The New Palgrave Dictionary of Economics

2018 Edition
| Editors: Macmillan Publishers Ltd

Bayesian Econometrics

  • Dale J. Poirier
Reference work entry


‘Bayesian econometrics’ consists of the tools of Bayesian statistics applicable to economic phenomena. The Bayesian paradigm interprets ‘probability’ as a measure of ‘uncertainty’ or ‘degree of belief’ associated with the occurrence of a particular uncertain event, given the available information and any accepted assumptions. It prescribes how an individual should act in the face of such uncertainty in order to avoid undesirable inconsistencies. The coherence of the Bayesian approach contrasts sharply with conventional statistical methods which sometimes advocate negative estimators of positive quantities to ensure unbiasedness, and confidence intervals which may be null or consist of the whole parameter space.


Bayes, T Bayes’ theorem Bayesian econometrics Bernoulli, J Collinearity de Finetti, B Empirical Bayes analysis Exchangeability Expected subjective utility Extreme bounds analysis Frequentist statistics Good, I.J Hypothesis testing Interval estimation Jeffreys’ rule Laplace, P.S Likelihood principle Lindley, D Markov chain Monte Carlo methods Maximum likelihood Model building Objective probability Point estimation Prediction Probability Regression Representation theorem Savage, L. J Statistical inference Subjective probability Uncertainty 

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© Macmillan Publishers Ltd. 2018

Authors and Affiliations

  • Dale J. Poirier
    • 1
  1. 1.