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

Donald Andrews ()

Econometrica, 1994, vol. 62, issue 5, 1207-32

Abstract: 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. The priors considered under the alternative hypothesis are taken to shrink to the null hypothesis at rate n[superscript -1/2] as the sample size n increases. Copyright 1994 by The Econometric Society.

Date: 1994
References: Add references at CitEc
Citations: View citations in EconPapers (18)

Downloads: (external link)
http://links.jstor.org/sici?sici=0012-9682%2819940 ... O%3B2-K&origin=repec full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

Related works:
Working Paper: The Large Sample Correspondence Between Classical Hypothesis Tests and Bayesian Posterior Odds Tests (1992)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ecm:emetrp:v:62:y:1994:i:5:p:1207-32

Ordering information: This journal article can be ordered from
https://www.economet ... ordering-back-issues

Access Statistics for this article

Econometrica is currently edited by Guido Imbens

More articles in Econometrica from Econometric Society Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().