Robust Bayesian inference for set-identified models

DOI10.3982/ECTA16773MaRDI QIDQ5020495zbMATH OpenOpenAlexFDO

Authors Raffaella Giacomini, Toru Kitagawa

Publication date 6 January 2022

Published in Econometrica (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.3982/ecta16773

zbMATH Keywords

asymptotic coverageconsistencycredible regionidentified setidentifying restrictionsimpulse-response analysismultiple priors

Mathematics Subject Classification ID

Bayesian inference (62F15) Robustness and adaptive procedures (parametric inference) (62F35)

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Cited in

(24)

• Delta-method inference for a class of set-identified SVARs
• Joint Bayesian inference about impulse responses in VAR models
• Robust Bayesian inference in proxy SVARs
• Empirical framework for two-player repeated games with random states
• Bayesian and frequentist inference in partially identified models
• Bayesian artificial neural networks for frontier efficiency analysis
• Minimizing sensitivity to model misspecification
• Global robust Bayesian analysis in large models
• Refining set-identification in VARs through independence
• Point estimation in sign-restricted SVARs based on independence criteria with an application to rational bubbles
• Classical \(p\)-values and the Bayesian posterior probability that the hypothesis is approximately true
• A new posterior sampler for Bayesian structural vector autoregressive models
• Advances in using vector autoregressions to estimate structural magnitudes
• Narrative Restrictions and Proxies
• Comment on Giacomini, Kitagawa, and Read’s “Narrative Restrictions and Proxies”
• Narrative Restrictions and Proxies: Rejoinder
• Robust machine learning algorithms for text analysis
• Extending the scope of instrumental variable methods
• Identification and statistical decision theory
• Frequentist inference for semi-mechanistic epidemic models with interventions
• Uniform priors for impulse responses
• Double robust Bayesian inference on average treatment effects
• Max Share Identification of Multiple Shocks: An Application to Uncertainty and Financial Conditions
• Estimation and inference of the forecast error variance decomposition for set-identified SVARs

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