Prior density ratio class robustness in econometrics

John Geweke and Lea Petrella

No 553, Working Papers from Federal Reserve Bank of Minneapolis

Abstract: This paper provides a general and efficient method for computing density ratio class bounds on posterior moments, given the output of a posterior simulator. It shows how density ratio class bounds for posterior odds ratios may be formed in many situations, also on the basis of posterior simulator output. The computational method is used to provide density ratio class bounds in two econometric models. It is found that the exact bounds are approximated poorly by their asymptotic approximation, when the posterior distribution of the function of interest is skewed. It is also found that posterior odds ratios display substantial variation within the density ratio class, in ways that cannot be anticipated by the asymptotic approximation.

Keywords: Econometrics (search for similar items in EconPapers)
Date: 1995
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Published in Journal of Business and Economic Statistics (Vol. 16, No. 4, October 1998, pp. 469-478)

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http://www.minneapolisfed.org/research/WP/WP553.pdf

Related works:
Journal Article: Prior Density-Ratio Class Robustness in Econometrics (1998)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedmwp:553

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