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

TL;DR

This paper critically discusses Gallant's 2015 reflections on constructing Bayesian priors from moment conditions, concluding that it does not provide a practical or justified inference principle.

Contribution

It offers a critical commentary on Gallant's approach, clarifying the limitations and lack of a workable principle for Bayesian inference from moment conditions.

Findings

Gallant's approach lacks a practical inference principle

The paper highlights the absence of a justified method for priors from moment conditions

It emphasizes the need for more robust foundations in Bayesian prior construction

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.