Distributions of Posterior Quantiles and Economic Applications

Kai Hao Yang () and Alexander K. Zentefis
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Kai Hao Yang: Cowles Foundation and School of Management, Yale University, https://som.yale.edu/faculty/kai-hao-yang
Alexander K. Zentefis: Yale School of Management

No 2328R, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: We characterize the distributions of posterior quantiles under a given prior. Unlike the distributions of posterior means, which are known to be mean-preserving contractions of the prior, the distributions of posterior quantiles coincide with a first-order stochastic dominance interval bounded by an upper and a lower truncation of the prior. We apply this characterization to several environments, ranging across political economy, Bayesian persuasion, industrial organization, econometrics, finance, and accounting.

Keywords: Posterior quantiles; stochastic dominance; gerrymandering; Bayesian persuasion; two-sided markets; quantile regression (search for similar items in EconPapers)
JEL-codes: C31 D72 D82 D83 G28 L12 M41 (search for similar items in EconPapers)
Pages: 46 pages
Date: 2022-03, Revised 2022-07
New Economics Papers: this item is included in nep-acc
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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