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

Donald Andrews ()

No 1035, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

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.

Keywords: Asymptotics; Bayesian; classical; hypothesis test; likelihood ratio; posterior odds; prior (search for similar items in EconPapers)
Pages: 38 pages
Date: 1992-11
Note: CFP 874.
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Published in Econometrica (September 1994), 62(5): 1207-1232

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