Generalized Bayes in Conditional Moment Restriction Models
Fuente:
arXiv
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| Autor principal: | |
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| Formato: | Preprint |
| Publicado: |
2025
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| Acceso en línea: | |
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| _version_ | 1866911187939098624 |
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| author | Kankanala, Sid |
| author_facet | Kankanala, Sid |
| contents | This paper develops a generalized (quasi-) Bayes framework for conditional moment restriction models, where the parameter of interest is a nonparametric structural function of endogenous variables. We establish contraction rates for a class of Gaussian process priors and provide conditions under which a Bernstein-von Mises theorem holds for the quasi-Bayes posterior. Consequently, we show that optimally weighted quasi-Bayes credible sets achieve exact asymptotic frequentist coverage, extending classical results for parametric GMM models. As an application, we estimate firm-level production functions using Chilean plant-level data. Simulations illustrate the favorable performance of generalized Bayes estimators relative to common alternatives. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2510_01036 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Generalized Bayes in Conditional Moment Restriction Models Kankanala, Sid Econometrics Statistics Theory 62G05, 62P20, 62C10 This paper develops a generalized (quasi-) Bayes framework for conditional moment restriction models, where the parameter of interest is a nonparametric structural function of endogenous variables. We establish contraction rates for a class of Gaussian process priors and provide conditions under which a Bernstein-von Mises theorem holds for the quasi-Bayes posterior. Consequently, we show that optimally weighted quasi-Bayes credible sets achieve exact asymptotic frequentist coverage, extending classical results for parametric GMM models. As an application, we estimate firm-level production functions using Chilean plant-level data. Simulations illustrate the favorable performance of generalized Bayes estimators relative to common alternatives. |
| title | Generalized Bayes in Conditional Moment Restriction Models |
| topic | Econometrics Statistics Theory 62G05, 62P20, 62C10 |
| url | https://arxiv.org/abs/2510.01036 |