This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.
Abstract Details
Activity Number:
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303
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Type:
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Contributed
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Date/Time:
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Tuesday, August 3, 2010 : 8:30 AM to 10:20 AM
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Sponsor:
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Section on Bayesian Statistical Science
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Abstract - #306372 |
Title:
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Posterior Consistency of Nonparametric Conditional Moment Restricted Models
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Author(s):
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Yuan Liao*+ and Wenxin Jiang
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Companies:
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Northwestern University and Northwestern University
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Address:
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2006 Sheridan Rd, Evanston, IL, 60208,
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Keywords:
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Limited information likelihood ;
frequentist properties ;
identified region ;
nonparametric instrumental variable ;
sieve approximation ;
ill-posedness
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Abstract:
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This paper addresses the estimation of the conditional moment restricted model that involves a nonparametric structural function g0. One of the most important examples of such a model is the nonparametric regression when the covariates are dependent on the error term, in which case g0 is no longer a conditional mean function. The dependence on the error term often arises in applied economics. I will start with the identification of g0, followed by consistent estimations. The estimation suffers from a so-called 'ill-posed inverse problem', meaning that the relation that identifies g0 is a Fredholm equation of the first kind, which requires a regularization scheme to consistently estimate g0. I will propose a Bayesian procedure with two regularization approaches, and show that in either way, the posterior density converges to a probability mass around g0.
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Authors who are presenting talks have a * after their name.
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