Bayesian local influence analysis: With an application to stochastic frontiers

Mike Tsionas

Economics Letters, 2018, vol. 165, issue C, 54-57

Abstract: A Bayesian alternative to Zhuo (2018) is presented. The method is of general interest as it presents an explicit formula for the local sensitivity of log marginal likelihood when observations vary by a small amount. The remarkable feature is that the formula is very easy to compute and does not require knowledge of the marginal likelihood which is, invariably, extremely difficult to compute. Similar expressions are derived for posterior moments and other functions of interest, including inefficiency. Methods for examining prior sensitivity in a straightforward way are also presented. The methods are illustrated in the context of a stochastic production frontier.

Keywords: Local influence; Bayesian analysis; Marginal likelihood; Posterior moments; Markov Chain Monte Carlo (search for similar items in EconPapers)
JEL-codes: C11 C13 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:165:y:2018:i:c:p:54-57

DOI: 10.1016/j.econlet.2018.02.005

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