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.
- Language
-
Englisch
- Bibliographic citation
-
Journal: Quantitative Economics ; ISSN: 1759-7331 ; Volume: 7 ; Year: 2016 ; Issue: 2 ; Pages: 329-366 ; New Haven, CT: The Econometric Society
- Classification
-
Wirtschaft
- Event
-
Geistige Schöpfung
- (who)
-
Kline, Brendan
Tamer, Elie
- Event
-
Veröffentlichung
- (who)
-
The Econometric Society
- (where)
-
New Haven, CT
- (when)
-
2016
- DOI
-
doi:10.3982/QE399
- 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
- Artikel
Associated
- Kline, Brendan
- Tamer, Elie
- The Econometric Society
Time of origin
- 2016
Other Objects (12)
Bayesian inference for partially identified convex models: Is it valid for frequentist inference?
Inference in partially identified heteroskedastic simultaneous equations models
Inference in partially identified heteroskedastic simultaneous equations models
Robust Bayesian inference for set-identified models
Robust Bayesian inference for set-identified models
Combinatorial approach to inference in partially identified incomplete structural models
Practical and theoretical advances in inference for partially identified models
Asymptotic properties for a class of partially identified models
Inference for functions of partially identified parameters in moment inequality models
Inference for functions of partially identified parameters in moment inequality models
Inference for functions of partially identified parameters in moment inequality models
Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity
Bayesian inference for partially identified convex models: Is it valid for frequentist inference?
Inference in partially identified heteroskedastic simultaneous equations models
Inference in partially identified heteroskedastic simultaneous equations models
Robust Bayesian inference for set-identified models
Robust Bayesian inference for set-identified models
Combinatorial approach to inference in partially identified incomplete structural models
Practical and theoretical advances in inference for partially identified models
Asymptotic properties for a class of partially identified models
Inference for functions of partially identified parameters in moment inequality models
Inference for functions of partially identified parameters in moment inequality models
Inference for functions of partially identified parameters in moment inequality models
Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity
Bayesian inference for partially identified convex models: Is it valid for frequentist inference?
Inference in partially identified heteroskedastic simultaneous equations models
Inference in partially identified heteroskedastic simultaneous equations models
Robust Bayesian inference for set-identified models
Robust Bayesian inference for set-identified models
Combinatorial approach to inference in partially identified incomplete structural models
Practical and theoretical advances in inference for partially identified models
Asymptotic properties for a class of partially identified models
Inference for functions of partially identified parameters in moment inequality models
Inference for functions of partially identified parameters in moment inequality models
Inference for functions of partially identified parameters in moment inequality models