How to check whether significancy of posterior estimates

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How to check whether significancy of posterior estimates

Postby earsmall » Thu Jan 14, 2016 7:26 am

Hi, is there any ways to check whether estimated parameters (in my case, Bayesian DSGE estimation) are statistically significant?
According to dynare output, we can see t-statistics. I am not sure whether I just check them or not.
Also, I am confused of how they are computed given that we assume that each parameter follows distribution that is different from each other.
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Re: How to check whether significancy of posterior estimates

Postby jpfeifer » Thu Jan 14, 2016 9:51 am

Significance testing in the context of Bayesian estimation is not well defined. The highest posterior density interval will deliver you a "Bayesian confidence" interval in which the parameter lies.

Two additional remarks:
1. The t-statistics are only there after mode-finding and assume asymptotic normality.
2. If your prior assigns zero mass to a parameter being 0, it will by construction be "significantly different from 0"
------------
Johannes Pfeifer
University of Cologne
https://sites.google.com/site/pfeiferecon/
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