Frequentist properties of Bayesian inequality tests

A-Tier
Journal: Journal of Econometrics
Year: 2021
Volume: 221
Issue: 1
Pages: 312-336

Score contribution per author:

2.011 = (α=2.01 / 2 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Bayesian and frequentist criteria fundamentally differ, but often posterior and sampling distributions agree asymptotically. For the corresponding single-draw experiment, we characterize the frequentist size of a certain Bayesian hypothesis test of (possibly nonlinear) inequalities. If the null hypothesis is that the parameter lies in a specified half-space, then the Bayesian test’s size equals α; if the null hypothesis is a subset of a half-space, then size is above α; otherwise, size may be equal to, above, or below α. Rejection probabilities at certain points are also characterized. Two examples illustrate our results: translog cost function curvature and ordinal distribution relationships.

Technical Details

RePEc Handle
repec:eee:econom:v:221:y:2021:i:1:p:312-336
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25