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Comment on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference

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  • Christian P. Robert

Abstract

This note is commenting on Ronald Gallant’s (2015) reflections on the construction of Bayesian prior distributions from moment conditions. The main conclusion is that the paper does not deliver a working principle that could justify inference based on such priors.

Suggested Citation

  • Christian P. Robert, 2016. "Comment on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference," Journal of Financial Econometrics, Oxford University Press, vol. 14(2), pages 265-271.
    • Handle: RePEc:oup:jfinec:v:14:y:2016:i:2:p:265-271.
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    References listed on IDEAS

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    1. Christopher C. Drovandi & Anthony N. Pettitt & Malcolm J. Faddy, 2011. "Approximate Bayesian computation using indirect inference," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 60(3), pages 317-337, May.
    2. Gael M. Martin & Brendan P.M. McCabe & Worapree Maneesoonthorn & Christian P. Robert, 2014. "Approximate Bayesian Computation in State Space Models," Monash Econometrics and Business Statistics Working Papers 20/14, Monash University, Department of Econometrics and Business Statistics.
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