On Gaussian Process Priors in Conditional Moment Restriction Models

Author:

Sid Kankanala

Keyword:

Economics, Econometrics, Econometrics (econ.EM)

journal:

date:

2023-10-31 16:00:00

Abstract

This paper studies quasi Bayesian estimation and uncertainty quantification for an unknown function that is identified by a nonparametric conditional moment restriction. We derive contraction rates for a class of Gaussian process priors. Furthermore, we provide conditions under which a Bernstein von Mises theorem holds for the quasi-posterior distribution. As a consequence, we show that optimally weighted quasi-Bayes credible sets have exact asymptotic frequentist coverage.

PDF: On Gaussian Process Priors in Conditional Moment Restriction Models.pdf