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The Large Sample Correspondence Between Classical Hypothesis Tests and Bayesian Posterior Odds Tests

This paper establishes a correspondence in large samples between classical hypothesis tests and Bayesian posterior odds tests for models without trends. More specifically, tests of point null hypotheses and one- or two-sided alternatives are considered (where nuisance parameters may be present under both hypotheses). It is shown that for certain priors the Bayesian posterior odds test is equivalent in large samples to classical Wald, Lagrange multiplier, and likelihood ratio tests for some significance level and vice versa.

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File URL: http://cowles.econ.yale.edu/P/cd/d10a/d1035.pdf
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Paper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 1035.

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Length: 38 pages
Date of creation: Nov 1992
Date of revision:
Publication status: Published in Econometrica (September 1994), 62(5): 1207-1232
Handle: RePEc:cwl:cwldpp:1035
Note: CFP 874.
Contact details of provider: Postal: Yale University, Box 208281, New Haven, CT 06520-8281 USA
Phone: (203) 432-3702
Fax: (203) 432-6167
Web page: http://cowles.econ.yale.edu/

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Order Information: Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA

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