Monday, January 23, 2017

Bayes Stifling Creativity?

Some twenty years ago, a leading Bayesian econometrician startled me during an office visit at Penn. We were discussing Bayesian vs. frequentist approaches to a few things, when all of a sudden he declared that "There must be something about Bayesian analysis that stifles creativity.  It seems that frequentists invent all the great stuff, and Bayesians just trail behind, telling them how to do it right".

His characterization rings true in certain significant respects, which is why it's so funny.  But the intellectually interesting thing is that it doesn't have to be that way.  As Chris Sims notes in a recent communication: 
... frequentists are in the habit of inventing easily computed, intuitively appealing estimators and then deriving their properties without insisting that the method whose properties they derive is optimal.  ... Bayesians are more likely to go from model to optimal inference, [but] they don't have to, and [they] ought to work more on Bayesian analysis of methods based on conveniently calculated statistics.

See Chris' thought-provoking unpublished paper draft, "Understanding Non-Bayesians". 

[As noted on Chris' web site, he wrote that paper for the Oxford University Press Handbook of Bayesian Econometrics, but he "withheld [it] from publication there because of the Draconian copyright agreement that OUP insisted on --- forbidding posting even a late draft like this one on a personal web site."]