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Statistical Inference as a Bargaining Game

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Author Info
Eduardo Ley (IMF)

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Abstract

This paper extends the analogy previously established by Leamer (1978a), between a Bayesian inference problem and an economics allocation problem, and shows that posterior modes can be interpreted as optimal outcomes of a bargaining game. This bargaining game, over a parameter value, is played between two players: the researcher, with preferences represented by the prior, and the data, with preferences represented by the likelihood.

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Paper provided by EconWPA in its series Econometrics with number 0110001.

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Date of creation: 05 Oct 2001
Date of revision: 16 Nov 2001
Handle: RePEc:wpa:wuwpem:0110001

Note: Forthcoming in Economics Letters.
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Related research
Keywords: Social Welfare Function; Social Information Function; Contract Curve; Nash bargaining solution; Bayesian Inference; Posterior Mode;

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Find related papers by JEL classification:
C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Bayesian Analysis
C7 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory

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References listed on IDEAS
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  1. Fair, Ray C, 1971. "The Optimal Distribution of Income," The Quarterly Journal of Economics, MIT Press, vol. 85(4), pages 551-79, November. [Downloadable!] (restricted)
  2. Vincent P. Crawford, 2000. "John Nash and the Analysis of Strategic Behavior," University of California at San Diego, Economics Working Paper Series 2000-03, Department of Economics, UC San Diego. [Downloadable!]
    Other versions:
  3. Nash, John, 1953. "Two-Person Cooperative Games," Econometrica, Econometric Society, vol. 21(1), pages 128-140, April. [Downloadable!] (restricted)
  4. Nash, John, 1950. "The Bargaining Problem," Econometrica, Econometric Society, vol. 18(2), pages 155-162, April. [Downloadable!] (restricted)
  5. Conley, John P. & Wilkie, Simon, 1996. "An Extension of the Nash Bargaining Solution to Nonconvex Problems," Games and Economic Behavior, Elsevier, vol. 13(1), pages 26-38, March. [Downloadable!] (restricted)
  6. Sen, Amartya, 1970. "Interpersonal Aggregation and Partial Comparability," Econometrica, Econometric Society, vol. 38(3), pages 393-409, May. [Downloadable!] (restricted)
  7. Zellner, Arnold, 2002. "Information processing and Bayesian analysis," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 41-50, March. [Downloadable!] (restricted)
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This page was last updated on 2009-11-20.

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