arXiv 27 Feb 2024 · Econometrics · publishedJournal of Econometrics (2025)
arXiv:2402.17374 · PDF · DOI · OpenAlex · Extracted main text
This paper introduces a quasi-Bayesian method that integrates frequentist nonparametric estimation with Bayesian inference in a two-stage process. Applied to an endogenous discrete choice model, the approach first uses kernel or sieve estimators to estimate the control function nonparametrically, followed by Bayesian methods to estimate the structural parameters. This combination leverages the advantages of both frequentist tractability for nonparametric estimation and Bayesian computational efficiency for complicated structural models. We analyze the asymptotic properties of the resulting quasi-posterior distribution, finding that its mean provides a consistent estimator for the parameters of interest, although its quantiles do not yield valid confidence intervals. However, bootstrapping the quasi-posterior mean accounts for the estimation uncertainty from the first stage, thereby producing asymptotically valid confidence intervals.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Chernozhukov and Hong (2003) An MCMC approach to classical estimation | 0.693 | 10 | 1 | 100% |
| 2 | Ichimura and Lee (2010) Characterization of the asymptotic distribution of semiparametric M-estimators | 0.693 | 7 | 1 | 100% |
| 3 | Petrin and Train (2010) A control function approach to endogeneity in consumer choice models | 0.693 | 5 | 1 | 100% |
| 4 | van der Vaart and Wellner (1996) Weak convergence and empirical processes | 0.693 | 5 | 1 | 100% |
| 5 | van der Vaart (1998) Asymptotic statistics | 0.693 | 5 | 1 | 100% |
| 6 | Agarwal and Somaini (2018) Demand analysis using strategic reports: An application to a school choice mechanism | 0.644 | 4 | 1 | 100% |
| 7 | Ghosal and van der Vaart (2017) Fundamentals of nonparametric Bayesian inference | 0.644 | 4 | 1 | 100% |
| 8 | Ghosh and Ramamoorthi (2002) Bayesian Nonparametrics | 0.644 | 4 | 1 | 100% |
| 9 | Lee, Kosorok, and Fine (2005) The profile sampler | 0.644 | 4 | 1 | 100% |
| 10 | Newey (1994) The asymptotic variance of semiparametric estimators | 0.644 | 4 | 1 | 100% |
Showing the top 10 of 53 scored citations.