Bayesian evaluation of non-admissible conditioning

Mouchart, Michel;Scheihing, E.
(2004) Conference on the Recent Advances in Bayesian Econometrics — Location: Marseilles(France)

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  • Mouchart, MichelUCLouvain
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  • Scheihing, E.
    Author
Abstract
Virtually all econometric models are conditional models. Nevertheless many of such models lose information by involving non-admissible conditionings. In this article we analyse, from a Bayesian point of view, the problem of admissible conditioning. Next, we design a methodology to evaluate the loss of information when a non-admissible conditioning is used as an approximation of the exact posterior distribution. Considering the Fisher test as a case study we conclude that, in the usual situations of multinomial or of independent binomial samplings, conditioning on the two margins involves a loss of information which does not decrease when the sample size increases. (C) 2003 Elsevier B.V. All rights reserved.
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Mouchart, M., & Scheihing, E. (2004). Bayesian evaluation of non-admissible conditioning. Journal of Econometrics, 123(2), 283-306. https://doi.org/10.1016/j.jeconom.2003.12.006 (Original work published 2004)