The Econometric SocietyEdited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262
Econometrica: Mar, 2012, Volume 80, Issue 2
https://doi.org/10.3982/ECTA8360
p. 755-782
Hyungsik Roger Moon, Frank Schorfheide
A large‐sample approximation of the posterior distribution of partially identified structural parameters is derived for models that can be indexed by an identifiable finite‐dimensional reduced‐form parameter vector. It is used to analyze the differences between Bayesian credible sets and frequentist confidence sets. We define a plug‐in estimator of the identified set and show that asymptotically Bayesian highest‐posterior‐density sets exclude parts of the estimated identified set, whereas it is well known that frequentist confidence sets extend beyond the boundaries of the estimated identified set. We recommend reporting estimates of the identified set and information about the conditional prior along with Bayesian credible sets. A numerical illustration for a two‐player entry game is provided.
This supplement contains proofs and derivations for results presented in the paper.
The replication files for the results presented in section 4.
The replication files for the results presented in section 2.
March 5, 2024
The terms of the Editors of the Econometric Society's three journals end June 30, 2025. We are pleased to announce the incoming Editors and to thank the outgoing Editors for their excellent and continuing service.
Econometrica: Since 2019, Guido Imbens has served as the 14th Editor of Econometrica. On July 1, 2025, Marina Halac will become the Editor.
Quantitative Economics: Stéphane Bonhomme has been the Editor of Quantitative Economics since 2021. His successor will be Bernard Salanié.
Theoretical Economics: The Editor of Theoretical Economics since 2021 has been Simon Board. Taking over for him in July 2025 will be Federico Echenique.
Guido, Stéphane, and Simon have been outstanding Editors. We are grateful to them for the work they have done and will continue to do, and we look forward to further congratulating them next year. We believe Marina, Bernard, and Federico will be outstanding successors and we thank them in advance for their service.
Finally, we are grateful to Larry Samuelson for chairing all three search committees, and we thank the search committee members for their hard and fruitful work:
Econometrica: Christian Dustmann, Lars Hansen, Alessandro Lizzeri, George Mailath, Ariel Pakes, Helene Rey, and Elie Tamer.
QE: Kate Ho, Michael Keane, Felix Kubler, Whitney Newey, and Frank Schorfheide.
TE: Jeff Ely, Johannes Horner, Gilat Levy, Meg Meyer, and Ran Spiegler.
