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An Agnostic Look at Bayesian Statistics and Econometrics

Author

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  • Russell Davidson

    (McGill University, CIREQ, and GREQAM)

Abstract

Bayesians and non-Bayesians, often called frequentists, seem to be perpetually at logger- heads on fundamental questions of statistical inference. This paper takes as agnostic a stand as is possible for a practising frequentist, and tries to elicit a Bayesian answer to questions of interest to frequentists. The argument is based on my presentation at a debate organised by the Rimini Centre for Economic Analysis, between me as the frequentist "advocate", and Christian Robert on the Bayesian side.

Suggested Citation

  • Russell Davidson, 2010. "An Agnostic Look at Bayesian Statistics and Econometrics," Review of Economic Analysis, Digital Initiatives at the University of Waterloo Library, vol. 2(2), pages 153-168, June.
    • Handle: RePEc:ren:journl:v:2:y:2010:i:2:p:153-168
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    References listed on IDEAS

    as
    1. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
    2. Jean-Marie Dufour, 2003. "Identification, weak instruments, and statistical inference in econometrics," Canadian Journal of Economics, Canadian Economics Association, vol. 36(4), pages 767-808, November.
    3. Davidson, Russell & Flachaire, Emmanuel, 2007. "Asymptotic and bootstrap inference for inequality and poverty measures," Journal of Econometrics, Elsevier, vol. 141(1), pages 141-166, November.
    4. Davidson, Russell, 2009. "Reliable inference for the Gini index," Journal of Econometrics, Elsevier, vol. 150(1), pages 30-40, May.
    5. Russell Davidson & James G. MacKinnon, 2008. "Bootstrap inference in a linear equation estimated by instrumental variables," Econometrics Journal, Royal Economic Society, vol. 11(3), pages 443-477, November.
    6. Jean‐Marie Dufour, 2003. "Identification, weak instruments, and statistical inference in econometrics," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 36(4), pages 767-808, November.
    7. Davidson, Russell & MacKinnon, James G., 2010. "Wild Bootstrap Tests for IV Regression," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(1), pages 128-144.
    8. Pierre Perron & Zhongjun Qu, 2007. "An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts," Boston University - Department of Economics - Working Papers Series wp2007-044, Boston University - Department of Economics.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Bayesian methods; bootstrap; Bahadur-Savage result;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General

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