Generalized Bayes in Conditional Moment Restriction Models

Abstract

This paper develops a generalized (quasi-) Bayes framework for conditional moment restriction models, where the parameter of interest is a nonparametric structural function of endogenous variables. We establish contraction rates for a class of Gaussian process priors and provide conditions under which a Bernstein-von Mises theorem holds for the quasi-Bayes posterior. Consequently, we show that optimally weighted quasi-Bayes credible sets achieve exact asymptotic frequentist coverage, extending classical results for parametric GMM models. As an application, we estimate firm-level production functions using Chilean plant-level data. Simulations illustrate the favorable performance of generalized Bayes estimators relative to common alternatives.

This paper is based on and supersedes an older preprint: arXiv:2311.00662