Data-dependent probability matching priors for empirical and related likelihoods

Abstract: We consider a general class of empirical-type likelihoods and develop higher order asymptotics with a view to characterizing members thereof that allow the existence of possibly data-dependent probability matching priors ensuring approximate frequentist validity of posterior quantiles. In particular, for the usual empirical likelihood, positive results are obtained. This is in contrast with what happens if only data-free priors are entertained.