comments on reflections

I just arXived my comments about A. Ronald Gallant’s “Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference”, capitalising on the three posts I wrote around the discussion talk I gave at the 6th French Econometrics conference last year. Nothing new there, except that I may get a response from Ron Gallant as this is submitted as a discussion of his related paper in Journal of Financial Econometrics. While my conclusion is rather negative, I find the issue of setting prior and model based on a limited amount of information of much interest, with obvious links with ABC, empirical likelihood and other approximation methods.