Victor Chernozhukov, Christian B. Hansen, Lingwei Kong, Weining Wang
arXiv 1 Jul 2025 · Econometrics
arXiv:2507.00555 · PDF · DOI · OpenAlex · Extracted main text
Structural estimation in economics often makes use of models formulated in terms of moment conditions. While these moment conditions are generally well-motivated, it is often unknown whether the moment restrictions hold exactly. We consider a framework where researchers model their belief about the potential degree of misspecification via a prior distribution and adopt a quasi-Bayesian approach for performing inference on structural parameters. We provide quasi-posterior concentration results, verify that quasi-posteriors can be used to obtain approximately optimal Bayesian decision rules under the maintained prior structure over misspecification, and provide a form of frequentist coverage results. We illustrate the approach through empirical examples where we obtain informative inference for structural objects allowing for substantial relaxations of the requirement that moment conditions hold exactly.
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| Reference | Intensity | Mentions | Sections | Main text | |
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| 1 | Armstrong, Timothy B and Kolesár, Michal (2021) Sensitivity analysis using approximate moment condition models | 0.950 | 14 | 5 | 86% |
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| 3 | Chernozhukov, Victor and Hong, Han (2003) An MCMC approach to classical estimation self | 0.884 | 29 | 9 | 69% |
| 4 | Conley, Timothy G and Hansen, Christian B and Rossi, Peter E (2012) Plausibly exogenous self | 0.817 | 11 | 7 | 55% |
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| 6 | Chen, Xiaohong and Christensen, Timothy M and Tamer, Elie (2018) Monte Carlo confidence sets for identified sets | 0.754 | 7 | 3 | 43% |
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| 8 | Gustafson, Paul (2015) Bayesian Inference for Partially Identified Models: Exploring the Limits of Limited Data | 0.737 | 3 | 2 | 100% |
| 9 | Kim, Jae-Young (2002) Limited information likelihood and Bayesian analysis | 0.737 | 3 | 2 | 100% |
| 10 | Acemoglu, Daron and Johnson, Simon and Robinson, James A (2001) The colonial origins of comparative development: An empirical investigation | 0.693 | 6 | 1 | 100% |
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arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
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| 1 | Possibilistic Instrumental Variable Regression | 0.961 | 9 | 3 |
| 2 | Quasi-Bayesian Hierarchical Models | 0.405 | 1 | 1 |