Some comments about A. Ronald Gallant's "Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference"

Abstract

This note is commenting on Ronald Gallant's (2015) reflections on the construction of Bayesian prior distributions from moment conditions. The main conclusion is that the paper does not deliver a working principle that could justify inference based on such priors.

6 pages, submitted to the Journal of Financial Econometrics for the discussion of Gallant (2015)