the cyclicality of fiscal policy evolve over time in certain countries using Bayesian time varying regression. There are some questions that I would like to ask.
I know that Bayesian regression requires prior distribution (which is chosen by the model maker) and I have no idea what the prior distribution should be. Should I use non-informative prior?
How does Bayesian time varying regression really works? Is it similar to rolling window method in normal regression or is there a method where I can do time varying coefficient model in Bayesian regression? (This is more general econometric question) While I am writing a thesis on how the cyclicality of fiscal policy evolve over time in certain countries using Bayesian time varying regression. There are some questions that I would like to ask.
I know that Bayesian regression requires prior distribution (which is chosen by the model maker) and I have no idea what the prior distribution should be. Should I use non-informative prior?
How does Bayesian time varying regression really works? Is it similar to rolling window method in normal regression or is there a method where I can do time varying coefficient model in Bayesian regression? bayesian linear regression, time varying coefficient MATLAB Answers — New Questions

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