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Posterior distribution of nondifferentiable functions

Toru Kitagawa, José Luis Montiel Olea, Jonathan Payne and Amilcar Velez Salamanca ()

Journal of Econometrics, 2020, vol. 217, issue 1, 161-175

Abstract: This paper examines the asymptotic behavior of the posterior distribution of a possibly nondifferentiable function g(θ), where θ is a finite-dimensional parameter of either a parametric or semiparametric model. The main assumption is that the distribution of a suitable estimator θ̂n, its bootstrap approximation, and the Bayesian posterior for θ all agree asymptotically.

Keywords: Bootstrap; Bernstein–von Mises theorem; Directional differentiability; Posterior inference (search for similar items in EconPapers)
Date: 2020
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Working Paper: Posterior Distribution of Nondifferentiable Functions (2019) Downloads
Working Paper: Posterior distribution of nondifferentiable functions (2019) Downloads
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DOI: 10.1016/j.jeconom.2019.10.009

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