EconPapers    
Economics at your fingertips  
 

Bayesian and Frequentist Inference in Partially Identified Models

Hyungsik Moon () and Frank Schorfheide ()

No 14882, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: A large sample approximation of the posterior distribution of partially identified structural parameters is derived for models that can be indexed by a finite-dimensional reduced form parameter vector. It is used to analyze the differences between frequentist confidence sets and Bayesian credible sets in partially identified models. A key difference is that frequentist set estimates extend beyond the boundaries of the identified set (conditional on the estimated reduced form parameter), whereas Bayesian credible sets can asymptotically be located in the interior of the identified set. Our asymptotic approximations are illustrated in the context of simple moment inequality models and a numerical illustration for a two-player entry game is provided.

JEL-codes: C11 C32 C35 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba and nep-ecm
Date: 2009-04
Note: EFG ME
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed

Published as Hyungsik Roger Moon & Frank Schorfheide, 2012. "Bayesian and Frequentist Inference in Partially Identified Models," Econometrica, Econometric Society, vol. 80(2), pages 755-782, 03.

Downloads: (external link)
http://www.nber.org/papers/w14882.pdf (application/pdf)

Related works:
Journal Article: Bayesian and Frequentist Inference in Partially Identified Models (2012) Downloads
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:nbr:nberwo:14882

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w14882

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().

 
Page updated 2019-08-20
Handle: RePEc:nbr:nberwo:14882