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On Gaussian Process Priors in Conditional Moment Restriction Models

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  • Sid Kankanala

Abstract

This paper studies quasi Bayesian estimation and uncertainty quantification for an unknown function that is identified by a nonparametric conditional moment restriction. We derive contraction rates for a class of Gaussian process priors. Furthermore, we provide conditions under which a Bernstein von Mises theorem holds for the quasi-posterior distribution. As a consequence, we show that optimally weighted quasi-Bayes credible sets have exact asymptotic frequentist coverage.

Suggested Citation

  • Sid Kankanala, 2023. "On Gaussian Process Priors in Conditional Moment Restriction Models," Papers 2311.00662, arXiv.org, revised Nov 2023.
    • Handle: RePEc:arx:papers:2311.00662
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    References listed on IDEAS

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    1. Chen, Xiaohong & Pouzo, Demian & Powell, James L., 2019. "Penalized sieve GEL for weighted average derivatives of nonparametric quantile IV regressions," Journal of Econometrics, Elsevier, vol. 213(1), pages 30-53.
    2. Chernozhukov, Victor & Hong, Han, 2003. "An MCMC approach to classical estimation," Journal of Econometrics, Elsevier, vol. 115(2), pages 293-346, August.
    3. Chen, Xiaohong & Christensen, Timothy M., 2015. "Optimal uniform convergence rates and asymptotic normality for series estimators under weak dependence and weak conditions," Journal of Econometrics, Elsevier, vol. 188(2), pages 447-465.
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    Cited by:

    1. Christopher D. Walker, 2024. "Semiparametric Bayesian Inference for a Conditional Moment Equality Model," Papers 2410.16017, arXiv.org.

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