Plausible GMM: A Quasi-Bayesian Approach

Victor Chernozhukov, Christian B. Hansen, Lingwei King and Weining Wang

Bristol Economics Discussion Papers from School of Economics, University of Bristol, UK

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 quasiposterior 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: 2025-04-02
New Economics Papers: this item is included in nep-ets
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.bristol.ac.uk/efm/media/workingpapers/w ... pdffiles/dp25817.pdf (application/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:bri:uobdis:25/817

Access Statistics for this paper

More papers in Bristol Economics Discussion Papers from School of Economics, University of Bristol, UK
Bibliographic data for series maintained by Vicky Jackson ().