Double conditioning: the hidden connection between Bayesian and classical statistics
Author
Abstract
Suggested Citation
Note: 196912
Download full text from publisher
References listed on IDEAS
- Bewley, Truman F., 2011. "Knightian decision theory and econometric inferences," Journal of Economic Theory, Elsevier, vol. 146(3), pages 1134-1147, May.
- Epstein, Larry G. & Schneider, Martin, 2003.
"Recursive multiple-priors,"
Journal of Economic Theory, Elsevier, vol. 113(1), pages 1-31, November.
- Larry G. Epstein & Martin Schneider, 2001. "Recursive Multiple-Priors," RCER Working Papers 485, University of Rochester - Center for Economic Research (RCER).
- Gilboa, Itzhak & Schmeidler, David, 1989.
"Maxmin expected utility with non-unique prior,"
Journal of Mathematical Economics, Elsevier, vol. 18(2), pages 141-153, April.
- Gilboa, Itzhak & Schmeidler, David, 1986. "Maxmin Expected Utility with a Non-Unique Prior," Foerder Institute for Economic Research Working Papers 275405, Tel-Aviv University > Foerder Institute for Economic Research.
- Itzhak Gilboa & David Schmeidler, 1989. "Maxmin Expected Utility with Non-Unique Prior," Post-Print hal-00753237, HAL.
- Manganelli, Simone, 2021. "Statistical decision functions with judgment," Working Paper Series 2512, European Central Bank.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Yehuda Izhakian & Zur Izhakian, 2015. "Decision making in phantom spaces," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 58(1), pages 59-98, January.
- Dräger, Lena & Lamla, Michael J. & Pfajfar, Damjan, 2020.
"The Hidden Heterogeneity of Inflation and Interest Rate Expectations: The Role of Preferences,"
Hannover Economic Papers (HEP)
dp-666, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, revised Feb 2023.
- Lena Dräger & Michael J. Lamla & Damjan Pfajfar & Lena Dräger & Michael Lamla, 2022. "The Hidden Heterogeneity of Inflation and Interest Rate Expectations: The Role of Preferences," CESifo Working Paper Series 9637, CESifo.
- Lena Dräger & Michael J. Lamla & Damjan Pfajfar, 2021. "The Hidden Heterogeneity of Inflation and Interest Rate Expectations: The Role of Preferences," Working Paper Series in Economics 402, University of Lüneburg, Institute of Economics.
- Claudio Michelacci & Luigi Paciello, 2020.
"Ambiguous Policy Announcements,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 87(5), pages 2356-2398.
- Claudio Michelacci & Luigi Paciello, 2017. "Ambiguous Policy Announcements," EIEF Working Papers Series 1701, Einaudi Institute for Economics and Finance (EIEF), revised Dec 2017.
- Paciello, Luigi & Michelacci, Claudio, 2017. "Ambiguous Policy Announcements," CEPR Discussion Papers 11754, C.E.P.R. Discussion Papers.
- Maximilian Blesch & Philipp Eisenhauer, 2021. "Robust decision-making under risk and ambiguity," Papers 2104.12573, arXiv.org, revised Oct 2021.
- Strzalecki, Tomasz & Werner, Jan, 2011.
"Efficient allocations under ambiguity,"
Journal of Economic Theory, Elsevier, vol. 146(3), pages 1173-1194, May.
- Tomasz Strzalecki & Jan Werner, "undated". "Efficient Allocations under Ambiguity," Working Paper 8325, Harvard University OpenScholar.
- Strzalecki, Tomasz & Werner, Jan, 2011. "Efficient Allocations under Ambiguity," Scholarly Articles 11352637, Harvard University Department of Economics.
- Heyen, Daniel, 2018. "Ambiguity aversion under maximum-likelihood updating," LSE Research Online Documents on Economics 80342, London School of Economics and Political Science, LSE Library.
- Gonçalo Faria & João Correia-da-Silva, 2012.
"The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices,"
Annals of Finance, Springer, vol. 8(4), pages 507-531, November.
- Gonçalo Faria & João Correia-da-Silva, 2011. "The Price of Risk and Ambiguity in an Intertemporal General Equilibrium Model of Asset Prices," FEP Working Papers 399, Universidade do Porto, Faculdade de Economia do Porto.
- Ricardo J. Caballero & Arvind Krishnamurthy, 2008.
"Collective Risk Management in a Flight to Quality Episode,"
Journal of Finance, American Finance Association, vol. 63(5), pages 2195-2230, October.
- Ricardo J. Caballero & Arvind Krishnamurthy, 2007. "Collective Risk Management in a Flight to Quality Episode," NBER Working Papers 12896, National Bureau of Economic Research, Inc.
- Isaac Kleshchelski & Nicolas Vincent, 2007.
"Robust Equilibrium Yield Curves,"
Cahiers de recherche
08-02, HEC Montréal, Institut d'économie appliquée.
- Isaac Kleshchelski & Nicolas Vincent, 2009. "Robust Equilibrium Yield Curves," Cahiers de recherche 0907, CIRPEE.
- Nicolas Vincent & Isaac Kleshchelski, 2008. "Robust Equilibrium Yield Curves," 2008 Meeting Papers 486, Society for Economic Dynamics.
- Frick, Mira & Iijima, Ryota & Le Yaouanq, Yves, 2022.
"Objective rationality foundations for (dynamic) α-MEU,"
Journal of Economic Theory, Elsevier, vol. 200(C).
- Frick, Mira & Iijima, Ryota & Le Yaouanq, Yves, 2020. "Objective Rationality Foundations for (Dynamic) α-MEU," Rationality and Competition Discussion Paper Series 252, CRC TRR 190 Rationality and Competition.
- Aryal, Gaurab & Stauber, Ronald, 2014.
"A note on Kuhn’s Theorem with ambiguity averse players,"
Economics Letters, Elsevier, vol. 125(1), pages 110-114.
- Aryal, Gaurab & Stauber, Ronald, 2014. "A Note on Kuhn’s Theorem with Ambiguity Averse Players," MPRA Paper 57336, University Library of Munich, Germany.
- Gaurab Aryal & Ronald Stauber, 2014. "A Note on Kuhn's Theorem with Ambiguity Averse Players," Papers 1408.1022, arXiv.org, revised Aug 2014.
- Spyros Galanis & Christos A Ioannou & Stelios Kotronis, 2024.
"Information Aggregation Under Ambiguity: Theory and Experimental Evidence,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 91(6), pages 3423-3467.
- Galanis, S. & Ioannou, C. & Kotronis, S., 2019. "Information Aggregation Under Ambiguity: Theory and Experimental Evidence," Working Papers 20/05, Department of Economics, City University London.
- Spyros Galanis & Christos A. Ioannou & Stelios Kotronis, 2023. "Information Aggregation Under Ambiguity: Theory and Experimental Evidence," Department of Economics Working Papers 2023_04, Durham University, Department of Economics.
- Ricardo J. Caballero & Arvind Krishnamurthy, 2006. "Flight to Quality and Collective Risk Management," NBER Working Papers 12136, National Bureau of Economic Research, Inc.
- Dominiak, Adam & Tserenjigmid, Gerelt, 2022. "Ambiguity under growing awareness," Journal of Economic Theory, Elsevier, vol. 199(C).
- Claudio Michelacci & Luigi Paciello, 2020.
"Aggregate Risk or Aggregate Uncertainty? Evidence from UK Households,"
EIEF Working Papers Series
2006, Einaudi Institute for Economics and Finance (EIEF), revised Apr 2020.
- Paciello, Luigi & Michelacci, Claudio, 2020. "Aggregate Risk or Aggregate Uncertainty? Evidence from UK Households," CEPR Discussion Papers 14557, C.E.P.R. Discussion Papers.
- Marciano Siniscalchi, 2001. "Bayesian Updating for General Maxmin Expected Utility Preferences," Discussion Papers 1366, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Federica Ceron & Vassili Vergopoulos, 2020. "Recursive objective and subjective multiple priors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-02563318, HAL.
- Ilut, Cosmin & Saijo, Hikaru, 2021.
"Learning, confidence, and business cycles,"
Journal of Monetary Economics, Elsevier, vol. 117(C), pages 354-376.
- Hikaru Saijo & Cosmin Ilut, 2015. "Learning, Confidence, and Business Cycles," 2015 Meeting Papers 917, Society for Economic Dynamics.
- Hikaru Saijo & Cosmin Ilut, 2016. "Learning, Confidence and Business Cycle," 2016 Meeting Papers 664, Society for Economic Dynamics.
- Cosmin L. Ilut & Hikaru Saijo, 2016. "Learning, Confidence, and Business Cycles," NBER Working Papers 22958, National Bureau of Economic Research, Inc.
- Larry G. Epstein & Martin Schneider, 2008.
"Ambiguity, Information Quality, and Asset Pricing,"
Journal of Finance, American Finance Association, vol. 63(1), pages 197-228, February.
- Larry Epstein & Martin Schneider, 2004. "Ambiguity, Information Quality and Asset Pricing," RCER Working Papers 507, University of Rochester - Center for Economic Research (RCER).
- Larry Epstein & Martin Schneider, 2005. "Ambiguity, Information Quality and Asset Pricing," RCER Working Papers 519, University of Rochester - Center for Economic Research (RCER).
- Aaron Tornell, 2003. "Exchange Rate Anomalies Under Model Misspecification: A Mixed Optimal/Robust Approach (January 2003)," UCLA Economics Online Papers 266, UCLA Department of Economics.
More about this item
Keywords
ambiguity aversion; confidence intervals; hypothesis testing; statistical decision theory;All these keywords.
JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2023-03-20 (Econometrics)
- NEP-UPT-2023-03-20 (Utility Models and Prospect Theory)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ecb:ecbwps:20232786. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Official Publications (email available below). General contact details of provider: https://edirc.repec.org/data/emieude.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.