Inference in Partially Identified Models PDF Download
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Author: Herman B. Leonard
Publisher:
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Category :
Languages : en
Pages :
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Author: Herman B. Leonard
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Azeem M. Shaikh
Publisher:
ISBN:
Category :
Languages : en
Pages : 194
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Author: Federico Andrés Bugni
Publisher:
ISBN:
Category :
Languages : en
Pages : 246
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Author: Paul Gustafson
Publisher: CRC Press
ISBN: 1439869405
Category : Mathematics
Languages : en
Pages : 196
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Book Description
Bayesian Inference for Partially Identified Models: Exploring the Limits of Limited Data shows how the Bayesian approach to inference is applicable to partially identified models (PIMs) and examines the performance of Bayesian procedures in partially identified contexts. Drawing on his many years of research in this area, the author presents a thorough overview of the statistical theory, properties, and applications of PIMs. The book first describes how reparameterization can assist in computing posterior quantities and providing insight into the properties of Bayesian estimators. It next compares partial identification and model misspecification, discussing which is the lesser of the two evils. The author then works through PIM examples in depth, examining the ramifications of partial identification in terms of how inferences change and the extent to which they sharpen as more data accumulate. He also explains how to characterize the value of information obtained from data in a partially identified context and explores some recent applications of PIMs. In the final chapter, the author shares his thoughts on the past and present state of research on partial identification. This book helps readers understand how to use Bayesian methods for analyzing PIMs. Readers will recognize under what circumstances a posterior distribution on a target parameter will be usefully narrow versus uselessly wide.
Author: Gustavo Soares
Publisher:
ISBN:
Category :
Languages : en
Pages : 228
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Author:
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Category :
Languages : en
Pages :
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Author: Paul Gustafson
Publisher: CRC Press
ISBN: 9780367570538
Category : Bayesian statistical decision theory
Languages : en
Pages : 196
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Book Description
This book shows how the Bayesian approach to inference is applicable to partially identified models (PIMs) and examines the performance of Bayesian procedures in partially identified contexts. Drawing on his many years of research in this area, the author presents a thorough overview of the statistical theory, properties, and applications of PIM
Author: Joseph P. Romano
Publisher:
ISBN:
Category :
Languages : en
Pages : 41
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Author: Frank Schorfheide
Publisher:
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Category : Economics
Languages : en
Pages : 34
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Book Description
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.
Author: Hyungsik Roger Moon
Publisher:
ISBN:
Category :
Languages : en
Pages : 36
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Book Description
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.
