The Large Sample Correspondence Between Classical Hypothesis Tests and Bayesian Posterior Odds Tests

Authors

Donald W.K. Andrews

Document Type

Discussion Paper

Publication Date

11-1-1992

CFDP Number

1035

CFDP Pages

40

Abstract

This paper establishes a correspondence in large samples between classical hypothesis tests and Bayesian posterior odds tests for models without trends. More specifically, tests of point null hypotheses and one- or two-sided alternatives are considered (where nuisance parameters may be present under both hypotheses). It is shown that for certain priors the Bayesian posterior odds test is equivalent in large samples to classical Wald, Lagrange multiplier, and likelihood ratio tests for some significance level and vice versa.

Recommended Citation

Andrews, Donald W.K., "The Large Sample Correspondence Between Classical Hypothesis Tests and Bayesian Posterior Odds Tests" (1992). Cowles Foundation Discussion Papers. 1278.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/1278