A posterior-based Wald-type statistic for hypothesis testing

A posterior-based Wald-type statistic for hypothesis testing

A new Wald-type statistic is proposed for hypothesis testing based on Bayesian posterior distributions under the correct model specification. The new statistic can be explained as a posterior version of the Wald statistic and has several nice properties. First, it is well-defined under improper prio...

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Bibliographic Details
Main Authors: LI, Yong, LIU, Xiaobin, ZENG, Tao, YU, Jun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2022
Subjects:
Decision theory
Hypothesis testing
Latent variable models
Posterior simulation
Wald test.
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2172
https://ink.library.smu.edu.sg/context/soe_research/article/3172/viewcontent/ABT33_.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/2172
https://ink.library.smu.edu.sg/context/soe_research/article/3172/viewcontent/ABT33_.pdf

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