Li, Yong
[Verfasser:in]
;
LIU, Xiaobin
[Sonstige Person, Familie und Körperschaft];
Zeng, Tao
[Sonstige Person, Familie und Körperschaft];
Yu, Jun
[Sonstige Person, Familie und Körperschaft]
A Posterior-Based Wald-Type Statistic for Hypothesis Testing
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 11, 2018 erstellt
Beschreibung:
A new Wald-type statistic is proposed for hypothesis testing based on Bayesian posterior distributions. The new statistic can be explained as a posterior version of Wald test and have several nice properties. First, it is well-defined under improper prior distributions. Second, it avoids Jeffreys-Lindley's paradox. Third, under the null hypothesis and repeated sampling, it follows a χ2 distribution asymptotically, offering an asymptotically pivotal test. Fourth, it only requires inverting the posterior covariance for the parameters of interest. Fifth and perhaps most importantly, when a random sample from the posterior distribution (such as an MCMC output) is available, the proposed statistic can be easily obtained as a by-product of posterior simulation. In addition, the numerical standard error of the estimated proposed statistic can be computed based on the random sample. The finite sample performance of the statistic is examined in Monte Carlo studies. The method is applied to two latent variable models used in micro-econometrics and financial econometrics