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
TypeArticle accepté pour publication ou publié
Journal nameJournal of Financial Econometrics
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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 / KeywordsBayesian statistics; prior distribution; coherence
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