Bayesian estimation and comparison of conditional moment models
Author:
Affiliation:
1. Olin Business School Washington University in St. Louis St. Louis Missouri USA
2. Federal Reserve Bank of Philadelphia Philadelphia Pennsylvania USA
3. CREST CNRS École Polytechnique ENSAE Palaiseau France
Publisher
Wiley
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1111/rssb.12484
Reference33 articles.
1. Efficient estimation of models with conditional moment restrictions containing unknown functions;Ai C.;Econometrica,2003
2. Estimation of possibly misspecified semiparametric conditional moment restriction models with different conditioning variables;Ai C.;Journal of Econometrics,2007
3. The semiparametric Bernstein‐von Mises theorem;Bickel P.J.;Annals of Statistics,2012
4. Generalization of GMM to a continuum of moment conditions;Carrasco M.;Econometric Theory,2000
5. Asymptotic efficiency in estimation with conditional moment restrictions;Chamberlain G.;Journal of Econometrics,1987
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