Comment on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference

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Date
2016
Dewey
Probabilités et mathématiques appliquées
Sujet
Bayesian statistics; prior distribution; coherence
Journal issue
Journal of Financial Econometrics
Volume
14
Number
2
Publication date
2016
Article pages
265-271
Publisher
Oxford University Press
DOI
http://dx.doi.org/10.1093/jjfinec/nbv005
URI
https://basepub.dauphine.fr/handle/123456789/16320
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Author
Robert, Christian P.
Type
Article accepté pour publication ou publié
Abstract (EN)
This note is commenting on Ronald Gallant’s (2015) reflections on the construction of Bayesian prior distributions from moment conditions. The main conclusion is that the paper does not deliver a working principle that could justify inference based on such priors.