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Statistical Inference as a Bargaining Game

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  • Eduardo Ley

    (IMF)

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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Bibliographic Info

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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Web page: http://128.118.178.162

Related research

Keywords: Social Welfare Function; Social Information Function; Contract Curve; Nash bargaining solution; Bayesian Inference; Posterior Mode;

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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.
  2. Nash, John, 1950. "The Bargaining Problem," Econometrica, Econometric Society, vol. 18(2), pages 155-162, April.
  3. Crawford, Vincent P., 2000. "John Nash and the Analysis of Strategic Behavior," University of California at San Diego, Economics Working Paper Series qt4r56g8kd, Department of Economics, UC San Diego.
  4. Ken Binmore, 1994. "Game Theory and the Social Contract, Volume 1: Playing Fair," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262023636, December.
  5. Zellner, Arnold, 2002. "Information processing and Bayesian analysis," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 41-50, March.
  6. 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.
  7. Sen, Amartya, 1970. "Interpersonal Aggregation and Partial Comparability," Econometrica, Econometric Society, vol. 38(3), pages 393-409, May.
  8. Ken Binmore, 1998. "Game Theory and the Social Contract - Vol. 2: Just Playing," MIT Press Books, The MIT Press, edition 1, volume 2, number 0262024446, December.
  9. Walter N. Thurman & Tyler J. Fox & Tayler H. Bingham, 2001. "Imposing Smoothness Priors In Applied Welfare Economics: An Application Of The Information Contract Curve To Environmental Regulatory Analysis," The Review of Economics and Statistics, MIT Press, vol. 83(3), pages 511-522, August.
  10. Nash, John, 1953. "Two-Person Cooperative Games," Econometrica, Econometric Society, vol. 21(1), pages 128-140, April.
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