November 30, 2010, 15:30–17:00
Toulouse
Room MF 323
Econometrics Seminar
Abstract
This paper develops a Bayes procedure for moment restriction models. A nonparametric prior is employed to carry out Bayesian analysis without imposing parametric distributional assumptions. Projection methods are used to deal with problems associated with identifying restrictions. A semiparametric Bernstein-von Mises theorem is proved for the finite dimensional parameters. The procedure is implemented with MCMC algorithms.