An alternative quasi likelihood approach, Bayesian analysis and data-based inference for model specification

DOI10.1016/J.JECONOM.2013.08.012MaRDI QIDQ2512604zbMATH OpenOpenAlexFDO

Authors Jae-Young Kim

Publication date 7 August 2014

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2013.08.012

zbMATH Keywords

Bayesian methodslarge sample correspondencelimited informationmodel misspecificationmodel selectionquasi likelihoodsandwich covariance

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Bayesian inference (62F15) Asymptotic properties of nonparametric inference (62G20)

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Cited in

(6)

• Quasi-Bayesian model selection
• On oracle property and asymptotic validity of Bayesian generalized method of moments
• Rejoinder
• Quasi-Bayesian estimation and inference with control functions
• Quasi Bayesian likelihood
• A sandwich likelihood correction for Bayesian quantile regression based on the misspecified asymmetric Laplace density

Describes a project that uses

Uses Software

• BayesDA

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