A Bayesian Interpretation of Extremim Estimators

Mahmoud El-Gamal

Working papers from Wisconsin Madison - Social Systems

Abstract: Extremum estimation is typically an ad hoc semi-parametric estimation procedure which is only justified on the basis of the asymptotic properties of the estimators. For a fixed finite data set, consider a large number of investigations using different extremum estimators to estimate the same parameter vector. The resulting empirical distribution of point estimates can be shown to coincide with a Bayesian posterior measure on the parameter space induced by a minimum information procedure. The Bayesian interpretation serves a number of purposes ranging from lending legitimacy to the use of those procedures in small sample problems, to helping prove asymptotic properties by reference to Bayes central limit theorems, to laying a foundation for combining point estimates from various extremum estimation experiments for statistical decision processes.

Keywords: EVALUATION; ECONOMIC MODELS (search for similar items in EconPapers)
JEL-codes: C51 C52 (search for similar items in EconPapers)
Pages: 16 pages
Date: 1997
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.ssc.wisc.edu/econ/archive/wp9704.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.ssc.wisc.edu/econ/archive/wp9704.pdf [301 Moved Permanently]--> https://www.ssc.wisc.edu/econ/archive/wp9704.pdf [301 Moved Permanently]--> http://econ.wisc.edu//archive/wp9704.pdf [301 Moved Permanently]--> https://econ.wisc.edu:443//archive/wp9704.pdf [301 Moved Permanently]--> https://econ.wisc.edu/archive/wp9704.pdf)

Related works:
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:att:wimass:9704

Access Statistics for this paper

More papers in Working papers from Wisconsin Madison - Social Systems UNIVERSITY OF WISCONSIN MADISON, SOCIAL SYSTEMS RESEARCH INSTITUTE(S.S.R.I.), MADISON WISCONSIN 53706 U.S.A..
Bibliographic data for series maintained by Ailsenne Sumwalt ().