Econometrica: Jul 1992, Volume 60, Issue 4
Bayesian Elicitation Diagnostics
Edward E. LeamerAn elicitation diagnostic forms a question that compares the information in the prior distribution with the information in the given sample. One elicitation diagnostic identifies a family of prior distributions that are so diffuse that they are practically equivalent to the "completely" diffuse prior. Another elicitation diagnostic identifies a family of prior distributions that concentrate enough mass in the neighborhood of zero that they are practically equivalent to the dogmatic prior which sets a parameter exactly equal to zero. The question that is asked is whether the subject's prior distribution falls in either of these two classes. If an affirmative answer can be given to either of these two elicitation questions then there is no need to go to the expense of a more accurate elicitation of the prior distribution.
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