Semi-Parametric Bayesian Partially Identified Models Based on Support Function
نویسندگان
چکیده
منابع مشابه
Semi-parametric Bayesian Partially Identified Models based on Support Function*
We provide a comprehensive semi-parametric study of Bayesian partially identified econometric models. While the existing literature on Bayesian partial identification has mostly focused on the structural parameter, our primary focus is on Bayesian credible sets (BCS’s) of the unknown identified set and the posterior distribution of its support function. We construct a (two-sided) BCS based on t...
متن کاملec 2 01 2 Semi - parametric Bayesian Partially Identified Models based on Support Function ∗
Bayesian partially identified models have received a growing attention in recent years in the econometric literature, due to their broad applications in empirical studies. Classical Bayesian approach in this literature has been assuming a parametric model, by specifying an ad-hoc parametric likelihood function. However, econometric models usually only identify a set of moment inequalities, and ...
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متن کاملBayesian 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 s...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2012
ISSN: 1556-5068
DOI: 10.2139/ssrn.2189030