Econometrica

Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Econometrica: Jul, 1992, Volume 60, Issue 4

Bayesian Elicitation Diagnostics

https://doi.org/0012-9682(199207)60:4<919:BED>2.0.CO;2-V
p. 919-942

Edward E. Leamer

An elicitation diagnostic forms a question that compares the information in the prior distribution with the information in the given sample. One elicitation diagnostic identifies a family of prior distributions that are so diffuse that they are practically equivalent to the "completely" diffuse prior. Another elicitation diagnostic identifies a family of prior distributions that concentrate enough mass in the neighborhood of zero that they are practically equivalent to the dogmatic prior which sets a parameter exactly equal to zero. The question that is asked is whether the subject's prior distribution falls in either of these two classes. If an affirmative answer can be given to either of these two elicitation questions then there is no need to go to the expense of a more accurate elicitation of the prior distribution.


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