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A Bayesian Interpretation Of Multiple Point Estimates

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  • Mahmoud El-Gamal

Abstract

Consider a large number of econometric investigations using different estimation techniques and/or different subsets of all available data to estimate a fixed set of parameters. The resulting empirical distribution of point estimates can be shown - under suitable conditions - to coincide with a Bayesian posterior measure on the parameter space induced by a minimum information procedure. This Bayesian interpretation makes it easier to combine the results of various empirical exercises for statistical decision making. The collection of estimators may be generated by one investigator to ensure the satisfaction of our conditions, or they may be collected from published works, where behavioral assumptions need to be made regarding the dependence structure of econometric studies.

Suggested Citation

  • Mahmoud El-Gamal, 2001. "A Bayesian Interpretation Of Multiple Point Estimates," Econometric Reviews, Taylor & Francis Journals, vol. 20(2), pages 235-245.
    • Handle: RePEc:taf:emetrv:v:20:y:2001:i:2:p:235-245
    DOI: 10.1081/ETC-100103825
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    References listed on IDEAS

    as
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    4. Donald W. K. Andrews, 1999. "Consistent Moment Selection Procedures for Generalized Method of Moments Estimation," Econometrica, Econometric Society, vol. 67(3), pages 543-564, May.
    5. Zellner, A., 1988. "Optimal Information-Processing And Bayes' Theorem," Papers m8803, Southern California - Department of Economics.
    6. Guido Kuersteiner, 2000. "RMSE Reduction for GMM Estimators of Linear Time Series Models," Econometric Society World Congress 2000 Contributed Papers 0892, Econometric Society.
    7. repec:cup:etheor:v:12:y:1996:i:4:p:657-81 is not listed on IDEAS
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    More about this item

    Keywords

    Bayesian statistics and econometrics; Decision theory; Literature surveys; Meta-analysis; Markov random fields; Gibbs random fields; Point estimation; JEL Classification: C11; C13; C42; C44; and C51;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C42 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Survey Methods
    • C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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