Advanced Search
MyIDEAS: Login

Exceptions to Bartlett’s Paradox

Contents:

Author Info

  • Rodney W. Strachan

    ()
    (Keele University, Department of Economics)

  • Herman K. van Dijk

    ()
    (Erasmus University Rotterdam)

Abstract

A sensible Bayesian model selection or comparison strategy implies selecting the model with the highest posterior probability. While some improper priors have attractive properties such as, eg, lower frequentist risk, it is generally claimed that Bartlett’s paradox implies that using improper priors for the parameters in alternative models results in Bayes factors that are not well defined, thus preventing model comparison in this case. In this paper we demonstrate this latter result is not generally true and so expand the class of priors that may be used for computing posterior odds to include some improper priors. We give a new representation of the issue of undefined Bayes factors and, from this representation, develop classes of improper priors from which well defined Bayes factors may be derived. The approaches involve either augmenting or normalising the prior measure for the parameters. One of these classes includes the well known and commonly employed shrinkage prior. Estimation of Bayes factors is demonstrated for a simple cointegration analysis.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.keele.ac.uk/depts/ec/wpapers/kerp0403.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Centre for Economic Research, Keele University in its series Keele Economics Research Papers with number KERP 2004/03.

as in new window
Length: 25 pages
Date of creation: Jan 2004
Date of revision:
Handle: RePEc:kee:kerpuk:2004/03

Contact details of provider:
Postal: Department of Economics, University of Keele, Keele, Staffordshire, ST5 5BG - United Kingdom
Phone: +44 (0)1782 584581
Fax: +44 (0)1782 717577
Email:
Web page: http://www.keele.ac.uk/depts/ec/cer/
More information through EDIRC

Order Information:
Postal: Centre for Economic Research, Research Institute for Public Policy and Management, Keele University, Staffordshire ST5 5BG - United Kingdom
Email:
Web: http://www.keele.ac.uk/depts/ec/cer/pubs_kerps.htm

Related research

Keywords: Improper prior; Bayes factor; marginal likelihood; shrinkage prior; measure.;

Find related papers by JEL classification:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:kee:kerpuk:2004/03. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Martin E. Diedrich) The email address of this maintainer does not seem to be valid anymore. Please ask Martin E. Diedrich to update the entry or send us the correct address.

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.