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An Agnostic Look at Bayesian Statistics and Econometrics

  • Russell Davidson

    (McGill University, CIREQ, and GREQAM)

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.

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Article provided by Rimini Centre for Economic Analysis in its journal Review of Economic Analysis.

Volume (Year): 2 (2010)
Issue (Month): 2 (June)
Pages: 153-168

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Handle: RePEc:ren:journl:v:2:y:2010:i:2:p:153-168
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  1. Russell Davidson, 2009. "Reliable inference for the GINI Index," Working Papers halshs-00443553, HAL.
  2. Russell Davidson & Emmanuel Flachaire, 2004. "Asymptotic and bootstrap inference for inequality and poverty measures," Cahiers de la Maison des Sciences Economiques v04100, Université Panthéon-Sorbonne (Paris 1).
  3. 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.
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