Bayesian Estimation and Comparison of Moment Condition Models

DOI10.1080/01621459.2017.1358172MaRDI QIDQ3121558zbMATH OpenOpenAlexFDO

Authors Siddhartha Chib, M. Shin, Anna Simoni

Publication date 20 March 2019

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1606.02931

zbMATH Keywords

Bernstein-von Mises theoremestimating equationsexponentially tilted empirical likelihoodmarginal likelihoodmisspecificationmodel selection consistency

Mathematics Subject Classification ID

Bayesian inference (62F15) Parametric inference under constraints (62F30) Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20)

Abstract: In this paper we consider the problem of inference in statistical models characterized by moment restrictions by casting the problem within the Exponentially Tilted Empirical Likelihood (ETEL) framework. Because the ETEL function has a well defined probabilistic interpretation and plays the role of a nonparametric likelihood, a fully Bayesian semiparametric framework can be developed. We establish a number of powerful results surrounding the Bayesian ETEL framework in such models. One major concern driving our work is the possibility of misspecification. To accommodate this possibility, we show how the moment conditions can be reexpressed in terms of additional nuisance parameters and that, even under misspecification, the Bayesian ETEL posterior distribution satisfies a Bernstein-von Mises result. A second key contribution of the paper is the development of a framework based on marginal likelihoods and Bayes factors to compare models defined by different moment conditions. Computation of the marginal likelihoods is by the method of Chib (1995) as extended to Metropolis-Hastings samplers in Chib and Jeliazkov (2001). We establish the model selection consistency of the marginal likelihood and show that the marginal likelihood favors the model with the minimum number of parameters and the maximum number of valid moment restrictions. When the models are misspecified, the marginal likelihood model selection procedure selects the model that is closer to the (unknown) true data generating process in terms of the Kullback-Leibler divergence. The ideas and results in this paper provide a further broadening of the theoretical underpinning and value of the Bayesian ETEL framework with likely far-reaching practical consequences. The discussion is illuminated through several examples.

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Cited in

(30)

• Bayesian estimation of state space models using moment conditions
• Limited information likelihood and Bayesian analysis
• Constrained estimation using penalization and MCMC
• The empirical saddlepoint estimator
• Asymptotically valid Bayesian inference in the presence of distributional misspecification in VAR models
• Regularization of Bayesian quasi-likelihoods constructed from complex estimating functions
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• Variable selection for categorical response: a comparative study
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• Gaussian Processes and Bayesian Moment Estimation
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