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Frekvensbaserede versus bayesianske metoder i empirisk økonomi

Author

Listed:
  • Tom Engsted

    (Department of Economics and Business Economics, Aarhus University, Denmark)

Abstract

Indenfor økonomi og samfundsvidenskab har den klassiske frekvens-baserede analysemetode traditionelt været fremherskende, men de senere år er flere samfundsforskere begyndt at anvende bayesianske metoder i empirisk modellering. I denne artikel beskrives og sammenlignes de to metoder. Der argumenteres for, at vi i højere grad bør anvende den bayesianske tilgang. Den klassiske metode giver sandsynligheden for data, givet modellen (nulhypotesen), mens den bayesianske metode giver sandsynligheden for modellen, givet data. Anvendelse af "p-værdien"i det klassiske hypotesetest fører til for mange "falsk positive" resultater. Den bayesianske metode er mere velegnet end den klassiske til analyse af de hypoteser økonomer arbejder med, hvor en model ikke tilstræbes at være "sand", men i stedet opfattes som en grov approksimation til virkeligheden.

Suggested Citation

  • Tom Engsted, 2018. "Frekvensbaserede versus bayesianske metoder i empirisk økonomi," Economics Working Papers 2018-07, Department of Economics and Business Economics, Aarhus University.
    • Handle: RePEc:aah:aarhec:2018-07
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    File URL: https://repec.econ.au.dk/repec/afn/wp/18/wp18_07.pdf
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    More about this item

    Keywords

    Hypotesetest; p-værdi; Bayes-faktor; beslutningsteori; økonomiske modeller;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General

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