Economics Job Market Rumors Topic: How useful is Bayesian econometrics?
https://www.econjobrumors.com/topic/how-useful-is-bayesian-econometrics
Economics Job Market Rumors Topic: How useful is Bayesian econometrics?en-USMon, 30 Jan 2023 00:30:49 +0000http://bbpress.org/?v=1.0.2<![CDATA[Search]]>q
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Economist on "How useful is Bayesian econometrics?"
https://www.econjobrumors.com/topic/how-useful-is-bayesian-econometrics/page/5#post-8245306
Fri, 26 Aug 2022 16:34:41 +0000Economist8245306@https://www.econjobrumors.com/<blockquote><blockquote>If parameters have infinite dimensions, frequentist methods completely collapse. You can't compare it to Bayesian methods, because there is nothing to compare it to.
</p></blockquote>
<p>Are you drunk? Have you ever picked up book on non-parametric inference?
</p></blockquote>
<p><a href="https://doi.org/10.1016/S0304-4076(99)00044-5" rel="nofollow">https://doi.org/10.1016/S0304-4076(99)00044-5</a>
</p>Economist on "How useful is Bayesian econometrics?"
https://www.econjobrumors.com/topic/how-useful-is-bayesian-econometrics/page/5#post-8245128
Fri, 26 Aug 2022 15:39:49 +0000Economist8245128@https://www.econjobrumors.com/<blockquote><blockquote>
<blockquote>Under regularity conditions, if the parameters have a finite dimension then the Bayesian posteriors asymptotically shrink to the maximum likelihood estimator, and therefore to the parameter of interest. Moreover, any centrality measure of the posterior (conditional mean, or mode) has the same asymptotic distribution as maximum likelihood. In practice, there is absolutely no advantage in one over another, they work the same. Any other statement is just cheap talk of illiterate people.<br />
However, if the parameters have infinite dimension (a nonparametric curve modeled by sieves), Bayesian estimators can have important failures (inconsistent), there are well known examples, and only in some specific cases the Bayesian nonparametric estimators work well.</p></blockquote>
<p>Agree with second paragraph. Disagree with first paragraph. Bayesian and frequentist methods can have dramatically different finite sample behavior - and in real life N is finite. Quoting a bunch of asymptotic results is sweeping this fact under the rug.
</p></blockquote>
<p>If parameters have infinite dimensions, frequentist methods completely collapse. You can't compare it to Bayesian methods, because there is nothing to compare it to.
</p></blockquote>
<p>Are you drunk? Have you ever picked up book on non-parametric inference?
</p>Economist on "How useful is Bayesian econometrics?"
https://www.econjobrumors.com/topic/how-useful-is-bayesian-econometrics/page/5#post-8244894
Fri, 26 Aug 2022 14:17:44 +0000Economist8244894@https://www.econjobrumors.com/<blockquote><blockquote>Under regularity conditions, if the parameters have a finite dimension then the Bayesian posteriors asymptotically shrink to the maximum likelihood estimator, and therefore to the parameter of interest. Moreover, any centrality measure of the posterior (conditional mean, or mode) has the same asymptotic distribution as maximum likelihood. In practice, there is absolutely no advantage in one over another, they work the same. Any other statement is just cheap talk of illiterate people.<br />
However, if the parameters have infinite dimension (a nonparametric curve modeled by sieves), Bayesian estimators can have important failures (inconsistent), there are well known examples, and only in some specific cases the Bayesian nonparametric estimators work well.</p></blockquote>
<p>Agree with second paragraph. Disagree with first paragraph. Bayesian and frequentist methods can have dramatically different finite sample behavior - and in real life N is finite. Quoting a bunch of asymptotic results is sweeping this fact under the rug.
</p></blockquote>
<p>If parameters have infinite dimensions, frequentist methods completely collapse. You can't compare it to Bayesian methods, because there is nothing to compare it to.
</p>Economist on "How useful is Bayesian econometrics?"
https://www.econjobrumors.com/topic/how-useful-is-bayesian-econometrics/page/5#post-8243756
Fri, 26 Aug 2022 02:21:07 +0000Economist8243756@https://www.econjobrumors.com/<blockquote><p>Under regularity conditions, if the parameters have a finite dimension then the Bayesian posteriors asymptotically shrink to the maximum likelihood estimator, and therefore to the parameter of interest. Moreover, any centrality measure of the posterior (conditional mean, or mode) has the same asymptotic distribution as maximum likelihood. In practice, there is absolutely no advantage in one over another, they work the same. Any other statement is just cheap talk of illiterate people.</p>
<p>However, if the parameters have infinite dimension (a nonparametric curve modeled by sieves), Bayesian estimators can have important failures (inconsistent), there are well known examples, and only in some specific cases the Bayesian nonparametric estimators work well.</p></blockquote>
<p>Agree with second paragraph. Disagree with first paragraph. Bayesian and frequentist methods can have dramatically different finite sample behavior - and in real life N is finite. Quoting a bunch of asymptotic results is sweeping this fact under the rug.
</p>Economist on "How useful is Bayesian econometrics?"
https://www.econjobrumors.com/topic/how-useful-is-bayesian-econometrics/page/5#post-8243673
Fri, 26 Aug 2022 01:35:53 +0000Economist8243673@https://www.econjobrumors.com/<blockquote><p>I'm the OP. I cannot believe the thread has made it so far. Wow.
</p></blockquote>
<p>Thank you for your service
</p>Economist on "How useful is Bayesian econometrics?"
https://www.econjobrumors.com/topic/how-useful-is-bayesian-econometrics/page/5#post-8238047
Wed, 24 Aug 2022 04:17:30 +0000Economist8238047@https://www.econjobrumors.com/<p>I'm the OP. I cannot believe the thread has made it so far. Wow.
</p>Economist on "How useful is Bayesian econometrics?"
https://www.econjobrumors.com/topic/how-useful-is-bayesian-econometrics/page/5#post-8238040
Wed, 24 Aug 2022 04:16:18 +0000Economist8238040@https://www.econjobrumors.com/<blockquote><p>Hierarchical bayes, once you substitute all the nested linear models for the beta parameters, end up as a standard linear model for the observed variables where you get very convoluted error structures, that introduce a lot of structure about the unobservable shock of the model, essentially a very complex random effect specification. This affects mostly to the efficiency, and if you are wrong you take the risk to get a very bad estimation. By contrast a fixed-effect OLS approach is simple and consistent (better from the Occam Razor perspective)</p></blockquote>Economist on "How useful is Bayesian econometrics?"
https://www.econjobrumors.com/topic/how-useful-is-bayesian-econometrics/page/5#post-8139593
Fri, 22 Jul 2022 15:13:30 +0000Economist8139593@https://www.econjobrumors.com/<p><a href="https://doi.org/10.1017/S0266466600008719" rel="nofollow">https://doi.org/10.1017/S0266466600008719</a></p>
<blockquote><p>Really? What can bayes add to TS that unit root testing, Granger Causality, and cointegration cannot answer?</p>
<blockquote><p>Depends. Useful for macro (time series + estimation of DSGE models) but other fields are not much into bayesian stuff.</blockquote></blockquote>Economist on "How useful is Bayesian econometrics?"
https://www.econjobrumors.com/topic/how-useful-is-bayesian-econometrics/page/5#post-7233856
Fri, 15 Oct 2021 01:48:30 +0000Economist7233856@https://www.econjobrumors.com/<blockquote><p>Also when the parameter space is large, classical techniques based on optimization are difficult to implement.
</p></blockquote>
<p>Lasso?
</p>Economist on "How useful is Bayesian econometrics?"
https://www.econjobrumors.com/topic/how-useful-is-bayesian-econometrics/page/5#post-7233846
Fri, 15 Oct 2021 01:46:18 +0000Economist7233846@https://www.econjobrumors.com/<p>Also when the parameter space is large, classical techniques based on optimization are difficult to implement.
</p>