Abstract
‘Bayesian econometrics’ consists of the tools of Bayesian statistics applicable to economic phenomena. The Bayesian paradigm interprets ‘probability’ as a measure of ‘uncertainty’ or ‘degree of belief’ associated with the occurrence of a particular uncertain event, given the available information and any accepted assumptions. It prescribes how an individual should act in the face of such uncertainty in order to avoid undesirable inconsistencies. The coherence of the Bayesian approach contrasts sharply with conventional statistical methods which sometimes advocate negative estimators of positive quantities to ensure unbiasedness, and confidence intervals which may be null or consist of the whole parameter space.
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Poirier, D.J. (2018). Bayesian Econometrics. In: The New Palgrave Dictionary of Economics. Palgrave Macmillan, London. https://doi.org/10.1057/978-1-349-95189-5_2754
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DOI: https://doi.org/10.1057/978-1-349-95189-5_2754
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