Posterior consistency of nonparametric conditional moment restricted models

DOI10.1214/11-AOS930zbMATH Open1246.62087MaRDI QIDQ449980FDOQ449980

Authors: Wenxin Jiang, Yuan Liao 

Publication date: 3 September 2012

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: This paper addresses the estimation of the nonparametric conditional moment restricted model that involves an infinite-dimensional parameter $g_0$. We estimate it in a quasi-Bayesian way, based on the limited information likelihood, and investigate the impact of three types of priors on the posterior consistency: (i) truncated prior (priors supported on a bounded set), (ii) thin-tail prior (a prior that has very thin tail outside a growing bounded set) and (iii) normal prior with nonshrinking variance. In addition, $g_0$ is allowed to be only partially identified in the frequentist sense, and the parameter space does not need to be compact. The posterior is regularized using a slowly growing sieve dimension, and it is shown that the posterior converges to any small neighborhood of the identified region. We then apply our results to the nonparametric instrumental regression model. Finally, the posterior consistency using a random sieve dimension parameter is studied.

Full work available at URL: https://arxiv.org/abs/1105.4847

Recommendations

• Quasi-Bayesian analysis of nonparametric instrumental variables models
• On posterior consistency in nonparametric regression problems
• Posterior consistency in conditional density estimation by covariate dependent mixtures
• Consistency of posterior distributions for heteroscedastic nonparametric regression models
• Bayesian analysis in moment inequality models

zbMATH Keywords

Bayesian inferenceregularizationill-posed problempartial identificationshrinkage prioridentified regionlimited information likelihoodnonparametric instrumental variablesieve approximation

Mathematics Subject Classification ID

Bayesian inference (62F15) Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20)

Cites Work

• scientific article; zbMATH DE number 3980216 (Why is no real title available?)
• scientific article; zbMATH DE number 3703310 (Why is no real title available?)
• scientific article; zbMATH DE number 46626 (Why is no real title available?)
• scientific article; zbMATH DE number 2143289 (Why is no real title available?)
• scientific article; zbMATH DE number 2148835 (Why is no real title available?)
• An IV Model of Quantile Treatment Effects
• An MCMC approach to classical estimation.
• Applied nonparametric instrumental variables estimation
• Bayesian analysis in moment inequality models
• Bayesian nonparametrics
• Convergence rates for posterior distributions and adaptive estimation
• Convergence rates of posterior distributions for non iid observations
• Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions
• Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals
• Empirical likelihood ratio confidence regions
• Estimation and Confidence Regions for Parameter Sets in Econometric Models
• GMM with Many Moment Conditions
• Gibbs posterior for variable selection in high-dimensional classification and data mining
• Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
• Inference in nonparametric instrumental variables with partial identification
• Information Theoretic Approaches to Inference in Moment Condition Models
• Instrumental Variable Estimation of Nonparametric Models
• Instrumental variable estimation of nonseparable models
• Instrumental variable methods for recovering continuous linear functionals
• Iterative regularisation in nonparametric instrumental regression
• Large Sample Properties of Generalized Method of Moments Estimators
• Limited information likelihood and Bayesian analysis
• Linear integral equations.
• Nonparametric Instrumental Variables Estimation of a Quantile Regression Model
• Nonparametric estimation of an instrumental regression: a quasi-Bayesian approach based on regularized posterior
• Nonparametric instrumental regression
• Nonparametric instrumental variable estimation of structural quantile effects
• Nonparametric methods for inference in the presence of instrumental variables
• Nonparametric regression using Bayesian variable selection
• On posterior consistency in nonparametric regression problems
• On rate optimality for ill-posed inverse problems in econometrics
• On the completeness condition in nonparametric instrumental problems
• Optimality for ill-posed problems under general source conditions
• Posterior consistency of Gaussian process prior for nonparametric binary regression
• Posterior consistency of nonparametric conditional moment restricted models
• Rates of convergence of posterior distributions.
• Regularization in Hilbert scales under general smoothing conditions
• Regularizing priors for linear inverse problems
• SOME IDENTIFICATION ISSUES IN NONPARAMETRIC LINEAR MODELS WITH ENDOGENOUS REGRESSORS
• Semi-Nonparametric IV Estimation of Shape-Invariant Engel Curves
• Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications
• Semiparametric least squares (SLS) and weighted SLS estimation of single-index models

Cited In (10)

• Moment conditions and Bayesian non-parametrics
• On oracle property and asymptotic validity of Bayesian generalized method of moments
• Posterior consistency of nonparametric conditional moment restricted models
• Nonparametric estimation of an instrumental regression: a quasi-Bayesian approach based on regularized posterior
• Gaussian Processes and Bayesian Moment Estimation
• Robust and optimal estimation for partially linear instrumental variables models with partial identification
• Quasi-Bayesian analysis of nonparametric instrumental variables models
• Semiparametric Bayes instrumental variable estimation with many weak instruments
• What are the limits of posterior distributions arising from nonidentified models, and why should we care?
• Regularizing priors for linear inverse problems

This page was built for publication: Posterior consistency of nonparametric conditional moment restricted models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q449980)