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Bayesian Encompassing Specification Tests of a Parametric Model Against a Non Parametric Alternative

Author

Listed:
  • Florens, J.P.
  • Richard, J.F.
  • Rolin, J.M.

Abstract

An encompassing test between two models is based on the idea that the first model is able to explain the inference obtained by the second model. In a Bayesian Framework, the posterior distribution of the second model will then be compared to the posterior distribution built in hte first model trough a distribution on the parameter of the second model conditionally on the parameter of the first model. Such a strategy is used to test a parametric model against a non parametric one. This strategy is in particular justified by the inadequacy of usual tests as posterior odds. But the implementation of encompassing tests can only be made thanks to simulation techniques which intensively use representations of Dirichlet Measures.

Suggested Citation

  • Florens, J.P. & Richard, J.F. & Rolin, J.M., 1996. "Bayesian Encompassing Specification Tests of a Parametric Model Against a Non Parametric Alternative," Papers 96.436, Toulouse - GREMAQ.
    • Handle: RePEc:fth:gremaq:96.436
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    Cited by:

    1. Rafael Carvalho Ceregatti & Rafael Izbicki & Luis Ernesto Bueno Salasar, 2021. "WIKS: a general Bayesian nonparametric index for quantifying differences between two populations," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 30(1), pages 274-291, March.
    2. Argiento, Raffaele & Guglielmi, Alessandra & Pievatolo, Antonio, 2010. "Bayesian density estimation and model selection using nonparametric hierarchical mixtures," Computational Statistics & Data Analysis, Elsevier, vol. 54(4), pages 816-832, April.
    3. Cinzia Carota, 2006. "Some Faults of the Bayes Factor in Nonparametric Model Selection," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 15(1), pages 37-42, May.
    4. Luai Al-Labadi, 2021. "The two-sample problem via relative belief ratio," Computational Statistics, Springer, vol. 36(3), pages 1791-1808, September.
    5. Kelter, Riko, 2022. "Power analysis and type I and type II error rates of Bayesian nonparametric two-sample tests for location-shifts based on the Bayes factor under Cauchy priors," Computational Statistics & Data Analysis, Elsevier, vol. 165(C).
    6. Surya T. Tokdar & Ryan Martin, 2021. "Bayesian Test of Normality Versus a Dirichlet Process Mixture Alternative," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 83(1), pages 66-96, May.
    7. Cinzia Carota, 2006. "Some Faults of the Bayes Factor in Nonparametric Model Selection," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 15(1), pages 37-42, May.

    More about this item

    Keywords

    ECONOMETRICS ; STATISTICS;

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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