An Agnostic Look at Bayesian Statistics and Econometrics

Russell Davidson (1, 2)

1 GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille
2 McGill University = Université McGill [Montréal, Canada]

Bayesians and non-Bayesians, often called frequentists, seem to be perpetually at loggerheads on fundamental questions of statistical inference. This paper takes as agnostic a stand as is possible for a practising frequentist, and tries to elicit a Bayesian answer to questions of interest to frequentists. The argument is based on my presentation at a debate organised by the Rimini Centre for Economic Analysis, between me as the frequentist `àdvocate'', and Christian Robert on the Bayesian side.

Mots clés: Bayesian methods; bootstrap; Bahadur-Savage result

Domaines: Economies et finances

Russell Davidson. An Agnostic Look at Bayesian Statistics and Econometrics. 2010. ⟨halshs-00541163⟩