A Bayesian Chi-squared test for hypothesis testing

• Main Authors: LI, Yong, LIU, Xiaobin, Jun YU
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2015
• Subjects: Bayes factor; Decision theory; EM algorithm; Lagrange multiplier; Markov chain Monte Carlo; Latent variable models; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/1862; https://ink.library.smu.edu.sg/context/soe_research/article/2862/viewcontent/9098005.pdf
• Institution: Singapore Management University

A new Bayesian test statistic is proposed to test a point null hypothesis based on a quadratic loss. The proposed test statistic may be regarded as the Bayesian version of the Lagrange multiplier test. Its asymptotic distribution is obtained based on a set of regular conditions and follows a chi-squ...