An Agnostic Look at Bayesian Statistics and Econometrics

Abstract

Bayesians and non-Bayesians, often called frequentists, seem to be perpetually at loggerheads on fundamental questions of statistical inference. This paper takes as agnostic a stand as is possible for a practising frequentist, and tries to elicit a Bayesian answer to questions of interest to frequentists. The argument is based on my presentation at a debate organised by the Rimini Centre for Economic Analysis, between me as the frequentist `àdvocate'', and Christian Robert on the Bayesian side.Bayesian methods; bootstrap; Bahadur-Savage result