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Statistical inference as a bargaining game

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  • Ley, Eduardo

Abstract

This paper extends the analogy, previously established by Learner (1978a), between a Bayesian inference problem and an economics allocation problem to show that posterior modes can be interpreted as optimal outcomes of a bargaining game. This bargaining game, over a parameter value, is played between two players: the researcher (with preferences represented by the prior) and the data (with preferences represented by the likelihood).

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File URL: http://www.sciencedirect.com/science/article/B6V84-4KV3XJF-6/2/c400d2b3cd3a222ea37f234d74ca8471
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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 93 (2006)
Issue (Month): 1 (October)
Pages: 142-149

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Handle: RePEc:eee:ecolet:v:93:y:2006:i:1:p:142-149

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Web page: http://www.elsevier.com/locate/ecolet

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  1. Ken Binmore, 1998. "Game Theory and the Social Contract - Vol. 2: Just Playing," MIT Press Books, The MIT Press, edition 1, volume 2, number 0262024446, December.
  2. Nash, John, 1953. "Two-Person Cooperative Games," Econometrica, Econometric Society, vol. 21(1), pages 128-140, April.
  3. Nash, John, 1950. "The Bargaining Problem," Econometrica, Econometric Society, vol. 18(2), pages 155-162, April.
  4. Sen, Amartya, 1970. "Interpersonal Aggregation and Partial Comparability," Econometrica, Econometric Society, vol. 38(3), pages 393-409, May.
  5. Zellner, Arnold, 2002. "Information processing and Bayesian analysis," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 41-50, March.
  6. Conley, John P. & Wilkie, Simon, 1996. "An Extension of the Nash Bargaining Solution to Nonconvex Problems," Games and Economic Behavior, Elsevier, vol. 13(1), pages 26-38, March.
  7. Crawford, Vincent P., 2000. "John Nash and the Analysis of Strategic Behavior," University of California at San Diego, Economics Working Paper Series qt4r56g8kd, Department of Economics, UC San Diego.
  8. Walter N. Thurman & Tyler J. Fox & Tayler H. Bingham, 2001. "Imposing Smoothness Priors In Applied Welfare Economics: An Application Of The Information Contract Curve To Environmental Regulatory Analysis," The Review of Economics and Statistics, MIT Press, vol. 83(3), pages 511-522, August.
  9. Ken Binmore, 1994. "Game Theory and the Social Contract, Volume 1: Playing Fair," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262023636, December.
  10. Fair, Ray C, 1971. "The Optimal Distribution of Income," The Quarterly Journal of Economics, MIT Press, vol. 85(4), pages 551-79, November.
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