Article

Exchangeability, Representation Theorems, and Subjectivity

Dale J. Poirier

in The Oxford Handbook of Bayesian Econometrics

Published in print September 2011 | ISBN: 9780199559084
Published online November 2012 | | DOI: http://dx.doi.org/10.1093/oxfordhb/9780199559084.013.0003

Series: Oxford Handbooks in Economics

Exchangeability, Representation Theorems, and Subjectivity

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This article is concerned with the foundation of statistical inference in the representation theorems. It shows how different assumptions about the joint distribution of the observable data lead to different parametric models defined by prior and likelihood function. Parametric models arise as an implication of the assumptions about observables. The article presents many extensions and offers description of the subjectivist attitude that underlies much of Bayesian econometrics. This subjectivist interpretation is close to probability. This article discusses exchangeability as the foundation for Bayesian econometrics. It serves as the basis for further extensions to incorporate heterogeneity and dependency across observations. It also discusses representation theorems involving random variables more complicated than Bernoulli random variables. They are not true properties of reality but are useful for making inferences regarding future observables.

Keywords: statistical inference; parametric models; observables; exchangeability; Bayesian econometrics

Article.  9128 words. 

Subjects: Economics ; Econometric and Statistical Methods and Methodology: General

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