Bayesian inference in a class of partially identified models

DSpace/Manakin Repository

Bayesian inference in a class of partially identified models

Citable link to this page

 

 
Title: Bayesian inference in a class of partially identified models
Author: Tamer, Elie; Kline, Brendan

Note: Order does not necessarily reflect citation order of authors.

Citation: Kline, Brendan, and Elie Tamer. 2016. “Bayesian Inference in a Class of Partially Identified Models.” Quantitative Economics 7 (2) (July): 329–366. Portico. doi:10.3982/qe399.
Full Text & Related Files:
Abstract: This paper develops a Bayesian approach to inference in a class of partially identified econometric models. Models in this class are characterized by a known mapping between a point identified reduced-form parameter µ, and the identified set for a partially identified parameter θ. The approach maps posterior inference about µ to various posterior inference statements concerning the identified set for θ, without the specification of a prior for θ. Many posterior inference statements are considered, including the posterior probability that a particular parameter value (or a set of parameter values) is in the identified set. The approach applies also to functions of θ. The paper develops general results on large sample approximations, which illustrate how the posterior probabilities over the identified set are revised by the data, and establishes conditions under which the Bayesian credible sets also are valid frequentist confidence sets. The approach is computationally attractive even in high-dimensional models, in that the approach avoids an exhaustive search over the parameter space. The performance of the approach is illustrated via Monte Carlo experiments and an empirical application to a binary entry game involving airlines.
Published Version: doi:10.3982/QE399
Terms of Use: This article is made available under the terms and conditions applicable to Open Access Policy Articles, as set forth at http://nrs.harvard.edu/urn-3:HUL.InstRepos:dash.current.terms-of-use#OAP
Citable link to this page: http://nrs.harvard.edu/urn-3:HUL.InstRepos:30780157
Downloads of this work:

Show full Dublin Core record

This item appears in the following Collection(s)

 
 

Search DASH


Advanced Search
 
 

Submitters