Plausible GMM: a quasi-bayesian approach

Victor Chernozhukov, Christian Hansen, Lingwei Kong and Weining Wang

No 14/25, CeMMAP working papers from Institute for Fiscal Studies

Abstract: Structural estimation in economics often makes use of models formulated in terms of moment conditions. While these moment conditions are generally well-motivated, it is often unknown whether the moment restrictions hold exactly. We consider a framework where researchers model their belief about the potential degree of misspecification via a prior distribution and adopt a quasi-Bayesian approach for performing inference on structural parameters. We provide quasi-posterior concentration results, verify that quasi-posteriors can be used to obtain approximately optimal Bayesian decision rules under the maintained prior structure over misspecification, and provide a form of frequentist coverage results. We illustrate the approach through empirical examples where we obtain informative inference for structural objects allowing for substantial relaxations of the requirement that moment conditions hold exactly.

Date: 2025-07-01
New Economics Papers: this item is included in nep-ecm and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:azt:cemmap:14/25

DOI: 10.47004/wp.cem.2025.1425

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