On the implicit uniform BIC prior

Richard Startz

Economics Bulletin, 2014, vol. 34, issue 2, 766-771

Abstract: I show how to find the uniform prior implicit in using the Bayesian Information Criterion to consider a hypothesis about a single normally distributed parameter. The ratio of the width of the implicit prior to the standard deviation of the parameter estimate is √2πn for large samples.

Keywords: Bayesian Information Criterion; BIC; priors (search for similar items in EconPapers)
JEL-codes: C1 C4 (search for similar items in EconPapers)
Date: 2014-04-04
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