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

Robert, Christian P. (2016), Comment on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference, Journal of Financial Econometrics, 14, 2, p. 265-271. 10.1093/jjfinec/nbv005

Type
Article accepté pour publication ou publié
Date
2016
Journal name
Journal of Financial Econometrics
Volume
14
Number
2
Publisher
Oxford University Press
Pages
265-271
Publication identifier
Metadata
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Author(s)
Robert, Christian P.
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.
Subjects / Keywords
Bayesian statistics; prior distribution; coherence