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Prior Density-Ratio Class Robustness in Econometrics

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  • Geweke, John
  • Petrella, Lea

Abstract

This article provides a generic, very fast method for computing exact density-ratio class bounds on posterior expectations, given the output of a posterior simulator. It illustrates application of the method in an econometric model of typical complexity. In this model, the exact bounds for expectations of some functions of interest are well approximated by the established asymptotic approximation but others are not. Software for the computations is publicly available in a variety of programming languages.

Suggested Citation

  • Geweke, John & Petrella, Lea, 1998. "Prior Density-Ratio Class Robustness in Econometrics," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(4), pages 469-478, October.
    • Handle: RePEc:bes:jnlbes:v:16:y:1998:i:4:p:469-78
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    Cited by:

    1. Kawther Alimi & Mohamed Chakroun & Grégory Levieuge, 2019. "Diagnosis of Monetary Policy in Tunisia During the Last Decade: a DSGE Model Approach," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 10(1), pages 348-364, March.
    2. Brutscher, P., 2012. "Self-Disconnection Among Pre-Payment Customers - A Behavioural Analysis," Cambridge Working Papers in Economics 1214, Faculty of Economics, University of Cambridge.

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