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Quasi-Bayesian Hierarchical Models

Author

Listed:
  • Desmond Fairall
  • Thomas Glinnan

Abstract

We develop the Quasi-Bayesian Hierarchical Model (QBHM) for grouped GMM settings. The framework combines Bayesian hierarchical modelling with Laplace-type estimation: it preserves each group-specific objective function, while introducing a pooling term for economically comparable parameters. When the number of studies is fixed, the QBHM estimator-the quasi-posterior mean-has the same asymptotic distribution as GMM when estimating strongly identified study parameters. For weakly identified studies, we analyze the asymptotic properties of the method via a weak-GMM limit experiment: an asymptotic approximation in which the sample-moment criterion remains a random function over the weak parameter space, and the upper-level pooling relation induces a family of priors over weak values. In this experiment, the weak-limit QBHM rule is a Bayes rule under squared loss for the hierarchy-induced weak-limit prior, which provides a decision-theoretic justification for our procedure. We also extend our results to mixed within-study blocks, allowing a single study to contain both strongly and weakly identified parameters. Pooling can also reduce the pointwise asymptotic mean squared error (MSE) relative to unpooled estimation when the bias--variance tradeoff is favorable. Gaussian likelihood, nonlinear weak-GMM, and weak-IV calculations show when this happens, while simulations and a microenterprise application illustrate the method.

Suggested Citation

  • Desmond Fairall & Thomas Glinnan, 2026. "Quasi-Bayesian Hierarchical Models," Papers 2606.31930, arXiv.org.
  • Handle: RePEc:arx:papers:2606.31930
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    References listed on IDEAS

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