Comment on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference

Christian P. Robert

Journal of Financial Econometrics, 2016, vol. 14, issue 2, 265-271

Abstract: This note is commenting on Ronald Gallant’s (2015) reflections on the construction of Bayesian prior distributions from moment conditions. The main conclusion is that the paper does not deliver a working principle that could justify inference based on such priors.

Date: 2016
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