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Statistical Inference as a Bargaining Game

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  • Eduardo Ley

    (IMF)

Abstract

This paper extends the analogy previously established by Leamer (1978a), between a Bayesian inference problem and an economics allocation problem, and shows that posterior modes can be interpreted as optimal outcomes of a bargaining game. This bargaining game, over a parameter value, is played between two players: the researcher, with preferences represented by the prior, and the data, with preferences represented by the likelihood.

Suggested Citation

  • Eduardo Ley, 2001. "Statistical Inference as a Bargaining Game," Econometrics 0110001, University Library of Munich, Germany, revised 13 Jan 2006.
    • Handle: RePEc:wpa:wuwpem:0110001
    Note: Forthcoming in Economics Letters.
    as

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    References listed on IDEAS

    as
    1. Nash, John, 1953. "Two-Person Cooperative Games," Econometrica, Econometric Society, vol. 21(1), pages 128-140, April.
    2. Sen, Amartya, 1970. "Interpersonal Aggregation and Partial Comparability," Econometrica, Econometric Society, vol. 38(3), pages 393-409, May.
    3. Crawford, Vincent P., 2002. "John Nash and the analysis of strategic behavior," Economics Letters, Elsevier, vol. 75(3), pages 377-382, May.
    4. Nash, John, 1950. "The Bargaining Problem," Econometrica, Econometric Society, vol. 18(2), pages 155-162, April.
    5. Walter N. Thurman & Tyler J. Fox & Tayler H. Bingham, 2001. "Imposing Smoothness Priors In Applied Welfare Economics: An Application Of The Information Contract Curve To Environmental Regulatory Analysis," The Review of Economics and Statistics, MIT Press, vol. 83(3), pages 511-522, August.
    6. Ray C. Fair, 1971. "The Optimal Distribution of Income," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 85(4), pages 551-579.
    7. Conley, John P. & Wilkie, Simon, 1996. "An Extension of the Nash Bargaining Solution to Nonconvex Problems," Games and Economic Behavior, Elsevier, vol. 13(1), pages 26-38, March.
    8. Ken Binmore, 1998. "Game Theory and the Social Contract - Vol. 2: Just Playing," MIT Press Books, The MIT Press, edition 1, volume 2, number 0262024446, April.
    9. Ken Binmore, 1994. "Game Theory and the Social Contract, Volume 1: Playing Fair," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262023636, April.
    10. Zellner, Arnold, 2002. "Information processing and Bayesian analysis," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 41-50, March.
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    More about this item

    Keywords

    Social Welfare Function; Social Information Function; Contract Curve; Nash bargaining solution; Bayesian Inference; Posterior Mode;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C7 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory

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