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Gaussian processes and Bayesian moment estimation

Author

Listed:
  • Jean-Pierre Florens

    () (Toulouse School of Economics)

  • Anna Simoni

    () (CREST)

Abstract

Given a set of moment restrictions that characterize a parameter ?, we investigate a semiparametric Bayesian approach for estimation of ? that imposes these moment restrictions in the nonparametric prior for the data distribution. As main contribution, we construct a degenerate Gaussian process prior for the density function associated with the data distribution F that imposes overidentifying restrictions. We show that this prior is computationally convenient. Since the likelihood function is not speci?ed by the model we construct it based on a linear functional transformation of F that has an asymptotically Gaussian empirical counterpart. This likelihood is used to construct the posterior distribution. We provide a frequentist validation of our procedure by showing: consistency of the maximum a posteriori estimator for ?, consistency and asymptotic normality of the posterior distribution of ?.

Suggested Citation

  • Jean-Pierre Florens & Anna Simoni, 2015. "Gaussian processes and Bayesian moment estimation," Working Papers 2015-09, Center for Research in Economics and Statistics.
  • Handle: RePEc:crs:wpaper:2015-09
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    References listed on IDEAS

    as
    1. Florens, Jean-Pierre & Simoni, Anna, 2016. "Regularizing Priors For Linear Inverse Problems," Econometric Theory, Cambridge University Press, vol. 32(01), pages 71-121, February.
    2. Jean-Pierre Florens & Anna Simoni, 2012. "Regularized Posteriors in Linear Ill-Posed Inverse Problems," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 39(2), pages 214-235, June.
    3. Kim, Jae-Young, 2002. "Limited information likelihood and Bayesian analysis," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 175-193, March.
    4. Whitney K. Newey & Richard J. Smith, 2004. "Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators," Econometrica, Econometric Society, vol. 72(1), pages 219-255, January.
    5. Smith, Richard J, 1997. "Alternative Semi-parametric Likelihood Approaches to Generalised Method of Moments Estimation," Economic Journal, Royal Economic Society, vol. 107(441), pages 503-519, March.
    6. Chernozhukov, Victor & Hong, Han, 2003. "An MCMC approach to classical estimation," Journal of Econometrics, Elsevier, vol. 115(2), pages 293-346, August.
    7. Guido W. Imbens & Richard H. Spady & Phillip Johnson, 1998. "Information Theoretic Approaches to Inference in Moment Condition Models," Econometrica, Econometric Society, vol. 66(2), pages 333-358, March.
    8. Susanne M. Schennach, 2005. "Bayesian exponentially tilted empirical likelihood," Biometrika, Biometrika Trust, vol. 92(1), pages 31-46, March.
    9. Yuichi Kitamura & Michael Stutzer, 1997. "An Information-Theoretic Alternative to Generalized Method of Moments Estimation," Econometrica, Econometric Society, vol. 65(4), pages 861-874, July.
    10. Hansen, Lars Peter & Heaton, John & Yaron, Amir, 1996. "Finite-Sample Properties of Some Alternative GMM Estimators," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 262-280, July.
    11. Nicole A. Lazar, 2003. "Bayesian empirical likelihood," Biometrika, Biometrika Trust, vol. 90(2), pages 319-326, June.
    12. Susanne M. Schennach, 2007. "Point estimation with exponentially tilted empirical likelihood," Papers 0708.1874, arXiv.org.
    13. Liao, Yuan & Jiang, Wenxin, 2011. "Posterior consistency of nonparametric conditional moment restricted models," MPRA Paper 38700, University Library of Munich, Germany.
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    Citations

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    Cited by:

    1. Dante Amengual & Enrique Sentana, 2016. "Comments on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 14(2), pages 248-252.

    More about this item

    Keywords

    Moment restrictions; Gaussian processes; overidenti?cation; posterior consistency; functional equation.;

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General

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