Risk of Bayesian inference in misspecified models, and the sandwich covariance matrix
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Publication:2869956
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(33)- Bayesian bandwidth estimation for local linear fitting in nonparametric regression models
- Bayesian Inference Using Synthetic Likelihood: Asymptotics and Adjustments
- Quasi-Bayesian Inference for Production Frontiers
- A Simple Correction for Misspecification in Trend-Cycle Decompositions with an Application to Estimating r *
- A Bayesian Approach to Multiple-Output Quantile Regression
- Inference for misspecified models with fixed regressors
- Discussion: Should a Working Model Actually Work?
- Inference in linear regression models with many covariates and heteroscedasticity
- `Purposely misspecified' posterior inference on the volatility of a jump diffusion process
- Bayesian bandwidth estimation and semi-metric selection for a functional partial linear model with unknown error density
- A sandwich likelihood correction for Bayesian quantile regression based on the misspecified asymmetric Laplace density
- Variable selection in panel models with breaks
- A Bayesian ``sandwich for variance estimation
- Improved marginal likelihood estimation via power posteriors and importance sampling
- Moment conditions and Bayesian non-parametrics
- Model misspecification, Bayesian versus credibility estimation, and Gibbs posteriors
- Joint production in stochastic non-parametric envelopment of data with firm-specific directions
- Asymptotically valid Bayesian inference in the presence of distributional misspecification in VAR models
- Partially censored posterior for robust and efficient risk evaluation
- Approximate Bayesian computation using asymptotically normal point estimates
- Inconsistency of Bayesian inference for misspecified linear models, and a proposal for repairing it
- A Dirichlet process functional approach to heteroscedastic-consistent covariance estimation
- Bayesian regression with heteroscedastic error density and parametric mean function
- Bayesian estimation of the discrepancy with misspecified parametric models
- Fast Calibrated Additive Quantile Regression
- Selection of KL neighbourhood in robust Bayesian inference
- Specification tests based on MCMC output
- Posterior-based Wald-type statistics for hypothesis testing
- Classical \(p\)-values and the Bayesian posterior probability that the hypothesis is approximately true
- Bernstein-von Mises theorem and misspecified models: a review
- A non-linear forecast combination procedure for binary outcomes
- Local projections in unstable environments
- Bayesian regression with nonparametric heteroskedasticity
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