Template-Type: ReDIF-Paper 1.0
Author-Name: Kleibergen, F.R.
Author-Name-Last: Kleibergen
Author-Name-First: Frank
Author-Person: pkl31
Author-Name: Kleijn, R.H.
Author-Name-Last: Kleijn
Author-Name-First: Richard
Author-Name: Paap, R.
Author-Name-Last: Paap
Author-Name-First: Richard
Author-Person: ppa494
Title: The Bayesian Score Statistic
Abstract: We propose a novel Bayesian test under a (noninformative) Jeffreys’ prior specifica-  tion. We check whether the fixed scalar value of the so-called Bayesian Score Statistic  (BSS) under the null hypothesis is a plausible realization from its known and standard-  ized distribution under the alternative. Unlike highest posterior density regions the BSS  is invariant to reparameterizations. The BSS equals the posterior expectation of the  classical score statistic and it provides an exact test procedure, whereas classical tests  often rely on asymptotic results. Since the statistic is evaluated under the null hypothe-  sis it provides the Bayesian counterpart of diagnostic checking. This result extends the  similarity of classical sampling densities of maximum likelihood estimators and Bayesian  posterior distributions based on Jeffreys’ priors, towards score statistics. We illustrate  the BSS as a diagnostic to test for misspecification in linear and cointegration models.
Creation-Date: 2000-01-01
File-URL: https://repub.eur.nl/pub/18192/feweco20000428150947.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI 2000-16/A
Keywords: bayesian statistics
Handle: RePEc:ems:eureir:18192