arXiv 1 Oct 2025 · Econometrics
arXiv:2510.01036 · PDF · DOI · OpenAlex · Extracted main text
This paper develops a generalized (quasi-) Bayes framework for conditional moment restriction models, where the parameter of interest is a nonparametric structural function of endogenous variables. We establish contraction rates for a class of Gaussian process priors and provide conditions under which a Bernstein-von Mises theorem holds for the quasi-Bayes posterior. Consequently, we show that optimally weighted quasi-Bayes credible sets achieve exact asymptotic frequentist coverage, extending classical results for parametric GMM models. As an application, we estimate firm-level production functions using Chilean plant-level data. Simulations illustrate the favorable performance of generalized Bayes estimators relative to common alternatives.
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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, Victor and Han Hong (2003) An MCMC approach to classical estimation | 1.000 | 8 | 5 | 100% |
| 2 | Chen, Xiaohong and Demian Pouzo (2012) Estimation of nonparametric conditional moment models with possibly nonsmooth generalized residuals | 0.971 | 12 | 5 | 92% |
| 3 | Ackerberg, Daniel A, Kevin Caves, and Garth Frazer (2015) Identification properties of recent production function estimators | 0.950 | 7 | 4 | 86% |
| 4 | Nickl, Richard (2023) Bayesian non-linear statistical inverse problems | 0.941 | 6 | 5 | 83% |
| 5 | Ai, Chunrong and Xiaohong Chen (2003) Efficient estimation of models with conditional moment restrictions containing unknown functions | 0.928 | 4 | 3 | 100% |
| 6 | Knapik, BT, AW van der Vaart, and JH van Zanten (2011) Bayesian inverse problems with Gaussian priors | 0.928 | 4 | 3 | 100% |
| 7 | Newey, Whitney K and James L Powell (2003) Instrumental variable estimation of nonparametric models | 0.909 | 8 | 5 | 75% |
| 8 | Williams, Christopher KI and Carl Edward Rasmussen (2006) Gaussian processes for machine learning | 0.843 | 4 | 3 | 75% |
| 9 | Chetverikov, Denis and Daniel Wilhelm (2017) Nonparametric instrumental variable estimation under monotonicity | 0.843 | 5 | 4 | 60% |
| 10 | Chen, Xiaohong, Timothy Christensen, and Sid Kankanala (2025) Adaptive estimation and uniform confidence bands for nonparametric structural functions and elasticities self | 0.843 | 5 | 3 | 60% |
Showing the top 10 of 79 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Semiparametric Bayesian Inference for a Conditional Moment Equality Model | 0.737 | 3 | 2 |
| 2 | Compound decisions and empirical Bayes via Bayesian nonparametrics | 0.405 | 1 | 1 |
| 3 | Quasi-Bayesian Hierarchical Models | 0.405 | 1 | 1 |