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Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference — Author Response to Comments

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  • A. Ronald Gallant

Abstract

There are three main criticisms. The first is to misread Assumption 1 so as to think that probabilities are being put to zero after having observed the data leading to the erroneous conclusion that the proposed methods are not Bayesian. The second is due to a failure to grasp the relevance of the fifth paragraph of the Introduction leading to suggestions that alternative methods be used that are not available. The third relates to the fact that it might be advisable to make an adjustment that is analogous to a Jacobian term in some applications.

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  • A. Ronald Gallant, 2016. "Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference — Author Response to Comments," Journal of Financial Econometrics, Oxford University Press, vol. 14(2), pages 284-294.
    • Handle: RePEc:oup:jfinec:v:14:y:2016:i:2:p:284-294.
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    File URL: http://hdl.handle.net/10.1093/jjfinec/nbv007
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    Cited by:

    1. Zhong, Guang-Yan & Li, Jiang-Cheng & Jiang, George J. & Li, Hai-Feng & Tao, Hui-Ming, 2018. "The time delay restraining the herd behavior with Bayesian approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 507(C), pages 335-346.
    2. Gael M. Martin & David T. Frazier & Christian P. Robert, 2020. "Computing Bayes: Bayesian Computation from 1763 to the 21st Century," Monash Econometrics and Business Statistics Working Papers 14/20, Monash University, Department of Econometrics and Business Statistics.
    3. Fulop, Andras & Heng, Jeremy & Li, Junye & Liu, Hening, 2022. "Bayesian estimation of long-run risk models using sequential Monte Carlo," Journal of Econometrics, Elsevier, vol. 228(1), pages 62-84.
    4. Gallant, A. Ronald, 2022. "Nonparametric Bayes subject to overidentified moment conditions," Journal of Econometrics, Elsevier, vol. 228(1), pages 27-38.
    5. Gallant, A. Ronald & Giacomini, Raffaella & Ragusa, Giuseppe, 2017. "Bayesian estimation of state space models using moment conditions," Journal of Econometrics, Elsevier, vol. 201(2), pages 198-211.
    6. Ronald Gallant, A. & Tauchen, George, 2018. "Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale," Journal of Econometrics, Elsevier, vol. 205(1), pages 140-155.
    7. Isaiah Andrews & Anna Mikusheva, 2022. "Optimal Decision Rules for Weak GMM," Econometrica, Econometric Society, vol. 90(2), pages 715-748, March.
    8. A. Ronald Gallant, 2020. "Complementary Bayesian method of moments strategies," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(4), pages 422-439, June.

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