Arbeitspapier
Inference and decision for set identified parameters using posterior lower and upper probabilities
This paper develops inference and statistical decision for set-identified parameters from the robust Bayes perspective. When a model is set-identified, prior knowledge for model parameters is decomposed into two parts: the one that can be updated by data (revisable prior knowledge) and the one that never be updated (unrevisable prior knowledge.) We introduce a class of prior distributions that shares a single prior distribution for the revisable, but allows for arbitrary prior distributions for the unrevisable. A posterior inference procedure proposed in this paper operates on the resulting class of posteriors by focusing on the posterior lower and upper probabilities. We analyze point estimation of the set-identified parameters with applying the gamma-minimax criterion. We propose a robustified posterior credible region for the set-identified parameters by focusing on a contour set of the posterior lower probability. Our framework offers a procedure to eliminate set-identified nuisance parameters, and yields inference for the marginalized identified set. For an interval identified parameter case, we establish asymptotic equivalence of the lower probability inference to frequentist inference for the identified set.
- Language
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Englisch
- Bibliographic citation
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Series: cemmap working paper ; No. CWP16/11
- Classification
-
Wirtschaft
Hypothesis Testing: General
Statistical Simulation Methods: General
Single Equation Models; Single Variables: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions
- Subject
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Partial Identification
Bayesian Robustness
Belief Function
Imprecise Probability
Gamma-minimax
Random Set
- Event
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Geistige Schöpfung
- (who)
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Kitagawa, Toru
- Event
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Veröffentlichung
- (who)
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Centre for Microdata Methods and Practice (cemmap)
- (where)
-
London
- (when)
-
2011
- DOI
-
doi:10.1920/wp.cem.2011.1611
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Kitagawa, Toru
- Centre for Microdata Methods and Practice (cemmap)
Time of origin
- 2011
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