comments on reflections

La Défense and Maison-Lafitte from my office, Université Paris-Dauphine, Nov. 05, 2011I 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.

One Response to “comments on reflections”

  1. I’m curious. Do you think that a rigorous version of this sort of construction is possible? I know that a lot of people (David Draper, for example) are hunting for these sort of optimal Bayes specifications, but I’m uncertain about the scope. (For instance, if things are exchangeable, Draper has a very good solution, but outside of that, I’m not sure if there’s enough mathematical structure to do that sort of thing).

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