On Bayesian analysis and computation for functions with monotonicity and curvature restrictions

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Journal Article
Journal of Econometrics, 2008, 142 (1), pp. 484 - 507
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Our goal is inference for shape-restricted functions. Our functional form consists of finite linear combinations of basis functions. Prior elicitation is difficult due to the irregular shape of the parameter space. We show how to elicit priors that are flexible, theoretically consistent, and proper. We demonstrate that uniform priors over coefficients imply priors over economically relevant quantities that are quite informative and give an example of a non-uniform prior that addresses this issue. We introduce simulation methods that meet challenges posed by the shape of the parameter space. We analyze data from a consumer demand experiment. © 2007 Elsevier B.V. All rights reserved.
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