Economics at your fingertips  

Bayesian Inference for Econometric Models using Empirical Likelihood Functions

Frank Schorfheide () and Hyungsik Moon ()

No 284, Econometric Society 2004 North American Winter Meetings from Econometric Society

Abstract: Estimators based on moment conditions of the form E[g(X,t)], where t is a finite-dimensional parameter vector of interest, are a popular tool in applied econometrics. Unlike likelihood-based estimators, moment-based estimators do not require the researcher to specify the probability distribution of the random vector X in detail. While the use of inappropriate auxiliary assumptions about the distribution of X potentially leads to misspecification bias, reasonable distributional assumptions may improve the precision of the estimator substantially, in particular in small samples. Most Bayesian inference procedures in econometrics are based on fully specified parametric models. Empirical likelihood functions enable Bayesian inference with semiparametric models. We propose to combine an empirical likelihood function with a prior distribution to conduct Bayesian inference. A prior is constructed by completing the moment-based model with a probability distribution that satisfies the moment constraints. Heuristically, we augment the actual sample with artificial observations from a parametric completion. We examine the large-sample behavior of the posterior and develop Markov-Chain- Monte-Carlo methods to generate draws from the posterior and conduct small-sample inferences

Keywords: Empirical Likelihood; Bayesian Inference (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2004-08-11
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link) (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:

Access Statistics for this paper

More papers in Econometric Society 2004 North American Winter Meetings from Econometric Society Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum ().

Page updated 2019-08-20
Handle: RePEc:ecm:nawm04:284