CFDP Revision Date
Journal of Economic Literature (JEL) Code(s)
C31, D72, D82, D83, G28, L12, M41
We characterize the distributions of posterior quantiles under a given prior. Unlike the distributions of posterior means, which are known to be mean-preserving contractions of the prior, the distributions of posterior quantiles coincide with a first-order stochastic dominance interval bounded by an upper and a lower truncation of the prior. We apply this characterization to several environments, ranging across political economy, Bayesian persuasion, industrial organization, econometrics, finance, and accounting.
Yang, Kai Hao and Zentefis, Alexander K., "Distributions of Posterior Quantiles and Economic Applications" (2022). Cowles Foundation Discussion Papers. 2687.