On information, priors, econometrics, and economic modeling

Francisco Venegas-Martínez, Enrique de Alba and Manuel Ordorica-Mellado
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Enrique de Alba: Instituto Tecnológico Autónomo de México
Manuel Ordorica-Mellado: El Colegio de México

Estudios Económicos, 1999, vol. 14, issue 1, 53-86

Abstract: This paper attempts to reconcile all inferentia1 methods which by maximizing a criterion functiona1 produce non- informative and informative priors. In particular, Good's (1968) Minimax Evidence Priors, MEP, Zellner's (1971) Maximal Data Information Priors, MDIP, and Bernardo's (1979) Reference Priors, RP, are seen as special cases of maximizing a more general criterion functional. In a unifying approach Good-Bernardo-Zellner priors are introduced and applied to a number of Bayesian inference procedures which are useful in economic research, such as the Kalman Filter and the Normal Linear Model. We al so use the Good- Bemardo-Zellner distributions in several economic models

Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:emx:esteco:v:14:y:1999:i:1:p:53-86

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