Artikel

Bayesian inference in a class of partially identified models

This paper develops a Bayesian approach to inference in a class of partially identified econometric models. Models in this class are characterized by a known mapping between a point identified reduced-form parameter μ and the identified set for a partially identified parameter θ. The approach maps posterior inference about μ to various posterior inference statements concerning the identified set for θ, without the specification of a prior for θ. Many posterior inference statements are considered, including the posterior probability that a particular parameter value (or a set of parameter values) is in the identified set. The approach applies also to functions of θ. The paper develops general results on large sample approximations, which illustrate how the posterior probabilities over the identified set are revised by the data, and establishes conditions under which the Bayesian credible sets also are valid frequentist confidence sets. The approach is computationally attractive even in high-dimensional models, in that the approach avoids an exhaustive search over the parameter space. The performance of the approach is illustrated via Monte Carlo experiments and an empirical application to a binary entry game involving airlines.

Sprache
Englisch

Erschienen in
Journal: Quantitative Economics ; ISSN: 1759-7331 ; Volume: 7 ; Year: 2016 ; Issue: 2 ; Pages: 329-366 ; New Haven, CT: The Econometric Society

Klassifikation
Wirtschaft

Ereignis
Geistige Schöpfung
(wer)
Kline, Brendan
Tamer, Elie
Ereignis
Veröffentlichung
(wer)
The Econometric Society
(wo)
New Haven, CT
(wann)
2016

DOI
doi:10.3982/QE399
Handle
Letzte Aktualisierung
10.03.2025, 11:43 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Artikel

Beteiligte

  • Kline, Brendan
  • Tamer, Elie
  • The Econometric Society

Entstanden

  • 2016

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