Illustrating the Implicit BIC Prior
9 Pages Posted: 29 Jun 2013
Date Written: June 28, 2013
I show how to find the uniform prior implicit in using the Bayesian Information Criterion to consider a hypothesis about a single normally distributed parameter. The ratio of the width of the implicit prior to the standard deviation of the parameter estimate is sqrt(2*pi*n) for large samples.
Keywords: Bayesian Information Criterion, BIC, priors
JEL Classification: C11
Suggested Citation: Suggested Citation