Estimation Under Ambiguity
Raffaella Giacomini (),
Toru Kitagawa () and
Harald Uhlig ()
Additional contact information
Toru Kitagawa: Institute for Fiscal Studies and University College London
No CWP24/19, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies
Abstract:
To perform Bayesian analysis of a partially identified structural model, two distinct approaches exist: standard Bayesian inference, which assumes a single prior for the structural parameters, including the non-identified ones; and multiple-prior Bayesian inference, which assumes full ambiguity for the non-identified parameters. The prior inputs considered by these two extreme approaches can often be a poor representation of the researcher’s prior knowledge in practice. This paper fills the large gap between the two approaches by proposing a multiple-prior Bayesian analysis that can simultaneously incorporate a probabilistic belief for the non-identified parameters and a concern about misspecification of this belief. Our proposal introduces a benchmark prior representing the researcher’s partially credible probabilistic belief for non-identified parameters, and a set of priors formed in its Kullback-Leibler (KL) neighborhood, whose radius controls the “degree of ambiguity.” We obtain point estimators and optimal decisions involving non-identified parameters by solving a conditional gamma-minimax problem, which we show is analytically tractable and easy to solve numerically. We derive the remarkably simple analytical properties of the proposed procedure in the limiting situations where the radius of the KL neighborhood and/or the sample size are large. Our procedure can also be used to perform global sensitivity analysis.
Date: 2019-05-28
New Economics Papers: this item is included in nep-ecm and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)
Downloads: (external link)
https://www.ifs.org.uk/uploads/CW2419_Estimation_Under_Ambiguity.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (https://www.ifs.org.uk/uploads/CW2419_Estimation_Under_Ambiguity.pdf [302 Found]--> https://ifs.org.uk/uploads/CW2419_Estimation_Under_Ambiguity.pdf)
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:ifs:cemmap:24/19
Ordering information: This working paper can be ordered from
The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE
Access Statistics for this paper
More papers in CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE. Contact information at EDIRC.
Bibliographic data for series maintained by Emma Hyman ().