Optimal decision rules for weak GMM

DOI10.3982/ECTA18678MaRDI QIDQ5087310zbMATH OpenOpenAlexFDO

Authors Isaiah Andrews, Anna Mikusheva

Publication date 11 July 2022

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2007.04050

zbMATH Keywords

limit experimentnonlinear GMMquasi-Bayesweak identification

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Parametric hypothesis testing (62F03) Parametric tolerance and confidence regions (62F25) Applications of statistics to economics (62P20) Decision theory (91B06)

Abstract: This paper studies optimal decision rules, including estimators and tests, for weakly identified GMM models. We derive the limit experiment for weakly identified GMM, and propose a theoretically-motivated class of priors which give rise to quasi-Bayes decision rules as a limiting case. Together with results in the previous literature, this establishes desirable properties for the quasi-Bayes approach regardless of model identification status, and we recommend quasi-Bayes for settings where identification is a concern. We further propose weighted average power-optimal identification-robust frequentist tests and confidence sets, and prove a Bernstein-von Mises-type result for the quasi-Bayes posterior under weak identification.

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Cited in

(6)

• Locally robust inference for non-Gaussian linear simultaneous equations models
• Statistical decision functions with judgment
• A general diagnostic of the normal approximation in GMM models
• Double robust Bayesian inference on average treatment effects
• Efficiency bounds for moment condition models with mixed identification strength
• Large sample justifications for the Bayesian empirical likelihood

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