Conditional densities in econometrics
Frank Kleibergen ()
No EI 9853, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
Statistical inference in nested linear models that result from linear restrictions on the parameters of encompassing linear models can be considered to result from the conditional distribution under the encompassing model. We extend this reasoning to nested models that result from general (nonlinear) restrictions by defining sufficient conditions that, when satisfied by the random variables and the restrictions, ensure the existence of an unique expression of the conditional density. Statistical inference in these nested models can then be considered to result from such a conditional density. This novel manner of conducting statistical analyzes leads both to some new results and allows one to obtain some already known results in a different manner. In Bayesian statistics, the conditional densities show how to construct specific classes of priors for the parameters of nested models, priors on the parameters of encompassing models that imply an already specified prior on the parameters of the nested model, Bayes factors using (generalized) Savage-Dickey density ratios and Bayesian score statistics. In classical statistical analysis, the conditional densities offer an alternative approach for constructing small sample and limiting distributions of maximum likelihood estimators and classical score statistics.
Keywords: Bayesian statistics; Statistical inference; nested models (search for similar items in EconPapers)
References: Add references at CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ems:eureir:1524
Access Statistics for this paper
More papers in Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Contact information at EDIRC.
Bibliographic data for series maintained by RePub ().