Frequentist properties of Bayesian inequality tests

David Kaplan and Longhao Zhuo

Journal of Econometrics, 2021, vol. 221, issue 1, 312-336

Abstract: Bayesian and frequentist criteria fundamentally differ, but often posterior and sampling distributions agree asymptotically. For the corresponding single-draw experiment, we characterize the frequentist size of a certain Bayesian hypothesis test of (possibly nonlinear) inequalities. If the null hypothesis is that the parameter lies in a specified half-space, then the Bayesian test’s size equals α; if the null hypothesis is a subset of a half-space, then size is above α; otherwise, size may be equal to, above, or below α. Rejection probabilities at certain points are also characterized. Two examples illustrate our results: translog cost function curvature and ordinal distribution relationships.

Keywords: Generalized Bayes rule; Limit experiment; Minimax; Nonstandard inference; Posterior (search for similar items in EconPapers)
JEL-codes: C11 C12 (search for similar items in EconPapers)
Date: 2021
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Related works:
Working Paper: Frequentist properties of Bayesian inequality tests (2024)
Working Paper: Frequentist properties of Bayesian inequality tests (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:221:y:2021:i:1:p:312-336

DOI: 10.1016/j.jeconom.2020.05.015

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