Event Date:
Event Location:
- Zoom Meeting
Title: Bayes from Moments
Abstract:
This talk is a summary of recent work, developed in Chib, Shin and Simoni (2018,2019) on Bayesian inference when the unknown distribution of the outcomes is specified up to a set of over-restricted unconditional or conditional moments, some of which may be mis-specified. The likelihood for the analysis is the exponentially titled empirical likelihood (ETEL), which, unlike the closely related empirical likelihood, has Bayesian underpinnings. Under regularity conditions, the posterior distribution under the ETEL function is shown to satisfy the Bernstein-von-Mises theorem, even under misspecification of the moments. We also discuss the computation and performance of the marginal likelihood for comparing such moment condition models, and provide large sample model consistency results. Several examples are provided, along with the outlines of ongoing work.
Bio:
Siddhartha Chib, Ph.D., is the Harry C. Hartkopf Professor of Econometrics and Statistics at the Olin Business School, Washington University in Saint Louis. He is an elected Fellow of the American Statistical Association, Fellow of the Journal of Econometrics, and an inaugural Fellow of the International Society of Bayesian Analysis.
Professor Chib has made several widely cited contributions in the areas of binary and categorical data models, time series, marginal likelihood computation and Metropolis-Hastings algorithms. Current areas of research include the Bayesian analysis of moment condition models, regression discontinuity designs and causal inference, and the comparison of models in large model spaces.
Professor Chib serves as an associate editor of the Journal of Computational and Graphical Statistics and Statistics and Computing. In the past he has served on the editorial boards of the Journal of the American Statistical Association, Theory and Methods, Statsitical Science, Journal of Business and Economic Statistics, the American Statistician, and several other journals. Since 2003, the annual NBER-NSF funded Seminar in Bayesian Inference in Econometrics and Statistics has run under his direction.
