Normality of Posterior Distribution Under Misspecification and Nonsmoothness, and Bayes Factor for Davies' Problem

DOI10.1080/07474938.2013.807185zbMath1491.62022OpenAlexW2034440629MaRDI QIDQ5080448

Minxian Yang

Publication date: 31 May 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2013.807185

zbMATH Keywords

asymptoticsdependent dataquasi likelihoodstochastic differentiabilityloss of identification

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Bayesian inference (62F15)

Related Items (1)

Inference in partially identified heteroskedastic simultaneous equations models

Uses Software

• BayesDA

Cites Work

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