DEPARTMENT OF STATISTICS
Statistics Colloquium
University of Connecticut
Storrs, Connecticut
The Department of Statistics Cordially invites you to a Colloquium
By
Professor A. Ronald Gallant
Professor of Economics
The Pennsylvania State University
Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference
ABSTRACT
An assertion derived from consideration of a structural model that moment functions comprised of data and the parameters of the model follow a distribution logically implies a distribution on the constituents of the moment functions. This fact would appear to permit Bayesian inference on model parameters. The classic example is an assertion that the sample mean centered at a parameter and scaled by its standard error has the Student-t distribution followed by an assertion that the sample mean plus and minus a critical value times the standard error is a Bayesian credibility interval for the parameter. This paper studies the logic of such assertions. The main finding is that if the moment functions have one of the properties of a pivotal, then the assertion of a distribution on moment functions coupled with a proper prior does permit Bayesian inference. Without the semi-pivotal condition, the assertion of a distribution for moment functions either partially or completely specifies the prior. In this case Bayesian inference may or may not be practicable depending on how much of the distribution of the constituents remains indeterminate after imposition of a non-contradictory prior. An asset pricing example that uses data from the US economy illustrates the ideas.
DATE: Wednesday, October 15, 2014
TIME: 4:00 p.m.
PLACE: Philip E. Austin Building – Room 105
Coffee will be served at 3:30 in room 326
For more information, contact: Tracy Burke at tracy.burke@uconn.edu