The Large Sample Correspondence between Classical Hypothesis Tests and Bayesian Posterior Odds Tests
AbstractThis paper establishes a correspondence in large samples between classical hypothesis tests and Bayesian posterior odds tests for models without trends. More specifically, tests of point null hypotheses and one- or two-sided alternatives are considered (where nuisance parameters may be present under both hypotheses). It is shown that, for certain priors, the Bayesian posterior odds test is equivalent in large samples to classical Wald, Lagrange multiplier, and likelihood ratio tests for some significance level and vice versa. The priors considered under the alternative hypothesis are taken to shrink to the null hypothesis at rate n[superscript -1/2] as the sample size n increases. Copyright 1994 by The Econometric Society.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Econometric Society in its journal Econometrica.
Volume (Year): 62 (1994)
Issue (Month): 5 (September)
Other versions of this item:
- Donald W.K. Andrews, 1992. "The Large Sample Correspondence Between Classical Hypothesis Tests and Bayesian Posterior Odds Tests," Cowles Foundation Discussion Papers 1035, Cowles Foundation for Research in Economics, Yale University.
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Lavergne, Pascal, 2014. "Model equivalence tests in a parametric framework," Journal of Econometrics, Elsevier, vol. 178(P3), pages 414-425.
- Penelope Smith, 2006. "Bayesian Inference for a Threshold Autoregression with a Unit Root," Melbourne Institute Working Paper Series wp2006n20, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
- Ghysels, Eric & Guay, Alain, 2003.
"Structural change tests for simulated method of moments,"
Journal of Econometrics,
Elsevier, vol. 115(1), pages 91-123, July.
- Eric Guysels & Alain Guay, 1998. "Structural Change Tests for Simulated Method of Moments," Cahiers de recherche CREFE / CREFE Working Papers 61, CREFE, Université du Québec à Montréal.
- Eric Ghysels & Alain Guay, 1998. "Structural Change Tests for Simulated Method of Moments," CIRANO Working Papers 98s-19, CIRANO.
- Lavergne, Pascal, 2013. "Model Equivalence Tests in a Parametric Framework," TSE Working Papers 379, Toulouse School of Economics (TSE).
- Eric Ghysels & Alain Guay, 2001.
"Testing for Structural Change in the Presence of Auxiliary Models,"
CIRANO Working Papers
- Eric Ghysels & Alain Guay, 2001. "Testing for Structural Change in the Presence of Auxiliary Models," Cahiers de recherche CREFE / CREFE Working Papers 133, CREFE, Université du Québec à Montréal.
- Berg, Nathan, 2004. "No-decision classification: an alternative to testing for statistical significance," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 33(5), pages 631-650, November.
- Hoshino, Takahiro, 2008. "Bayesian significance testing and multiple comparisons from MCMC outputs," Computational Statistics & Data Analysis, Elsevier, vol. 52(7), pages 3543-3559, March.
- Chernozhukov, Victor & Hong, Han, 2003. "An MCMC approach to classical estimation," Journal of Econometrics, Elsevier, vol. 115(2), pages 293-346, August.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.