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On information, priors, econometrics, and economic modeling

Author

Listed:
  • Francisco Venegas-Martínez

    (Centro de Investigación y Docencia Económicas)

  • Enrique de Alba

    (Instituto Tecnológico Autónomo de México)

  • Manuel Ordorica-Mellado

    (El Colegio de México)

Abstract

This paper attempts to reconcile all inferentia1 methods which by maximizing a criterion functiona1 produce non- informative and informative priors. In particular, Good's (1968) Minimax Evidence Priors, MEP, Zellner's (1971) Maximal Data Information Priors, MDIP, and Bernardo's (1979) Reference Priors, RP, are seen as special cases of maximizing a more general criterion functional. In a unifying approach Good-Bernardo-Zellner priors are introduced and applied to a number of Bayesian inference procedures which are useful in economic research, such as the Kalman Filter and the Normal Linear Model. We al so use the Good- Bemardo-Zellner distributions in several economic models

Suggested Citation

  • Francisco Venegas-Martínez & Enrique de Alba & Manuel Ordorica-Mellado, 1999. "On information, priors, econometrics, and economic modeling," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 14(1), pages 53-86.
    • Handle: RePEc:emx:esteco:v:14:y:1999:i:1:p:53-86
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    File URL: https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/229/231
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    References listed on IDEAS

    as
    1. Calvo, Guillermo A, 1986. "Temporary Stabilization: Predetermined Exchange Rates," Journal of Political Economy, University of Chicago Press, vol. 94(6), pages 1319-1329, December.
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