Robust Bayesian Inference for Set‐Identified Models

DOI10.3982/ECTA16773zbMath1477.62065OpenAlexW3186379539MaRDI QIDQ5020495

Toru Kitagawa, Raffaella Giacomini

Publication date: 6 January 2022

Published in: Econometrica (Search for Journal in Brave)

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

zbMATH Keywords

consistencyidentifying restrictionsmultiple priorsidentified setcredible regionasymptotic coverageimpulse-response analysis

Mathematics Subject Classification ID

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

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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 ⋮ Empirical framework for two-player repeated games with random states ⋮ Joint Bayesian inference about impulse responses in VAR models ⋮ Robust Bayesian inference in proxy SVARs

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