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Statistical Inference as a Bargaining Game

Author

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  • Mr. Eduardo Ley

Abstract

This paper extends the analogy, previously established by Learner (1978a), between a Bayesian inference problem and an economics allocation problem to show that posterior modes can be interpreted as optimal outcomes of a bargaining game. This bargaining game, over a parameter value, is played between two players: the researcher (with preferences represented by the prior) and the data (with preferences represented by the likelihood).

Suggested Citation

  • Mr. Eduardo Ley, 2002. "Statistical Inference as a Bargaining Game," IMF Working Papers 2002/081, International Monetary Fund.
    • Handle: RePEc:imf:imfwpa:2002/081
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    Keywords

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    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C7 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory

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