Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Semi-parametric Bayesian Partially Identified Models based on Support
  Function   We provide a comprehensive semi-parametric study of Bayesian partially
identified econometric models. While the existing literature on Bayesian
partial identification has mostly focused on the structural parameter, our
primary focus is on Bayesian credible sets (BCS's) of the unknown identified
set and the posterior distribution of its support function. We construct a
(two-sided) BCS based on the support function of the identified set. We prove
the Bernstein-von Mises theorem for the posterior distribution of the support
function. This powerful result in turn infers that, while the BCS and the
frequentist confidence set for the partially identified parameter are
asymptotically different, our constructed BCS for the identified set has an
asymptotically correct frequentist coverage probability. Importantly, we
illustrate that the constructed BCS for the identified set does not require a
prior on the structural parameter. It can be computed efficiently for subset
inference, especially when the target of interest is a sub-vector of the
partially identified parameter, where projecting to a low-dimensional subset is
often required. Hence, the proposed methods are useful in many applications.
  The Bayesian partial identification literature has been assuming a known
parametric likelihood function. However, econometric models usually only
identify a set of moment inequalities, and therefore using an incorrect
likelihood function may result in misleading inferences. In contrast, with a
nonparametric prior on the unknown likelihood function, our proposed Bayesian
procedure only requires a set of moment conditions, and can efficiently make
inference about both the partially identified parameter and its identified set.
This makes it widely applicable in general moment inequality models. Finally,
the proposed method is illustrated in a financial asset pricing problem.

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The categories of this paper are: nlin
30
The categories of this paper are: q-alg
0
The categories of this paper are: hep-ph
25
The categories of this paper are: patt-sol
36
The categories of this paper are: cmp-lg
11
The categories of this paper are: hep-lat
5
The categories of this paper are: gr-qc
34
The categories of this paper are: chem-ph
20
The categories of this paper are: acc-phys
13
The categories of this paper are: quant-ph
29
The categories of this paper are: funct-an
10
The categories of this paper are: q-bio
27
The categories of this paper are: comp-gas
22
The categories of this paper are: chao-dyn
7
The categories of this paper are: hep-th
1
The categories of this paper are: cs