An Agnostic Look at Bayesian Statistics and Econometrics
AbstractBayesians and non-Bayesians, often called frequentists, seem to be perpetually at loggerheads on fundamental questions of statistical inference. This paper takes as agnostic a stand as is possible for a practising frequentist, and tries to elicit a Bayesian answer to questions of interest to frequentists. The argument is based on my presentation at a debate organised by the Rimini Centre for Economic Analysis, between me as the frequentist `àdvocate'', and Christian Robert on the Bayesian side.
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Date of creation: 30 Nov 2010
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Bayesian methods; bootstrap; Bahadur-Savage result;
Other versions of this item:
- Russell Davidson, 2010. "An Agnostic Look at Bayesian Statistics and Econometrics," Review of Economic Analysis, Rimini Centre for Economic Analysis, vol. 2(2), pages 153-168, June.
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-12-11 (All new papers)
- NEP-ECM-2010-12-11 (Econometrics)
- NEP-ORE-2010-12-11 (Operations Research)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Davidson, Russell, 2009.
"Reliable inference for the Gini index,"
Journal of Econometrics,
Elsevier, vol. 150(1), pages 30-40, May.
- Davidson, Russell & Flachaire, Emmanuel, 2007.
"Asymptotic and bootstrap inference for inequality and poverty measures,"
Journal of Econometrics,
Elsevier, vol. 141(1), pages 141-166, November.
- Russell Davidson & Emmanuel Flachaire, 2006. "Asymptotic And Bootstrap Inference For Inequality And Poverty Measures," Departmental Working Papers 2005-06, McGill University, Department of Economics.
- Russell Davidson & Emmanuel Flachaire, 2004. "Asymptotic and bootstrap inference for inequality and poverty measures," Cahiers de la Maison des Sciences Economiques v04100, Université Panthéon-Sorbonne (Paris 1).
- Pierre Perron & Zhongjun Qu, 2007. "An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts," Boston University - Department of Economics - Working Papers Series wp2007-044, Boston University - Department of Economics.
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