Isaiah Andrews, Harvey Barnhard, Jacob Carlson
arXiv 16 Apr 2026 · Econometrics
arXiv:2604.15563 · PDF · DOI · OpenAlex · Extracted main text
Parameter estimates in misspecified models converge to pseudo-true parameter values, which minimize a population objective function. Pseudo-true values often differ from quantities of economic interest, raising questions of how, if at all, they are relevant for decision-making. To study this question we consider Bayesian decision-makers facing a linear population minimum distance problem. Within a class of priors motivated by the minimum distance objective, we characterize prior sequences under which posteriors concentrate on the pseudo-true value. This convergence is fragile to small changes in priors, implying that pseudo-true values are relevant for decision-making only in special cases. Constructive results are nevertheless possible in this setting, and we derive simple confidence intervals that guarantee correct average coverage for the true parameter under every prior in the class we study, with no bound on the magnitude of misspecification.
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| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Armstrong, Timothy B. and Kolesár, Michal (2021) Sensitivity analysis using approximate moment condition models | 0.874 | 6 | 2 | 100% |
| 2 | Hansen, Bruce E. and Lee, Seojeong (2021) Inference for Iterated GMM Under Misspecification | 0.811 | 4 | 2 | 100% |
| 3 | Hall, Alastair R. and Inoue, Atsushi (2003) The large sample behaviour of the generalized method of moments estimator in misspecified models | 0.644 | 2 | 2 | 100% |
| 4 | Muirhead, Robb J (1982) Aspects of Multivariate Statistical Theory | 0.644 | 2 | 2 | 100% |
| 5 | Müller, Ulrich K (2013) Risk of Bayesian Inference in Misspecified Models, and the Sandwich Covariance Matrix | 0.585 | 3 | 1 | 100% |
| 6 | White, Halbert (1982) Maximum Likelihood Estimation of Misspecified Models | 0.585 | 3 | 1 | 100% |
| 7 | Andrews, Donald W K and Kwon, Soonwoo (2023) Misspecified Moment Inequality Models: Inference and Diagnostics | 0.511 | 2 | 1 | 100% |
| 8 | Imbens, Guido W. and Angrist, Joshua D (1994) Identification and Estimation of Local Average Treatment Effects | 0.511 | 2 | 1 | 100% |
| 9 | Joshua D. Angrist and Guido W. Imbens (1995) Two-Stage Least Squares Estimation of Average Causal Effects in Models with Variable Treatment Intensity | 0.405 | 1 | 1 | 100% |
| 10 | Alquier, Pierre and Ridgway, James and Chopin, Nicolas (2016) On the properties of variational approximations of Gibbs posteriors | 0.405 | 1 | 1 | 100% |
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| 1 | Plausible GMM: A Quasi-Bayesian Approach | 0.737 | 3 | 2 |
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