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On the implicit uniform BIC prior

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  • Richard Startz

    (UC Santa Barbara)

Abstract

I show how to find the uniform prior implicit in using the Bayesian Information Criterion to consider a hypothesis about a single normally distributed parameter. The ratio of the width of the implicit prior to the standard deviation of the parameter estimate is √2πn for large samples.

Suggested Citation

  • Richard Startz, 2014. "On the implicit uniform BIC prior," Economics Bulletin, AccessEcon, vol. 34(2), pages 766-771.
    • Handle: RePEc:ebl:ecbull:eb-14-00147
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    References listed on IDEAS

    as
    1. Dey, Tanujit & Ishwaran, Hemant & Rao, J. Sunil, 2008. "An In-Depth Look At Highest Posterior Model Selection," Econometric Theory, Cambridge University Press, vol. 24(2), pages 377-403, April.
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      More about this item

      Keywords

      Bayesian Information Criterion; BIC; priors;
      All these keywords.

      JEL classification:

      • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
      • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics

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